Nonextensive statistical features of the Polish stock market fluctuations

The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here, we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999–31.10.2005 for the time lags ranging from 1min$1\min$ up to 1 h. This market is commonly classified as emerging. Still on the shortest time scales studied we find that the tails of the return distributions are consistent with the inverse cubic power law, as identified previously for majority of the mature markets. Within the time scales studied, a quick and considerable departure from this law towards a Gaussian can however be traced. Interestingly, all the forms of the distributions observed can be comprised by the single q-Gaussians which provide a satisfactory and at the same time compact representation of the distribution of return fluctuations over all magnitudes of their variation. The corresponding nonextensivity parameter q was found to systematically decrease when increasing the time scales. The temporal correlations quantified here in terms of multifractality provide further arguments in favor of nonextensivity.     

Effectiveness of measures of performance during speculative bubbles

Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm). Analyses performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We analyze the behavior of performance measures based on maximum drawdown movements (MDD(T)), testing their stability when the underlying process deviates from the Bm hypothesis. In particular we consider the fractional Brownian motion (fBm), and fluctuations estimated empirically on raw market data. The case study of the rising part of speculative bubbles is reported.     

Radiative noise in circuits with inductance

Using the general idea of the fluctuation–dissipation theorem we study a new contribution to the voltage fluctuations which is associated with the presence of radiation resistance. We consider the particular case of a solenoid immersed in a cavity with equilibrium radiation at temperature T. We prove that these new fluctuations are generated by the random magnetic field present in the cavity. These magnetic voltage fluctuations are shown to be experimentally distinguishable from the voltage fluctuations associated with the well known Nyquist noise. Accordingly we suggest feasible experiments to measure this magnetic noise. All the calculations are made within the context of Stochastic Electrodynamics, a theory in which the vacuum zero-point field is taken as a real electromagnetic field. We also study the average energy of an RLC circuit in thermodynamic equilibrium with the radiation.     

Impact of uncertainty in expected return estimation on stock price volatility

We investigate the origin of volatility in financial markets by defining an analytical model for time evolution of stock share prices. The defined model is similar to the GARCH class of models, but can additionally exhibit bimodal behaviour in the supply–demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of traders and the number of stock shares approaches infinity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.     

The volatility in a multi-share financial market model

Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the variance of the price fluctuations, with empirical characteristics. In particular we find its probability distribution is similar to a log normal distribution but with a long power-law tail for the large fluctuations, and that the time development shows superdiffusion. Both these results are in good quantitative agreement with observations.     

Rényi’s information transfer between financial time series

In this paper, we quantify the statistical coherence between financial time series by means of the Rényi entropy. With the help of Campbell’s coding theorem, we show that the Rényi entropy selectively emphasizes only certain sectors of the underlying empirical distribution while strongly suppressing others. This accentuation is controlled with Rényi’s parameter q$q$. To tackle the issue of the information flow between time series, we formulate the concept of Rényi’s transfer entropy as a measure of information that is transferred only between certain parts of underlying distributions. This is particularly pertinent in financial time series, where the knowledge of marginal events such as spikes or sudden jumps is of a crucial importance. We apply the Rényian information flow to stock market time series from 11 world stock indices as sampled at a daily rate in the time period 02.01.1990–31.12.2009. Corresponding heat maps and net information flows are represented graphically. A detailed discussion of the transfer entropy between the DAX and S&P500 indices based on minute tick data gathered in the period 02.04.2008–11.09.2009 is also provided. Our analysis shows that the bivariate information flow between world markets is strongly asymmetric with a distinct information surplus flowing from the Asia–Pacific region to both European and US markets. An important yet less dramatic excess of information also flows from Europe to the US. This is particularly clearly seen from a careful analysis of Rényi information flow between the DAX and S&P500 indices.     

Asymmetric and symmetric meta-correlations in financial markets

In financial markets, the relation between fluctuations of stock prices and trading behaviors is complex. It is intriguing to quantify this kind of meta-correlation between market fluctuations and the synchronous behaviors. We refine the theoretical index leverage model proposed by Reigneron et al., to exactly quantify the meta-correlation under various levels of price fluctuations [Reigneron P A, Allez R and Bouchaud J P 2011 Physica A 390 3026]. The characteristics of meta-correlations in times of market losses, are found to be significantly different in Chinese and American financial markets. In addition,unlike the asymmetric results at the daily scale, the correlation behaviors are found to be symmetric at the high-frequency scale.     

Structural and topological phase transitions on the German Stock Exchange

We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the worldwide financial crash. Using the Minimal Spanning Tree (MST) technique, a particularly useful canonical tool of the graph theory, two transitions of the topology of a complex network representing the FSE were found. The first transition is from a hierarchical scale-free MST representing the stock market before the recent worldwide financial crash, to a superstar-like MST decorated by a scale-free hierarchy of trees representing the market’s state for the period containing the crash. Subsequently, a transition is observed from this transient, (meta)stable state of the crash to a hierarchical scale-free MST decorated by several star-like trees after the worldwide financial crash. The phase transitions observed are analogous to the ones we obtained earlier for the Warsaw Stock Exchange and more pronounced than those found by Onnela–Chakraborti–Kaski–Kertész for the S&P 500 index in the vicinity of Black Monday (October 19, 1987) and also in the vicinity of January 1, 1998. Our results provide an empirical foundation for the future theory of dynamical, structural and topological phase transitions on financial markets.     

Extracting hidden fluctuation patterns of Hang Seng stock index from network topologies

We present a model of complex network generated from Hang Seng index (HSI) of Hong Kong stock market, which encodes stock market relevant both interconnections and interactions between fluctuation patterns of HSI in the network topologies. In the network, the nodes (edges) represent all kinds of patterns of HSI fluctuation (their interconnections). Based on network topological statistic, we present efficient algorithms, measuring betweenness centrality (BC) and inverse participation ratio (IPR) of network adjacency matrix, for detecting topological important nodes. We have at least obtained three uniform nodes of topological importance, and find the three nodes, i.e. 18.7% nodes undertake 71.9% betweenness centrality and closely correlate other nodes. From these topological important nodes, we can extract hidden significant fluctuation patterns of HSI. We also find these patterns are independent the time intervals scales. The results contain important physical implication, i.e. the significant patterns play much more important roles in both information control and transport of stock market, and should be useful for us to more understand fluctuations regularity of stock market index. Moreover, we could conclude that Hong Kong stock market, rather than a random system, is statistically stable, by comparison to random networks.     

Study of structural,elastic, electronic and thermodynamic properties of NaAlO3-perovskite

The structural, elastic, electronic, and thermodynamic properties of the cubic NaAlO₃-perovskite are calculated using the full potential linearized augmented plane wave with local orbital (FP-LAPW)+lo. The exchange-correlation energy, is treated in generalized gradient approximation (GGA) using the Perdew–Burke–Ernzerhof (PBE) parameterization. The calculated equilibrium parameter is in good agreement with other works. The bulk modulus, elastic constants and their related parameters, such as Young modulus, shear modulus, and Poisson ratio were predicted. The electronic band structure of this compound has been calculated using the Angel-Vosko (EV) generalized gradient approximation (GGA) for the exchange correlation potential. We deduced that NaAlO₃-perovskite exhibit a wide-gap which it is an indirect from R to Γ point. The analysis of the density of states (DOS) curves shows ionic and covalent character bond for Al–O and Na–O respectively.     

Switching Phenomena in a System with No Switches

It is widely believed that switching phenomena require switches, but this is actually not true. For an intriguing variety of switching phenomena in nature, the underlying complex system abruptly changes from one state to another in a highly discontinuous fashion. For example, financial market fluctuations are characterized by many abrupt switchings creating increasing trends (“bubble formation”) and decreasing trends (“financial collapse”). Such switching occurs on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for a few seconds. We analyze a database containing 13,991,275 German DAX Future transactions recorded with a time resolution of 10 msec. For comparison, a database providing 2,592,531 of all S&P500 daily closing prices is used. We ask whether these ubiquitous switching phenomena have quantifiable features independent of the time horizon studied. We find striking scale-free behavior of the volatility after each switching occurs. We interpret our findings as being consistent with time-dependent collective behavior of financial market participants. We test the possible universality of our result by performing a parallel analysis of fluctuations in transaction volume and time intervals between trades. We show that these financial market switching processes have properties similar to those of phase transitions. We suggest that the well-known catastrophic bubbles that occur on large time scales—such as the most recent financial crisis—are no outliers but single dramatic representatives caused by the switching between upward and downward trends on time scales varying over nine orders of magnitude from very large (≈10² days) down to very small (≈10 ms).     

On the thermodynamic and quantum fluctuations of the cosmological constant

We discuss, from a condensed-matter point of view, the recent idea that the Poisson fluctuations of the cosmological constant about zero could be a source of the observed dark energy [1, 2]. We argue that the thermodynamic fluctuations of Λ are much bigger. Since the amplitude of the fluctuations is ∝ V^?1/2, where V is the volume of the universe, the present constraint on the cosmological constant provides a lower limit for V that is much larger than the volume within the cosmological horizon.     

Maximum entropy with fluctuating constraints: The example of K-distributions

We indicate that in a maximum entropy setting, the thermodynamic β and the observation constraint are linked, so that fluctuations of the latter imposes fluctuations of the former. This gives an alternate viewpoint to ‘superstatistics’. While a Gamma model for fluctuations of the β parameter gives the so-called Tsallis distributions, we work out the case of a Gamma model for fluctuations of the observable, and show that this leads to K-distributions. We draw attention to the fact that these heavy-tailed distributions have high interest in physical applications, and we discuss them in some details.     

Stock market return distributions: From past to present

We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index α>3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of the S&P500, DAX and WIG20 indices over the interval May 2004-May 2006. Our findings suggest that dynamics of the contemporary market may differ from the one observed in the past. This effect indicates a constantly increasing efficiency of world markets.     

Clusters or networks of economies? A macroeconomy study through Gross Domestic Product

We study correlations between web-downloaded gross domestic product (GDP)'s of rich countries. GDP is used as wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP. We look for forward and backward correlations between such fluctuations. The correlation measure is based on the Theil index. The system is represented by an evolving weighted network, nodes being the GDP fluctuations (or countries) at different times.In order to extract structures from the network, we focus on filtering the time delayed correlations by removing the least correlated links. This percolation idea-based method reveals the emergence of connections, that are visualized by a branching representation. Note that the network is made of weighted and directed links when taking into account a delay time. Such a measure of collective habits does not readily fit the usual expectations, except if an economy globalization framework is accepted.     

Thermal fluctuations of dyadosphere of Reissner-Nordström,Janis-Newman-Winicour and f(R) global monopole black holes

In this paper, we study the effects of thermal fluctuations on Dyadosphere of Reissner-Nordström, Janis-Newman-Winicour and the fragmentation of f(R) global monopole black holes. In the presence of these fluctuations, we obtain various thermodynamic quantities like pressure, entropy, specific heat, Canonical and Grand Canonical ensembles. We discuss the stability of these black holes using the γ (the ratio of heat capacities). We also discuss the phase transition and range of local and global stability. It is demonstrated that in Dyadoshpere of Reissner-Nordström, Janis-Newman-Winicour and fragmentation of f(R) global monopole black holes become locally and globally stable due to logarithmic correction term and large horizon radius.     

Ab initio calculations of structural,electronic, optical and thermodynamic properties of alkaline earth tellurides BaxSr1−XTe

Structural, electronic and thermodynamic properties of SrTe and BaTe compounds and their ternary mixed crystals Ba_xSr_1−xTe in the rock-salt structure have been studied with density functional theory (DFT), whereas the optical properties have been obtained by using empirical methods such as the modified Moss relation. The exchange-correlation potential was calculated using the generalized gradient approximation (GGA) of Perdew–Burke–Ernzerhof (PBE) and the local density approximation (LDA) of Teter–Pade (TP). In the present work, we used the virtual-crystal approximation (VCA) to study the effect of composition (x). The calculated lattice parameters at equilibrium volume and the bulk modulus for x=0 and x=1 are in good agreement with the literature data. Furthermore, the Ba_xSr_1−xTe alloys are found to be an indirect band gap semiconductor. In addition, we have also predicted the heat capacities (C_V), the entropy(S), the internal energy (U) and the Helmholtz free energy (F) of the parent compounds SrTe and BaTe.     

Coevolutionary dynamics of opinion propagation and social balance: The key role of small-worldness

We present a (semi-) analytical model of asset fluctuations using the framework of Fokker-Planck equations, together with generalised diffusion coefficients. Allowing for time dependence of the coefficients D ₁ and D ₂ provides a route to the characterization of the long- and short-time nature of autocorrelation functions, as is demonstrated for Dow Jones 1993–2012 financial data.     

Super-exponential inflation from a dynamical foliation of a 5D vacuum state

We introduce super-exponential inflation (ω<−1) from a 5D Riemann-flat canonical metric on which we make a dynamical foliation. The resulting metric describes a super accelerated expansion for the early universe well known as super-exponential inflation that, for very large times, tends to an asymptotic de Sitter (vacuum dominated) expansion. The scalar field fluctuations are analyzed. The important result here obtained is that the spectral index for energy density fluctuations is not scale invariant, and for cosmological scales becomes ns(k<k_?)?1. However, for astrophysical scales this spectrum changes to negative values ns(k>k_?)<0.     

Theory and calculations for a spin glass

We obtain the properties of a mean-field spin-glass (in which the bonds connecting each spin to every other spin are “frozen-in” with random signs), by locating the zeros of the partition function in the complex T plane. For N = 5 and 9 spins, we obtain the relevant polynomials and zeros explicitly, and the resulting thermodynamic properties (free energy, specific heat, magnetic susceptibility, etc.). We then analyze the properties of such a system in the thermodynamic limit N → ∞, where it is impossible to obtain the polynomials directly but where the presumed location of the zeros can be usefully construed. In this limit, the thermodynamic functions are obtainable as functions of the distribution functions of monopoles, quadrupoles, and possibly higher-order poles.