Related papers: Stock mechanics: unification with economy
A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via…
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
Identifying meaningful relationships between the price movements of financial assets is a challenging but important problem in a variety of financial applications. However with recent research, particularly those using machine learning and…
We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of…
We present several models to describe the stochastic evolution of stocks that show some strong resistance at some level and generalize to this situation the evolution based upon geometric Brownian motion. If volatility and drift are related…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
For common people, in contrast to brokers, bankers, and those who play on rising and falling prices of stocks, the stock market law is based on the simple fact that the depositors aim for financial profit at any given concrete stage. The…
The present paper proposes a new framework for describing the stock price dynamics. In the traditional geometric Brownian motion model and its variants, volatility plays a vital role. The modern studies of asset pricing expand around…
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources.…
In this note, we analyze the relationships that should govern the use of thermodynamics in fluid mechanics in a way that we believe is understandable to mathematicians. We also aim to better define the reasons why mechanics and…
In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed…
We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…
Artificial stock market simulation based on agent is an important means to study financial market. Based on the assumption that the investors are composed of a main fund, small trend and contrarian investors characterized by four…
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…
This brief article gives an overview of quantum mechanics as a {\em quantum probability theory}. It begins with a review of the basic operator-algebraic elements that connect probability theory with quantum probability theory. Then quantum…
Decision procedures aggregating the preferences of multiple agents can produce cycles and hence outcomes which have been described heuristically as `chaotic'. We make this description precise by constructing an explicit dynamical system…
Our research aims to find the best model that uses companies projections and sector performances and how the given company fares accordingly to correctly predict equity share prices for both short and long term goals.
The money market and the capital market of the Indian financial markets have a symbiotic relationship in the development of the Indian economy. The nature and the characteristics of the markets differ to a large extent as the money market…
We review the observations and the basic laws describing the essential aspects of collective motion -- being one of the most common and spectacular manifestation of coordinated behavior. Our aim is to provide a balanced discussion of the…