English

Complex Systems: From Nuclear Physics to Financial Markets

Statistical Finance 2015-05-14 v1

Abstract

We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate the financial empirical correlation matrix of the DAX and Dow Jones. We will show, that if the time-zone delay is properly accounted for, the two distinct markets largely merge into one. This is reflected by the largest eigenvalue that develops a gap relative to the remaining, chaotic eigenvalues. By extending investigations of the specific character of financial collectivity we also discuss the criticality-analog phenomenon of the financial log-periodicity and show specific examples.

Keywords

Cite

@article{arxiv.0910.4348,
  title  = {Complex Systems: From Nuclear Physics to Financial Markets},
  author = {J. Speth and S. Drozdz and F. Gruemmer},
  journal= {arXiv preprint arXiv:0910.4348},
  year   = {2015}
}

Comments

6 pages, 10 figures, elsarticle class

R2 v1 2026-06-21T14:02:13.328Z