1,720,965 research outputs found
On the Statistical Physics Contribution to Quantitative Finance
No full textA short review is given of some research topics recently developed in the framework of quantitative finance and which can be referred to the effort of adapting methods and technologies of statistical physics to the analysis of economic systems. In particular we emphasize the role of a different, new perspective, in approaching financial problems, originated within the theory of complex systems and based on concepts like universality, scaling and correlation properties. Once applied to the time evolution of prices and volatility, this approach allows for the recognition of long-range and nonlinear effects in financial time series
Multispecies grand-canonical models for networks with reciprocity
No full textReciprocity is a second-order correlation that has been recently detected in all real directed networks and shown to have a crucial effect on the dynamical processes taking place on them. However, no current theoretical model generates networks with this nontrivial property. Here we propose a grand-canonical class of models reproducing the observed patterns of reciprocity by regarding single and double links as Fermi particles of different “chemical species” governed by the corresponding chemical potentials. Within this framework we find interesting special cases such as the extensions of random graphs, the configuration model, and hidden-variable models. Our theoretical predictions are also in excellent agreement with the empirical results for networks with well-studied reciprocity
Wealth dynamics on complex networks
No full textWe study a model of wealthdynamics (Physica A 282 (2000) 536) which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of the underlying transaction network. The extreme cases of a fully connected and a fully disconnected network yield power-law and log-normal forms of the wealth distribution, respectively. We perform numerical simulations in order to test the model on more complexnetwork topologies. We show that the mixed form of most empirical distributions (displaying a non-smooth transition from a log-normal to a power-law form) can be traced back to a heterogeneous topology with varying link density, which on the other hand is a recently observed property of real networks
Fitness-dependent topological properties of the World Trade Web
No full textThe all relevant topological properties of the world trade web (WTW) formed by the trade relationhips between all world countries were discussed. The gross domestic product (GDP) was identified with the fitness variable once a form of the connection probability was introduced. Properties upto third-order correlation structure were found to be in excellent agreement with the predictions of the network model. The network connection probability was such that all realizations of the network with the same degree sequence were equiprobable
Patterns of link reciprocity in directed networks
No full textWe address the problem of link reciprocity, the nonrandom presence of two mutual links between pairs of vertices. We propose a new measure of reciprocity that allows the ordering of networks according to their actual degree of correlation between mutual links. We find that real networks are always either correlated or anticorrelated, and that networks of the same type (economic, social, cellular, financial, ecological, etc.) display similar values of the reciprocity. The observed patterns are not reproduced by current models. This leads us to introduce a more general framework where mutual links occur with a conditional connection probability. In some of the studied networks we discuss the form of the conditional connection probability and the size dependence of the reciprocity
Detecting spatial homogeneity in the World Trade Web with Detrended Fluctuation Analysis
No full textIn a spatially embedded network, that is a network where nodes can be uniquely determined in a system of coordinates, links’ weights might be affected by metric distances coupling every pair of nodes (dyads). In order to assess to what extent metric distances affect relationships (link’s weights) in a spatially embedded network, we propose a methodology based on DFA (Detrended Fluctuation Analysis). DFA is a well developed methodology to evaluate autocorrelations and estimate long-range behavior in time series. We argue it can be further extended to spatially ordered series in order to assess autocorrelations in values. A scaling exponent of 0.5 (uncorrelated data) would thereby signal a perfect homogeneous space embedding the network. We apply the proposed methodology to the World Trade Web (WTW) during the years 1949–2000 and we find, in some contrast with predictions of gravity models, a declining influence of distances on trading relationships
On the creation of quantized vortex lines in rotating He II
No full textIn this paper we present some hydrodynamical consequences of a previously proposed stochastic model for superfluid4He. We discuss in particular the possibility of time-dependent evolutions which, starting from a rotational initial state, lead to asymptotic stationary solutions where the vorticity is concentrated in singular regions. An example of such asymptotic stationary solutions is the quantized vortex line solution. We also recall the concept of quantum critical slipping velocity and investigate some possible consequences on the spin-up problem and on the creation of systems of vortex lines
Cubic nonlinear Schrödinger equation with vorticity
No full textIn this paper, we introduce a new class of nonlinear Schrödinger equations (NLSEs), with an electromagnetic potential (A Φ), both depending on the wavefunction ψ. The scalar potential π depends on |ψ| 2, whereas the vector potential A satisfies the equation of magnetohydrodynamics with coefficient depending on ψ. In Madelung variables, the velocity field comes to be not irrotational in general and we prove that the vorticity induces dissipation, until the dynamical equilibrium is reached. The expression of the rate of dissipation is common to all NLSEs in the class. We show that they are a particular case of the one-particle dynamics out of dynamical equilibrium for a system of N identical interacting Bose particles, as recently described within stochastic quantization by Lagrangian variational principle. The cubic case is discussed in particular. Results of numerical experiments for rotational excitations of the ground state in a finite two-dimensional trap with harmonic potential are reported. © IOP Publishing Ltd and Deutsche Physikalische Gesellschaft
Time series analysis: Mandelbrot theory at work in Economics
No full textThe consequences of the Gaussian hypothesis, which leads to the Efficient Market Hypothesis, are investigated in the framework of time series analysis in economics. The validity of an alternative model, based on Mandelbrot theory, is discussed using the Rescaled Range technique. Hurst exponents related to the underlying fractional Brownian motion are evaluated
Evidences for a structural change in the oil market before a financial crisis: The flat horizon effect
No full textThere are growing evidences that the commodity bubble in the 2000s had a major impact in the 2007–08 financial crisis. A salient feature of this commodity bubble was the dramatic increasing in the correlation of indexed commodities with oil price following the financialisation of the oil market. In this paper we suggest that, besides the growing demand from emerging economies and the following inflow of money from speculative traders, the introduction of the electronic platform could have had an important and underestimated effect on the oil market. Our analysis of the spot and futures oil prices at the NYMEX based on the Generalized Hurst Exponent confirms that the period 2004–2007 is pivotal in the oil market and corroborates the hypothesis that a structural change occurred in both markets. The evident decrease in multifractality suggests a flattening of the time horizon in financial oil markets and the coexistence of long-termism and short-termism. This structural change could partially explain the observed increase of correlations between commodities and oil price
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