Related papers: Scale-free avalanche dynamics in the stock market
We discuss mean-field theories for self-organized criticality and the connection with the general theory of branching processes. We point out that the nature of the self-organization is not addressed properly by the previously proposed…
A globally driven self-organized critical model of earthquakes with conservative dynamics has been studied. An open but moving boundary condition has been used so that the origin (epicenter) of every avalanche (earthquake) is at the center…
We present a new model for relaxations in piles of granular material. The relaxations are determined by a stochastic rule which models the effect of friction between the grains. We find power-law distributions for avalanche sizes and…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…
To describe and analyze the dynamics of Self-Organized Criticality (SOC) systems, a four-state continuous-time Markov model is proposed in this paper. Different to computer simulation or numeric experimental approaches commonly employed for…
In this paper we have analyzed scaling properties and cyclical behavior of the three types of stock market indexes (SMI) time series: data belonging to stock markets of developed economies, emerging economies, and of the underdeveloped or…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
We show using numerical simulations that slowly driven skyrmions interacting with random pinning move via correlated jumps or avalanches. The avalanches exhibit power law distributions in their duration and size, and the average avalanche…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
Scale-invariant avalanches -- with events of all sizes following power-law distributions -- are considered critical. Above the upper critical dimension of four, the mean-field solution with a robust $3/2$ size exponent describes the…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
We discuss recent results on a new analysis regarding models showing Self-Organized Criticality (SOC), and in particular on the OFC one. We show that Probability Density Functions (PDFs) for the avalanche size differences at different times…
Self-organized criticality has been proposed to be a universal mechanism for the emergence of scale-free dynamics in many complex systems, and possibly in the brain. While such scale-free patterns were identified experimentally in many…
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…
Power-law type probability density functions spanning several orders of magnitude are found for different avalanche properties. We propose a methodology to overcome empirical constrains that limit the power-law range for the distributions…
Although the paradigm of criticality is centred around spatial correlations and their anomalous scaling, not many studies of Self-Organised Criticality (SOC) focus on spatial correlations. Often, integrated observables, such as avalanche…
Using numerical simulations, we examine the dynamics of active matter run-and-tumble disks moving in a disordered array of obstacles. As a function of increasing active disk density and activity, we find a transition from a completely…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…