Related papers: Econophysics of precious stones
Monte carlo simulation of paths of a large number of impinging electrons in a multi-layered solid allows to define area of spreading electrons (A) to capture overall behavior of the solid. This parameter 'A' follows power law with electron…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
Explaining empirically observed wealth and income distributions, featuring power-law tails alongside gamma or log-normal bulk shapes, challenges models that focus on either pairwise competition or individual investment mechanisms. This…
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…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
The excessive compensation packages of CEOs of U.S. corporations in recent years have brought to the foreground the issue of fairness in economics. The conventional wisdom is that the free market for labor, which determines the pay…
In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when…
Hierarchies can be modeled by a set of exponential functions, from which we can derive a set of power laws indicative of scaling. The solution to a scaling relation equation is always a power law. The scaling laws are followed by many…
Foreign exchange markets show that currency units (= accounting or nominal price units) are variables. Technical and economic progress evidence that the consumer baskets (= purchasing power units or real price units) are also variables. In…
In this work, the well known power-law relation between strength and sample size, $d^{-n}$, is derived from the knowledge that a dislocation network exhibits scale-free behaviour and the extreme value statistical properties of an arbitrary…
Accuracy of economic theories and efficiency of economic policy strictly depend on the choice of the economic variables and processes mostly liable for description of economic reality. That states the general problem of assessment of any…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
A theoretical self-sustainable economic model is established based on the fundamental factors of production, consumption, reservation and reinvestment, where currency is set as a unconditional credit symbol serving as transaction equivalent…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
We show that there is a common mode of origin for the power laws observed in two different models: (i) the Pareto law for the distribution of money among the agents with random saving propensities in an ideal gas-like market model and (ii)…
Using public data (Forbes Global 2000) we show that the asset sizes for the largest global firms follow a Pareto distribution in an intermediate range, that is ``interrupted'' by a sharp cut-off in its upper tail, where it is totally…
Power law scaling is observed in many physical, biological and socio-economical complex systems and is now considered as an important property of these systems. In general, power law exists in the central part of the distribution. It has…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
Statistical models of economic distributions lead to Boltzmann distributions rather than a Pareto power law. This result is supported by two facts: 1. the distributions of income, car sales, marriages or jobs are a matter of chances and…