Showing 1 - 9 of 9
In this paper we focus on the beneficial role of random strategies in social sciences by means of simple mathematical and computational models. We briefly review recent results obtained by two of us in previous contributions for the case of the Peter principle and the efficiency of a Parliament....
Persistent link: https://www.econbiz.de/10010775444
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,...
Persistent link: https://www.econbiz.de/10010941722
Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors, distributed on a small-world network, who bet on the...
Persistent link: https://www.econbiz.de/10010723219
We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy $S_{q}=k\frac{1-\sum\limits_{i=1}^{W} p_{i} ^{q}}{1-q} (q\in \Re)$ ($S_{1} \equiv...
Persistent link: https://www.econbiz.de/10005098540
Engle's ARCH algorithm is a generator of stochastic time series for financial returns (and similar quantities) characterized by a time-dependent variance. It involves a memory parameter $b$ ($b=0$ corresponds to {\it no memory}), and the noise is currently chosen to be Gaussian. We assume here a...
Persistent link: https://www.econbiz.de/10005098896
Ergodicity, this is to say, dynamics whose time averages coincide with ensemble averages, naturally leads to Boltzmann-Gibbs (BG) statistical mechanics, hence to standard thermodynamics. This formalism has been at the basis of an enormous success in describing, among others, the particular...
Persistent link: https://www.econbiz.de/10005099440
The $GARCH$ algorithm is the most renowned generalisation of Engle's original proposal for modelising {\it returns}, the $ARCH$ process. Both cases are characterised by presenting a time dependent and correlated variance or {\it volatility}. Besides a memory parameter, $b$, (present in $ARCH$)...
Persistent link: https://www.econbiz.de/10005083726
The cornerstone of Boltzmann-Gibbs ($BG$) statistical mechanics is the Boltzmann-Gibbs-Jaynes-Shannon entropy $S_{BG} \equiv -k\int dx f(x)\ln f(x)$, where $k$ is a positive constant and $f(x)$ a probability density function. This theory has exibited, along more than one century, great success...
Persistent link: https://www.econbiz.de/10005083939
The sensitivity to risk that most people (hence, financial operators) feel affects the dynamics of financial transactions. Here we present an approach to this problem based on a current generalization of Boltzmann-Gibbs statistical mechanics.
Persistent link: https://www.econbiz.de/10005084083