Related papers: Stock mechanics: unification with economy
This paper develops a unified framework in which economic dynamics is treated as evolutionary process analogous to those studied in natural sciences, including physics. Using methods from gauge field theory and plasticity, we show that the…
We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for a defined market model. This market structure allows an…
Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators…
We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…
A 'state property system' is the mathematical structure which models an arbitrary physical system by means of its set of states, its set of properties, and a relation of 'actuality of a certain property for a certain state'. We work out a…
Basic issues of the general model-building framework of the mechanics of complex bodies are discussed. Attention is focused on the representation of the material elements, the conditions for the existence of ground states in conservative…
Stock market prediction with forecasting algorithms is a popular topic these days where most of the forecasting algorithms train only on data collected on a particular stock. In this paper, we enriched the stock data with related stocks…
Money flow models are essential tools to understand different economical phenomena, like saving propensities and wealth distributions. In spite of their importance, most of them are based on synthetic transaction networks with simple…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading…
In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Gibbs law characterized by an effective temperature equal to the average amount of…
Auctions are markets with strict regulations governing the information available to traders in the market and the possible actions they can take. Since well designed auctions achieve desirable economic outcomes, they have been widely used…
A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This paper first presents a wide range of stylized facts studied in…
Many have wondered how mathematics, which appears to be the result of both human creativity and human discovery, can possibly exhibit the degree of success and seemingly-universal applicability to quantifying the physical world as…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Congruences for stochastic automata are defined, the correspondin factor automata are constructed and investigated for automata ove analytic spaces. We study the behavior under finite and infinite streams. Congruences consist of multiple…
We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scaling is equivalent to time scaling used frequently. The…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…