An empirical and theoretical analysis of financial crises is conducted based on statistical mechanics in non-equilibrium physics. The transition probability provides a new tool for diagnosing a changing market. Both calm and turbulent markets can be described by the birth–death process for...

We generalize the Ornstein–Uhlenbeck (OU) process using Doob’s theorem. We relax the Gaussian and stationary conditions, assuming a linear and time-homogeneous process. The proposed generalization retains much of the simplicity of the original stochastic process, while exhibiting a somewhat...

The sub-prime crisis in the U.S. reveals the limitation of diversification strategy based on mean–variance analysis. A regime switch and a turning point can be observed using a high moment representation and time-dependent transition probability. Up–down price movements are induced by...

We present a mobile lattice gas model for simulating the pedestrian evacuation process in a public building, through combining the advantages of the lattice gas model and the social force model. In our model, the interaction force between every two pedestrians and that between a pedestrian and...