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A model for the growth dynamics of economic organizations
Amaral, L.A.N.; Gopikrishnan, P.; Plerou, V.; Stanley, H.E. - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 127-136
We apply methods and concepts of statistical physics to the study of economic organizations. We identify robust, universal, characteristics of the time evolution of economic organizations. Specifically, we find the existence of scaling laws describing the growth of the size of these...
Persistent link: https://www.econbiz.de/10010871936
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Clusters or networks of economies? A macroeconomy study through Gross Domestic Product
Ausloos, M.; Lambiotte, R. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 16-21
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 … evolving weighted network, nodes being the GDP fluctuations (or countries) at different times. …
Persistent link: https://www.econbiz.de/10010873163
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Econophysics of a religious cult: The Antoinists in Belgium [1920–2000]
Ausloos, Marcel - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 11, pp. 3190-3197
to the proposition of a general mechanistic model taking into account an average GDP growth, oscillatory monetary …
Persistent link: https://www.econbiz.de/10010591718
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The returns and risks of investment portfolio in stock market crashes
Li, Jiang-Cheng; Long, Chao; Chen, Xiao-Dan - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 282-288
The returns and risks of investment portfolio in stock market crashes are investigated by considering a theoretical model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically simulating probability density function of returns and the...
Persistent link: https://www.econbiz.de/10011209736
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Sector dominance ratio analysis of financial markets
Uechi, Lisa; Akutsu, Tatsuya; Stanley, H. Eugene; … - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 488-509
In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a...
Persistent link: https://www.econbiz.de/10011194012
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The returns and risks of investment portfolio in a financial market
Li, Jiang-Cheng; Mei, Dong-Cheng - In: Physica A: Statistical Mechanics and its Applications 406 (2014) C, pp. 67-72
The returns and risks of investment portfolio in a financial system was investigated by constructing a theoretical model based on the Heston model. After the theoretical model and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the...
Persistent link: https://www.econbiz.de/10010777052
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Scaling, correlations, and cascades in finance and turbulence
McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 329 (2003) 1, pp. 213-221
The question of information cascades in finance appears in the literature. We use the dynamics of Kolmogorov's 1962 (K62) turbulence model, an example of multiaffine scaling, to illustrate how evidence for diffusion from large to small length scales, or correspondingly an information cascade...
Persistent link: https://www.econbiz.de/10010871733
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Spin models as microfoundation of macroscopic market models
Krause, Sebastian M.; Bornholdt, Stefan - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 18, pp. 4048-4054
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of mechanisms in the market than the purely phenomenological...
Persistent link: https://www.econbiz.de/10010871845
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Cluster behavior of a simple model in financial markets
Jiang, J.; Li, W.; Cai, X. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 528-536
We investigate the cluster behavior of financial markets within the framework of a model based on a scale-free network. In this model, a cluster is formed by connected agents that are in the same state. The cumulative distribution of clusters is found to be a power-law. We find that the...
Persistent link: https://www.econbiz.de/10010871883
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Pruning a minimum spanning tree
Sandoval, Leonidas - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 8, pp. 2678-2711
This work employs various techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The first technique establishes a threshold above which...
Persistent link: https://www.econbiz.de/10010872222