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A generalization of the economic model of natural growth, which takes into account the power-law memory effect, is suggested. The memory effect means the dependence of the process not only on the current state of the process, but also on…
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…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
The effective stress law for the permeability of a limestone is studied experimentally by performing constant head permeability tests in a triaxial cell with different conditions of confining pressure and pore pressure. Test results have…
We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders. In this model bid and ask prices are…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists, in which the wealth invested in a financial strategy is…
Power law-like size distributions are ubiquitous in astrophysical instabilities. There are at least four natural effects that cause deviations from ideal power law size distributions, which we model here in a generalized way: (1) a physical…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
Zipf's power-law distribution is a generic empirical statistical regularity found in many complex systems. However, rather than universality with a single power-law exponent (equal to 1 for Zipf's law), there are many reported deviations…
We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend to be off roughly by a factor of 2, and take years to…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
The manipulation of quantum states through linear maps beyond quantum operations has many important applications in various areas of quantum information processing. Current methods simulate unphysical maps by sampling physical operations…
Atoms and molecules are important conceptual entities we invented to understand the physical world around us. The key to their usefulness lies in the organization of nuclear and electronic degrees of freedom into a single dynamical variable…
This paper describes an approach to economics that is inspired by quantum computing, and is motivated by the need to develop a consistent quantum mathematical framework for economics. The traditional neoclassical approach assumes that…
Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradition we show that many of the most…
City-size distributions follow an approximate power law in various countries despite high volatility in relative city sizes over time. Our empirical evidence for the United States and Japan indicates that the scaling law stems from a…
The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural,…