相关论文: Complex Behavior of Stock Markets: Processes of Sy…

In this article we review several techniques to extract information from stock market data. We discuss recurrence analysis of time series, decomposition of aggregate correlation matrices to study co-movements in financial data, stock level…

In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…

We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral…

We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…

Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…

We analyze the stock prices of the S&P market from 1987 until 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long…

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…

The first 100 days of Donald Trump second presidential term (January 20th - April 30th, 2025) featured policy actions with potential market repercussions, constituting a well-suited case study of a concentrated policy scenario. Here, we…

A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied…

Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…

Understanding quantitative relationships between urban elements is crucial for a wide range of applications. The observation at the macroscopic level demonstrates that the aggregated urban quantities (e.g., gross domestic product) scale…

A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to…

We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after…

Over the last few years there has been a growing interest in using financial trading networks to understand the microstructure of financial markets. Most of the methodologies developed so far for this purpose have been based on the study of…

We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…

The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…

We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…

In functionally complex systems, higher-order connectivity is often revealed in the underlying geometry of networked units. Furthermore, such systems often show signatures of self-organized criticality, a specific type of non-equilibrium…

We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…

We find a remarkable time persistence of various proxies for the kurtosis (p-kurtosis) of the intraday returns distribution for the S&P500 index and this permits a significant measure of their evolution from 1983 to 2004. There appears a…