排序方式: 共有111条查询结果,搜索用时 31 毫秒
51.
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained about the effectiveness of random strategies of investment, compared with some of the most used trading strategies for forecasting the behaviour of real financial indexes. We also push forward our analysis by means of a self-organised criticality model, able to simulate financial avalanches in trading communities with different network topologies, where a Pareto-like power law behaviour of wealth spontaneously emerges. In this context, we present new findings and suggestions for policies based on the effects that random strategies can have in terms of reduction of dangerous financial extreme events, i.e. bubbles and crashes. 相似文献
52.
Text mining is applied to 510 articles on econophysics to reconstruct the lexical evolution of the discipline from 1999 to 2020. The analysis of the relative frequency of the words used in the articles and their “visualization” allow us to draw some conclusions about the evolution of the discipline. The traditional areas of research, financial markets and distribution of wealth, remain central, but they are flanked by other strands of research—production, currencies, networks—which broaden the discipline by pushing towards a dialectical application of traditional concepts and tools drawn from statistical physics. 相似文献
53.
An Invitation to Quantum Game Theory 总被引:1,自引:0,他引:1
Recent development in quantum computation and quantum information theory allows to extend the scope of game theory for the quantum world. The paper presents the history, basic ideas, and recent development in quantum game theory. In this context, a new application of the Ising chain model is proposed. 相似文献
54.
Jae-Suk Yang Wooseop Kwak Taisei Kaizoji In-mook Kim 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,61(2):241-246
We study the temporal evolutions of three stock
markets; Standard and Poor's 500 index, Nikkei 225 Stock Average,
and the Korea Composite Stock Price Index. We observe that the
probability density function of the log-return has a fat tail but
the tail index has been increasing continuously in recent years.
We have also found that the variance of the autocorrelation
function, the scaling exponent of the standard deviation, and the
statistical complexity decrease, but that the entropy density
increases as time goes over time. We introduce a modified
microscopic spin model and simulate the model to confirm such
increasing and decreasing tendencies in statistical quantities.
These findings indicate that these three stock markets are
becoming more efficient.
An erratum to this article is available at . 相似文献
55.
L. Gazola C. Fernandes A. Pizzinga R. Riera 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,61(3):355-362
This paper intends to meet recent claims for the attainment of more rigorous
statistical methodology within the econophysics literature. To this end, we
consider an econometric approach to investigate the outcomes of the
log-periodic model of price movements, which has been largely used to
forecast financial crashes. In order to accomplish reliable statistical
inference for unknown parameters, we incorporate an autoregressive dynamic
and a conditional heteroskedasticity structure in the error term of the
original model, yielding the log-periodic-AR(1)-GARCH(1,1) model. Both the
original and the extended models are fitted to financial indices of U. S.
market, namely S&P500 and NASDAQ. Our analysis reveal two main points:
(i) the log-periodic-AR(1)-GARCH(1,1) model has residuals with better
statistical properties and (ii) the estimation of the parameter concerning
the time of the financial crash has been improved. 相似文献
56.
S. C. Wang J. J. Tseng C. C. Tai K. H. Lai W. S. Wu S. H. Chen S. P. Li 《The European Physical Journal B - Condensed Matter and Complex Systems》2008,62(1):105-111
Many systems of different nature exhibit scale free behaviors. Economic
systems with power law distribution in the wealth are one of the examples.
To better understand the working behind the complexity, we undertook an
experiment recording the interactions between market participants.
A Web server was setup to administer the exchange of
futures contracts whose liquidation prices were coupled to event outcomes.
After free registration, participants started trading to compete for
the money prizes upon maturity of the futures contracts at the end of
the experiment. The evolving `cash' flow
network was reconstructed from the transactions between players.
We show that the network topology is hierarchical, disassortative and
small-world with a power law exponent of
1.02±0.09 in the degree distribution after an exponential decay correction.
The small-world property emerged early in the experiment while the number
of participants was still small.
We also show power law-like distributions of the net incomes and
inter-transaction time intervals. Big winners and losers are associated with
high degree, high betweenness centrality,
low clustering coefficient and low degree-correlation. We identify communities
in the network as groups of the like-minded. The distribution of the
community sizes is shown to be power-law distributed with an exponent of
1.19±0.16. 相似文献
57.
M. Tumminello T. Di Matteo T. Aste R. N. Mantegna 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):209-217
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New
York Stock Exchange during the time period 2001–2003.
Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different
planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one
trading day.
This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time
horizon increases.
Finally, a cluster formation, associated to economic sectors, is quantitatively investigated. 相似文献
58.
W. Q. Duan 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,59(2):271-276
Identifying universal patterns in complex economic
systems can reveal the dynamics and organizing principles underlying the
process of system evolution. We investigate the scaling behaviours that have
emerged in the international trade system by describing them as a series of
evolving weighted trade networks. The maximum-flow spanning trees (constructed by maximizing the total
weight of the edges) of these networks exhibit two universal scaling
exponents: (1) topological scaling exponent η = 1.30 and (2) flow
scaling exponent ζ = 1.03. 相似文献
59.
Self-organizing Ising model of financial markets 总被引:1,自引:0,他引:1
W.-X. Zhou D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):175-181
We study a dynamical Ising-like model of agents' opinions (buy or
sell) with learning, in which the coupling coefficients are
re-assessed continuously in time according to how past external news
(time-varying magnetic field) have explained realized market
returns. By combining herding, the impact of external news and
private information, we find that the stylized facts of financial
markets are reproduced only when agents misattribute the success of
news to predict return to herding effects, thereby providing
positive feedbacks leading to the model functioning close to the
Ising critical point. 相似文献
60.
V. Alfi F. Coccetti A. Petri L. Pietronero 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):135-142
We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The
statistical properties of the data are relatively homogeneous within the same
day but the large jumps between different days prevent the extension of the
analysis to large times. This leads to intrinsic finite size effects which
alter the apparent Hurst (H) exponent.
We show, by analytical methods, that finite size effects always lead to an
enhancement of H. We then consider the effect of fat tails on the analysis
of the roughness and show that the finite size effects are strongly enhanced
by the fat tails. The non stationarity of the stock price dynamics also
enhances the finite size effects which, in principle, can become important even in the
asymptotic regime. We then compute the Hurst exponent for a set of stocks of
the NYSE and argue that the interpretation of the value
of H is highly ambiguous in view of the above results. Finally we propose an
alternative determination of the roughness in terms of the fluctuations from
moving averages with variable characteristic times. This permits to eliminate
most of the previous problems and to characterize the roughness in useful
way. In particular this approach corresponds to the automatic elimination of
trends at any scale. 相似文献