相关论文: A Thermodynamic Picture of Financial Market and Mo…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

The process of contagiousness spread modelling is well-known in epidemiology. However, the application of spread modelling to banking market is quite recent. In this work, we present a system of ordinary differential equations, simulating…

A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…

This paper develops a dynamic monetary model to study the (in)stability of the fractional reserve banking system. The model shows that the fractional reserve banking system can endanger stability in that equilibrium is more prone to exhibit…

Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some…

The paper present one of attempts to apply the thermodynamics laws to economics. Introducing common thermodynamic parameters and considering world economics as a one macrosystem, authors demonstrate the possible consequences of entropy…

Physical analogs have shown considerable promise for understanding the behavior of complex adaptive systems, including macroeconomics, biological systems, social networks, and electric power markets. Many of today's most challenging…

The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications…

Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…

We consider a Brownian particle in harmonic confinement of stiffness $k$, in one dimension in the underdamped regime. The whole setup is immersed in a heat bath at temperature $T$. The center of harmonic trap is dragged under any arbitrary…

In the real world, one almost never knows the parameters of a thermodynamic process to infinite precision. Reflecting this, here we investigate how to extend stochastic thermodynamics to systems with uncertain parameters, including…

Entropy is one of the key thermodynamic variables reflecting changes in the state of matter. Unlike other thermodynamic variables, it is well-defined also for nonequilibrium steady states through its relation to information. Applying this…

In traditional thermodynamical and statistical-mechanical approaches one has (some) detailed knowledge of the principles governing the microdynamics of a system. However in many instances we may not have a Hamiltonian or good information…

We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…

Statistical thermodynamics delivers the probability distribution of the equilibrium state of matter through the constrained maximization of a special functional, entropy. Its elegance and enormous success have led to numerous attempts to…

We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds…

We introduce the idea of weakly coherent collisional models, where the elements of an environment interacting with a system of interest are prepared in states that are approximately thermal, but have an amount of coherence proportional to a…

Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…

We revisit the dynamic relationship between domestic economic policy uncertainty and stock markets using the symmetric thermal optimal path (TOPS) method. We observe different interaction patterns in emerging and developed markets. Economic…

We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…