Related papers: Stock mechanics: unification with economy
This paper presents a description of the mechanical operations of banking as used in modern banking systems regulated under the Basel Accords, in order to provide support for a verifiable and complete description of the banking system…
The paper discusses fundamental problems in mathematical description of social systems based on physical concepts, with so-called statistical social systems being the main subject of consideration. Basic properties of human beings and human…
This article summarizes recent research in financial economics about why information, such as earnings announcements, moves stock prices. The article does not presume any prior exposure to finance beyond what you might read in newspapers.
We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem…
Although not as wide, and popular, as that of quantum mechanics, the investigation of fundamental aspects of statistical mechanics constitutes an important research field in the building of modern physics. Besides the interest for itself,…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
The statistical mechanical basis of the fluctuation theory of mixtures is reviewed. An overview of the statistical mechanical relations between the microscopic properties of a system and its macroscopic properties is presented. The…
Algorithmic trading, due to its inherent nature, is a difficult problem to tackle; there are too many variables involved in the real world which make it almost impossible to have reliable algorithms for automated stock trading. The lack of…
We investigate the mechanisms behind the power-law distribution of stock returns using artificial market simulations. While traditional financial theory assumes Gaussian price fluctuations, empirical studies consistently show that the tails…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
The paper discusses the fundamental characteristics distinguishing the natural and social systems from each other. It considers in detail the basic approaches, prospects, and possibilities of constructing mathematical description for social…
We introduce a fundamental theory for the kinetics of systems of classical particles. The theory represents a unification of kinetic theory, Brownian motion and field theory. It is self-consistent and is the dynamic generalization of the…
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.
The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a parametric form, into a natural framework defined by the two…
Stock price prediction is a complicated and interesting task. Noisy trends make stock pricing sensitive and complicated while the economical motivation behind, keeps it interesting for researchers and investors. In this paper we are to…
We study dynamics of a simulated world with stock and money, driven by the externally given processes which we refer to as sentiments. The considered sentiments influence the buy/sell stock trading attitude, the perceived price uncertainty,…
We demonstrated the analogy between Economics and Gauge Theory of Plasticity and used it to describe the relationship between money supply and inflation at the economic market. The received equations of economical dynamics in phase space…
In this short paper, we overview and extend the results of our papers cond-mat/0001432, cond-mat/0008305, and cond-mat/0103544, where we use an analogy with statistical physics to describe probability distributions of money, income, and…