相关论文: Macrostate Parameter, an Econophysics Approach for…
In this paper are made some considerations of the application of phenomenological thermodynamics in risk analysis for the transaction on financial markets, using the concept of economic entropy and the macrostate parameter introduced by us…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as their coordinates on economic space. Aggregates of economic…
Econophysics is a new area developed recently by the cooperation between economists, mathematicians and physicists. It's not a tool to predict future prices of stocks and exchange rates. It applies idea, method and models in Statistical…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
The theory of thermal macroeconomics (TM) analyses economic phenomena within the mathematical framework of classical thermodynamics, using a set of axioms that apply to the purely macroscopic aspects of an economy [CM]. The theory shows…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
The author solves two problems: formation of object of econophysics, creation of the general theory of financial-economic monitoring. In the first problem he studied two fundamental tasks: a choice of conceptual model and creation of…
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be applied to an economic problem. In so doing,…
This article introduces an intrinsic entropy model that can be used as an indicator to gauge investor interest in a given exchange-traded security, along with the state of the general market corroborated by individual security trade data.…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words Economics and Physics, this new interdisciplinary field has…
We present a mathematical model of a market with $m$ shares traded across $n$ investor groups, each one with similar motivations and trading strategies. The market of each asset consists of a fixed amount of cash and shares (no additions…
Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…
We consider the thermodynamic approach to the description of economic systems and processes. The first and second laws of thermodynamics as applied to economic systems are derived and analyzed. It is shown that there is a deep analogy…