相关论文: Symmetry Breaking in Stock Demand
We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $G$ over a time interval $\Delta t$ and two different measures of demand fluctuations: (a) $\Phi$, defined as the…
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval…
We demonstrate that the martingale condition in the stock market can be interpreted as a vacuum condition when we express the financial equations in the Hamiltonian form. We then show that the symmetry under the changes of the prices is…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
We study spontaneous symmetry breaking in a one-dimensional driven two-species stochastic cellular automaton with parallel sublattice update and open boundaries. The dynamics are symmetric with respect to interchange of particles. Starting…
The Spontaneous Symmetry breaking in Quantum Finance considers the martingale condition in the stock market as a vacuum state if we express the financial equations in the Hamiltonian form. The original analysis for this phenomena ignores…
We show that the spontaneous symmetry breaking can be defined also for finite systems based on the properly defined jump probability between the ground states in the 2d and 3d Ising models on a square and a cubic lattice respectively. Our…
We consider a simple decision model in which a set of agents randomly choose one of two competing shops selling the same perishable products (typically food). The satisfaction of agents with respect to a given store is related to the…
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of…
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the…
It has been recently suggested that a totally asymmetric exclusion process with two species on an open chain could exhibit spontaneous symmetry breaking in some range of the parameters defining its dynamics. The symmetry breaking is…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
An inflation model with inverse symmetry breaking of two scalar fields is proposed. Constraints on the parameters for a successful inflation are obtained. In general the inequality $\lambda_1\ll g <\lambda_2$ should be satisfied, where…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We analyze intraday transition dynamics of ask and bid orders across market capitalization tiers using high-frequency…
We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for…
Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The…
In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore…