Related papers: Stock mechanics: unification with economy
We establish an analogy between the motion of spring whose mass increases linearly with time and volatile stock markets dynamics within an economic model based on simple temporal demand and supply functions [J. Phys. A: Math. Gen. 33, 3637…
It seems to be very unlikely that all relevant information in the stock market could be fully encoded in a geometrical shape. Still,the present paper will reveal the geometry behind the stock market transactions. The prices of market index…
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the…
We review the statistical mechanics approach to the study of the emerging collective behavior of systems of heterogeneous interacting agents. The general framework is presented through examples is such contexts as ecosystem dynamics and…
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…
The p-adic theory of the stock market is presented. It is shown that the price dynamics is very naturally described by the adelic function. The procedure of derivation of the functional integral formulation of adelic type is derived from…
Given a semi-Markov law, using an additional parameter, we consider a family of stochastic flows corresponding to that law. Then we suitably select a particular flow, for which we obtain expressions of the meeting and merging probabilities…
Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of…
The principles of creation of the mechanics of structured particles in the frame of the Newton's laws are considered. The explanation how this mechanics leads to the account of dissipative forces is offered. Why the motions of the system…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
We consider an ideal closed stock market, in which 100 traders have economic activities. The assets of the traders change through buying and selling stocks. We simulate the assets under conservation of both total currency and total number…
Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
We formulate conditions for convergence of Laws of Large Numbers and show its links with of the parts of mathematical analysis such as summation theory, convergence of orthogonal series. We present also applications of the Law of Large…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…