Related papers: Stock mechanics: unification with economy
The business cycles are generated by the oscillating macro-/micro-/nano- economic output variables in the economy of the scale and the scope in the amplitude/frequency/phase/time domains in the economics. The accurate forward looking…
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model,…
The article presents calculations that prove practical importance of the earlier derived theoretical relationship between the interest rate on the interbank credit market, volume of investment and the quantity of securities tradable on the…
One of the pillars to build a country's economy is the stock market. Over the years, people are investing in stock markets to earn as much profit as possible from the amount of money that they possess. Hence, it is vital to have a…
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval…
An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the market change over time as each…
The importance of predicting stock market prices cannot be overstated. It is a pivotal task for investors and financial institutions as it enables them to make informed investment decisions, manage risks, and ensure the stability of the…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
A simple statement and accessible proof of a version of the Fundamental Theorem of Asset Pricing in discrete time is provided. Careful distinction is made between prices and cash flows in order to provide uniform treatment of all…
Physical analogs have shown considerable promise for understanding the behavior of complex adaptive systems, including macroeconomics, biological systems, social networks, and electric power markets. Many of today's most challenging…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
DJIA is tested whether it can be described as a mechanical system conserving total energy with K (=v*v/2) + U, where U is calculated as the negative of work done by force obtained in terms of the second derivative of price, assuming unit…
A critical examination of some basic conceptual issues in classical statistical mechanics is attempted, with a view to understanding the origins, structure and statuts of that discipline. Due attention is given to the interplay between…
Dynamics, the study of change, is normally the subject of mechanics. Whether the chosen mechanics is ``fundamental'' and deterministic or ``phenomenological'' and stochastic, all changes are described relative to an external time. Here we…
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…
We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and antipersistant markets.
A core level of basic information for physics is identified, based on an analysis of the characteristics of the parameters space, time, mass and charge. At this level, it is found that certain symmetries operate, which can be used to…
The application of principles of thermodynamics and statistical mechanics to economic systems is considered in a broad historical perspective, extending from prehistoric times to the present day. The hypothesis of maximum entropy production…