相关论文: Theory of market fluctuations
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
The precision of reaction-diffusion models for mesoscopic physical systems is limited by fluctuations. To account for this uncertainty, Van Kampen derived a stochastic Langevin-like reaction-diffusion equation that incorporates…
We introduce a deductive statistical mechanics approach for granular materials which is formally built from few realistic physical assumptions. The main finding is an universal behavior for the distribution of the density fluctuations. Such…
We study the influence of a dissipation process on diffusion dynamics triggered by fluctuations with long-range correlations. We make the assumption that the perturbation process involved is of the same kind as those recently studied…
We present a preferential attachment growth model to obtain the distribution $P(K)$ of number of units $K$ in the classes which may represent business firms or other socio-economic entities. We found that $P(K)$ is described in its central…
We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset…
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…
In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Gibbs law characterized by an effective temperature equal to the average amount of…
Returning a system to a desired state under a force field involves a thermodynamic cost, i.e., {\it work}. This cost fluctuates for a small-scale system from one experimental realization to another. We introduce a general framework to…
We propose hypotheses describing the empirical finding of an association between the exponents of urban GDP scaling and Zipf's law for cities. These hypotheses represent various combinations of directional or reciprocal causal links between…
It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of securities, on various markets, and on…
We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also…
For stationary interface growth, governed by the Kardar-Parisi-Zhang (KPZ) equation in 1 + 1 dimensions, typical fluctuations of the interface height at long times are described by the Baik-Rains distribution. Recently Chhita et al. [1]…
The spatial distribution of people exhibits clustering across a wide range of scales, from household ($\sim 10^{-2}$ km) to continental ($\sim 10^4$ km) scales. Empirical data indicates simple power-law scalings for the size distribution of…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
Background: Zipf's discovery that word frequency distributions obey a power law established parallels between biological and physical processes, and language, laying the groundwork for a complex systems perspective on human communication.…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
We address the issue of the distribution of firm size. To this end we propose a model of firms in a closed, conserved economy populated with zero-intelligence agents who continuously move from one firm to another. We then analyze the size…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…