相关论文: A Thermodynamic Picture of Financial Market and Mo…
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…
Models necessarily capture only parts of a reality. Prediction models aim at capturing a future reality. In this paper we address the question of how the future is constructed (or: imagined) in an investment context where market…
A theoretical model of systemic-risk propagation of financial market is analyzed for stability. The state equation is an unsteady diffusion equation with a nonlinear logistic growth term, where the diffusion process captures the spread of…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
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…
Concepts of everyday use like energy, heat, and temperature have acquired a precise meaning after the development of thermodynamics. Thermodynamics provides the basis for understanding how heat and work are related and with the general…
The financial sector is increasingly concerned with the physical risks of climate change, but economic and financial impact representations are still developing, particularly for chronic risks. Mexico's Central Bank conducted a…
The problem of the insensitivity of the macroscopic behavior of any thermodynamical system to partitioning generates a bias between the reproducibility of its macroscopic behavior viewed as the simplest form of causality and its long-term…
Prediction problems in finance go beyond estimating the unknown parameters of a model (e.g. of expected returns). This is because such a model would have to include parameters governing the market participants' propensity to change their…
We quantify model risk of a financial portfolio whereby a multi-period mean-standard-deviation criterion is used as a selection criterion. In this work, model risk is defined as the loss due to uncertainty of the underlying distribution of…
The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to…
Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and…
Following the thermodynamic formulation of multifractal measure that was shown to be capable of detecting large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crisis in real…
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…
The application of principles of thermodynamics and statistical mechanics to economic systems is considered in a broad historical perspective, extending from prehistoric times to the present day. The hypothesis of maximum entropy production…
Stochastic thermodynamics is formulated under the assumption of perfect knowledge of all thermodynamic parameters. However, in any real-world experiment, there is non-zero uncertainty about the precise value of temperatures, chemical…
Irreversible processes accomplished in a fixed time involve nonlinearly coupled flows of matter, energy, and information. Here, using entropy production as an example, we show how thermodynamic uncertainty relations and speed limits on…
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…