相关论文: Domino effect for world market fluctuations

We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…

In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…

We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a…

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…

The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…

The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…

It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…

Vital parts of the climate system, such as the West Antarctic Ice Sheet, are at risk even within the aspired aims of the Paris Agreement to limit global temperature rise to 1.5 -- 2{\deg}C. These so-called natural tipping elements are…

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…

We briefly introduce a new promising field of applications of statistical physics, opinion dynamics, where the systems at study are social groups or communities and the atoms/spins are the individuals (or agents) belonging to such groups.…

We study the global fluctuations for a class of determinantal point processes coming from large systems of non-colliding processes and non-intersecting paths. Our main assumption is that the point processes are constructed by biorthogonal…

The quantum fluctuations of fields can exhibit subtle correlations in space and time. As the interval between a pair of measurements varies, the correlation function can change sign, signaling a shift between correlation and…

In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…

We analyse the role of a fluctuating alpha-effect in alpha-omega dynamo models, and show that there is a mechanism for magnetic field generation, valid at large scale separation, deriving from the interaction of mean shear and a fluctuating…

This paper deals with the stability properties of a closed market, where capital and labour force are acting like a predator-prey system in population-dynamics. The spatial movement of the capital and labour force are taken into account by…

Correlations in complex systems are often obscured by nonstationarity, long-range memory, and heavy-tailed fluctuations, which limit the usefulness of traditional covariance-based analyses. To address these challenges, we construct scale…

We propose a highly efficient and accurate methodology for generating synthetic financial market data using a diffusion model approach. The synthetic data produced by our methodology align closely with observed market data in several key…

Classical sum rules arise in a wide variety of physical contexts. Asymptotic expressions have been derived for many of these sum rules in the limit of long orbital period (or large action). Although sum rule convergence may well be…

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…

Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…