相关论文: Statistical Signatures in Times of Panic: Markets …

Contemporary technological challenges often involve many degrees of freedom in a distributed or networked setting. Three aspects are notable: the variables are usually associated with the nodes of a graph with limited communication…

The statistical properties of the quantum chaotic spectra have been studied, so far, only up to the second order correlation effects. The numerical as well as the analytical evidence that random matrix theory can successfully model the…

The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…

Exact analytical expressions for the cross-section correlation functions of chaotic scattering sys- tems have hitherto been derived only under special conditions. The objective of the present article is to provide expressions that are…

Financial stock return correlations have been analyzed through the lens of random matrix theory to differentiate the underlying signal from spurious correlations. The continuous spectrum of the eigenvalue distribution derived from the stock…

Stochastic resetting breaks detailed balance and drives the formation of nonequilibrium steady states . Here, we consider a chain of diffusive processes $x_i(t)$ that interact unilaterally: at random time intervals, the process $x_n$…

We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…

Recent studies of cluster distribution in various ecosystems revealed Pareto statistics for the size of spatial colonies. These results were supported by cellular automata simulations that yield robust criticality for endogenous pattern…

The statistics of gaps between quantum energy levels is a hallmark criterion in quantum chaos and quantum integrability studies. The relevant distributions corresponding to exactly integrable vs. fully chaotic systems are universal and…

Self-organized criticality (SOC) refers to the ability of complex systems to evolve towards a 2nd-order phase transition at which interactions between system components lead to scale-invariant events beneficial for system performance. For…

In the supermarket model there are n queues, each with a unit rate server. Customers arrive in a Poisson process at rate \lambda n, where 0<\lambda <1. Each customer chooses d > 2 queues uniformly at random, and joins a shortest one. It is…

Stochastic chains represent a wide and key variety of phenomena in many branches of science within the context of Information Theory and Thermodynamics. They are typically approached by a sequence of independent events or by a memoryless…

We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…

Chaotic dynamics is always characterized by swarms of unstable trajectories, unpredictable individually, and thus generally studied statistically. It is often the case that such phase-space densities relax exponentially fast to a limiting…

We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a…

Cosine similarity is an established similarity metric for computing associations on vectors, and it is commonly used to identify related samples from biological perturbational data. The distribution of cosine similarity changes with the…

Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…

Self-organization is the spontaneous formation of spatial, temporal, or spatiotemporal patterns in complex systems far from equilibrium. During such self-organization, energy distributed in a broadband of frequencies gets condensed into a…

Scrambling in interacting quantum systems out of equilibrium is particularly effective in the chaotic regime. Under time evolution, initially localized information is said to be scrambled as it spreads throughout the entire system. This…

The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…