相关论文: Theory of market fluctuations

This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…

We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [Lux and Sornette, 1999] that the distribution of returns is a power law with exponent less than 1, in contradiction with…

The statistical mechanical basis of the fluctuation theory of mixtures is reviewed. An overview of the statistical mechanical relations between the microscopic properties of a system and its macroscopic properties is presented. The…

We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or…

Standard economic theory assumes that agents in markets behave rationally. However, the observation of extremely large fluctuations in the price of financial assets that are not correlated to changes in their fundamental value, as well as…

Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…

We study an evolution cross-diffusion problem with mutualistic Lotka-Volterra reaction term to modelize the long-term spatial distribution of labor and capital. The mutualistic behavior is deduced from the gradient flow associated to…

In the context of the random first order transition theory we use an extended mode coupling theory of the glass transition that includes activated events to account for spatiotemporal structures in aging and rejuvenating glasses. We…

We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem…

We propose a kinetic model to describe the dynamical evolution of wealth and knowledge in national and global markets, starting from a microscopic description of individual interactions. The model is built upon interaction rules that…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible…

Fluctuation Theorems are statements about the entropy of systems far from thermal equilibrium. In this Letter relativistic Fluctuation Theorems for Brownian motion are presented and proven. Though there is a known discretization dilemma…

We show that time-dependent fluctuations $\{\Delta x\}$ in foreign exchange rates are accurately described by a random walk in a complex plane that is demarcated into the gain (+) and loss (-) sectors. $\{\Delta x\}$ is the outcome of $N$…

Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…

Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…

Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2/(2 + b) times, where b is the coefficient of…

While the warming trends of the Earth's mean temperature are evident at climatological scales, the local temperature at shorter timescales are highly fluctuating. In this letter we show that the probabilities of such fluctuations are…

We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the smile are examined. Special attention…

We focus on the dynamics of a Brownian particle whose mass fluctuates. First we show that the behaviour is similar to that of a Brownian particle moving in a fluctuating medium, as studied by Beck [Phys. Rev. Lett. 87 (2001) 180601]. By…