相关论文: Theory of market fluctuations
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
Systems that are driven out of thermal equilibrium typically dissipate random quantities of energy on microscopic scales. Crooks fluctuation theorem relates the distribution of these random work costs with the corresponding distribution for…
In the present work we derive a Central Limit Theorem for sequences of Hilbert-valued Piecewise Deterministic Markov process models and their global fluctuations around their deterministic limit identified by the Law of Large Numbers. We…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
In the preceding paper we presented empirical results describing the growth of publicly-traded United States manufacturing firms within the years 1974--1993. Our results suggest that the data can be described by a scaling approach. Here, we…
Understanding the fluctuations by which phenomenological evolution equations with thermodynamic structure can be enhanced is the key to a general framework of nonequilibrium statistical mechanics. These fluctuations provide an idealized…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
Damping on an object generally depends on its conformation (shape size etc.). We consider the Langevin dynamics of a model system with a conformation dependent damping and generalize the fluctuation dissipation relation to fit in such a…
In this perspective we consider how modern statistical mechanics and response theory can be applied to understand the response of polar molecules to an applied electric field and the fluctuations in these systems. Results that are…
In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
The position of propagating population fronts fluctuates because of the discreteness of the individuals and stochastic character of processes of birth, death and migration. Here we consider a Markov model of a population front propagating…
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…
We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval {\Delta} and describe the dependences of…
The shape and tails of partial distribution functions (PDF) for a financial signal, i.e. the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
We present a physically inspired generalization of equilibrium response formulae, the fluctuation-dissipation theorem, to Markov jump processes possibly describing interacting particle systems out-of-equilibrium. Here, the time-dependent…
We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution,…
The effect of external fluctuations on the formation of spatial patterns is analysed by means of a stochastic Swift-Hohenberg model with multiplicative space-correlated noise. Numerical simulations in two dimensions show a shift of the…
Fluctuation theorems make use of time reversal to make predictions about entropy production in many-body systems far from thermal equilibrium. Here we review the wide variety of distinct, but interconnected, relations that have been derived…