相关论文: A Thermodynamic Picture of Financial Market and Mo…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
The first (Russian) edition of the book was among the first monographs on econophysics. The book gives an explanation of several intriguing phenomena, providing new insights and answers to some deeply vexing questions. Why the economic…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
An heuristic model of the society, as an assembly of weakly interacting individuals, is discussed. The model allows to connect macroscopic phenomena with features of relations between individuals. Addressing to the problem of inequality, a…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
The document provides an overview of financial climate risks. It delves into how climate change impacts the global financial system, distinguishing between physical risks (such as extreme weather events) and transition risks (stemming from…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
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…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
In this paper, we test predictions of a new theory of macroeconomics, called "thermal macroeconomics." The theory aims to apply the mathematical structure of classical thermodynamics, including analogues of temperature and entropy, to…
Thermodynamics (in concert with its sister discipline, statistical physics) can be regarded as a data reduction scheme based on partitioning a total system into a subsystem and a bath that weakly interact with each other. The ubiquity and…
The thermodynamic uncertainty relation expresses a universal trade-off between precision and entropy production, which applies in its original formulation to current observables in steady-state systems. We generalize this relation to…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…
We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
Agent-based models provide a constructive approach to studying emergent dynamics in life-like systems composed of interacting, adaptive agents. Financial markets serve as a canonical example of such systems, where collective price dynamics…