Search Results - subject_exact:"Maximum entropy principle"

Was the 2025 DAX crash endogenous? : evidence from the Log-Periodic Power Law Model

Zitis, Pavlos I.; Potirakis, Stelios M. - 2026

In this article, we investigate whether the crash of the German DAX index following the U.S. tariff announcement in April 2025 is consistent with pre-existing endogenous market fragility rather than a purely exogenous shock. The analysis is conducted within the Log-Periodic Power Law (LPPL)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059378

Quantifying speculative-bubble effects in major European soccer leagues

Fry, John; Binner, Jane M. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015462714

Maximizing portfolio diversification via Weighted Shannon Entropy : application to the cryptocurrency market

Șerban, Florentin; Dedu, Silvia - 2025

This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the classical mean-variance paradigm, offering a distribution-free approach to diversification suited for volatile and heavy-tailed markets. While traditional variance-based models...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015561662

The statistical mechanics of income in peripheral capitalism : Peru, 2004-2022

Castillo García, César - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015394251

Deep limit order book forecasting : a microstructural guide

Briola, Antonio; Bartolucci, Silvia; Aste, Tomaso - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534180

Generation of synthetic financial time series by diffusion models

Takahashi, Tomonori; Mizuno, Takayuki - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534204

Analysing rational bubbles in African stock markets : evidence from econophysics frequency domain estimates and DCC MGARCH model

Lawal, Adedoyin Isola; Oseni, Ezeikel; Ahmed, Adel; … - 2024

The stock market operates on informed decisions based on information gathered from heterogeneous sources, encompassing diverse beliefs, strategies, and knowledge. This study examines the validity of rational bubbles in stock market prices, focusing on eight African stock markets: South Africa,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015071029

Impact of the COVID-19 pandemic on the intermittent behavior of the global spot markets of staple food crops

Gao, Xing-Lu; Jiang, Zhi-Qiang; Zhou, Wei-Xing - 2024

Intermittent or multifractal behavior has been reported in various markets, and the impact of the COVID-19 pandemic has been investigated. However, the impact of the COVID-19 pandemic on global spot markets for staple foods has not yet been studied. We fill this gap by investigating the grain...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015163366

Special issue: data-driven mathematical sciences and econophysics

Tanaka-Yamawaki, Mieko - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015191754

The rise of econophysics : a connected history of two disciplines

Tusset, Gianfranco - 2026

An exploration of the emergence of a new field of research, known as econophysics, which brings to the fore concepts such as emergent properties, power laws, networks, entropy, and multifractality, thereby reshaping economic enquiry.

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644571

Bilateral risk in savings and loan holding companies : an econophysics framework for analyzing network resilience

Wang, Haibo - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633912

Economic importance and structural robustness of the international pesticide trade networks

Li, Jian-An; Wang, Li; Xie, Wen-Jie; Zhou, Wei-Xing - 2023

Pesticides are agricultural inputs that can significantly reduce yield losses, regulate plant growth, effectively liberate agricultural productivity, and improve food security. The availability of pesticides in economies worldwide is ensured by redistribution through international trade, with...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014504639

A look at financial dependencies by means of econophysics and financial economics

Raddant, Matthias; Di Matteo, Tiziana - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014422588

Opportunity Econophysics : Opportunity Cones, Conscious Agents, and Mechanical Traces of the Conscious Dimension

Maristela, Joe - 2023

This paper comprehensively explores the compelling framework encompassing Opportunity Econophysics, Opportunity Cones, Conscious Agents, and the Traces of the Conscious Dimension within the context of economic systems. The interdisciplinary nature of this framework integrates concepts from...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014349705

Alternatives to the efficient market hypothesis : an overview

Nyakurukwa, Kingstone; Seetharam, Yudhvir - 2023

Purpose - The authors' goal is to provide an overview and historical context for the various alternatives to the efficient market hypothesis (EMH) that have emerged over time. The authors found eight current alternatives that have emerged to address the EMH's flaws. Each of the proposed...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014442467

Physics-inspired analysis of the two-class income distribution in the USA in 1983-2018

Yakovenko, Victor M.; Ludwig, Danial - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014317167

Routledge international handbook of complexity economics

2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015186785

Clustering, long memory and stocks' performance

Cerqueti, Roy; Mattera, Raffaele - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464330

Long memory and financial markets : from econometrics to econophysics

Trinidad Segovia, Juan Evangelista; Ramos-Requena, J. P.; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464335

Statistical arbitrage : an approach from econophysics

Ramos-Requena, J. P.; García Amate, Antonio; Nieves … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464338

Trust as a driver in the DeFi market : leveraging TVL/MCAP bands as confidence indicators to anticipate price movements

Grande, Mar; Borondo, Javier - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015407692

Time-varying efficiency in spot and future energy markets and precious metals : an econophysics approach

Mahmoud, Imen - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015482475

Systemic Risk and Complex Networks in Modern Financial Systems

2025

Systemic Risk and Complex Networks in Modern Financial Systems -- Systemic Risk and Network Science: A Bibliometric and Systematic Review -- A Holistic Journey into Systemic Risk: Theoretical Background, Transmission Channels and Policy Implication -- Macro-prudential Policies to Mitigate...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015077880

Modelling oscillations in the supply chain : the case of a just-in-sequence supply process from the automotive industry

Klug, Florian - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012795226

Statistical laws observed in earthquakes using mesh statistics : an econophysical point of view

Ishikawa, Atushi; Fujimoto, Shouji; Mizuno, Takayuki - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015191755

Select topics of econophysics

2025

Economics requires understanding and analyzing forces that bring buyers and sellers to a market place who then negotiate exchanges of goods and services based on a mutually agreeable price. Economists have their own method of modeling whereby models are first conceived of some notion of economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015272278

Analyzing market microstructure with methods of statistical physics

Henao Londoño, Juan Camilo - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013286359

Logistic forecasting of GDP competitiveness

Ray, Arnab K. - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015395463

The gravity equation in international trade : an overview of the introduction of gravity to the study of economics and its systematic barriers

Capoani, Luigi - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445652

Recurrence interval analysis of financial time series

Zhou, Wei-Xing; Jiang, Zhi-Qiang; Xie, Wen-Jie - 2024

Extreme events are ubiquitous in nature and social society, including natural disasters, accident disasters, crises in public health (such as Ebola and the COVID-19 pandemic), and social security incidents (wars, conflicts, and social unrest). These extreme events will heavily impact financial...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014491224

An entropy-based class of moving averages

Kull, Andreas - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015446451

Transfer entropy approach for portfolio optimization : an empirical approach for CESEE markets

Škrinjarić, Tihana; Quintino, Derick; Ferreira, Paulo - 2021

In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main idea of the research is that combining different methodological aspects in portfolio selection can enhance portfolio performance over time. Using data on CESEE stock market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012626748

The Application of Econophysics in the Evaluation of the COVID-19 Economic Damage

Ruiz Estrada, Mario Arturo - 2021

This research applies Econophysics under the special theory of relativity, the general theory of relativity, and the black holes to evaluate the COVID-19 economic damage. This paper is divided into three sections. The first section proposes applying the special theory of relativity to assess the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013250992

An empirical behavioral order-driven model with price limit rules

Gu, Gao-Feng; Xiong, Xiong; Xu, Hai-Chuan; Zhang, Wei; … - 2021

We propose an empirical behavioral order-driven (EBOD) model with price limit rules, which consists of an order placement process and an order cancellation process. All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012704142

Artificial intelligence approach to momentum risk-taking

Tscherednik, Iwan Wladimirowitsch - 2021

We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility. Its implementation, a fully automated momentum equity trading system, is systematically discussed in this paper. It proved to be successful in extensive...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012698279

Complexity in economic and social systems

2021

There is no term that better describes the essential features of human society than complexity. On various levels, from the decision-making processes of individuals, through to the interactions between individuals leading to the spontaneous formation of groups and social hierarchies, up to the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012586642

The explosion in cryptocurrencies : a black hole analogy

Ballis, Antonis; Drakos, Kōnstantinos - 2021

Using an analogy between finance and astrophysics, this study aims to investigate whether there exists a mechanism that can describe the explosive increase in the number of traded cryptocurrencies and the cryptocurrency market in general. In physics, the Schwarzschild radius indicates that black...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012429243

An econophysics approach to forecast bulk shipbuilding orderbook : an application of Newton's law of gravitation

Sakalayen, Quazi Mohammed Habibus; Duru, Okan; Hirata, Enna - 2021

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012614135

Value added from the perspective of econophysics

Hurnyak, Ihor; Struk, Nataliya; Kordonska, Aleksandra - 2021

The production, or value added, approach to GDP involves calculating an industry or sector's output and subtracting its intermediate consumption (the goods and services used to produce the output) to derive its value added. The value added at the macro level depends on business efficiency. It...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012886817

Relativistic option pricing

Carvalho, Vítor Hugo Ferreira; Gaspar, Raquel M. - 2021

The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain circumstances, are not dissociated and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012545327

Econophysical bourse volatility : global evidence

Ghosh, Bikramaditya; Krishna Mysore Chidambareswaran - 2020

Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012305755

From big data to econophysics and its use to explain complex phenomena

Ferreira, Paulo; Pereira, Eder Johnson de Area Leão; … - 2020

Big data has become a very frequent research topic, due to the increase in data availability. In this introductory paper, we make the linkage between the use of big data and Econophysics, a research field which uses a large amount of data and deals with complex systems. Different approaches such...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012309347

Deterministic chaos and forecasting in Amazon's share prices

Hanias, Michael; Tsakonas, Stefanos; Magafas, Lykourgos; … - 2020

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012259965

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013532181

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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

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Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - 2020

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012239424

Estimating Volatility of German Dax From Econometric and Econophysics Perspectives

Pulickal, Jose Paul - 2020

Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility calculation, therefore, has become an important aspect in the financial markets. For these reasons time series models are greatly used to forecast volatility. One such model is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012829626