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Insolvency and contagion in the Brazilian interbank market
Souza, Sergio R.S.; Tabak, Benjamin M.; Silva, Thiago C.; … - In: Physica A: Statistical Mechanics and its Applications 431 (2015) C, pp. 140-151
This paper proposes a new way to model and analyze contagion in interbank networks. We use a unique dataset from the …, which implies that size is not the sole determinant of importance within networks. Most vulnerable financial institutions …
Persistent link: https://www.econbiz.de/10011264556
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Particles, maps and irreversible thermodynamics
Cohen, E.G.D.; Rondoni, L. - In: Physica A: Statistical Mechanics and its Applications 306 (2002) C, pp. 117-128
We analyze some models of nonequilibrium systems proposed in the past decade which derive the laws of irreversible thermodynamics from deterministic dynamics. We find that these models do not posses the crucial property of local thermodynamic equilibrium, since they represent noninteracting...
Persistent link: https://www.econbiz.de/10010873161
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Thermodynamics of dilute gases in shear flow
Jou, D.; Criado-Sancho, M. - In: Physica A: Statistical Mechanics and its Applications 292 (2001) 1, pp. 75-86
We consider the effect of shear and normal viscous pressures on the non-equilibrium entropy of ideal gases in Couette flow. These results extend the previous ones (Bidar et al., Physica A 233 (1996) 163), where normal pressure effects were ignored. Furthermore, we analyze the non-equilibrium...
Persistent link: https://www.econbiz.de/10010873180
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Liouville equation and the q-statistical formalism
Plastino, A.R; Giordano, C; Plastino, A; Casas, M - In: Physica A: Statistical Mechanics and its Applications 336 (2004) 3, pp. 376-390
We revisit some aspects of the foundations of the q-non-extensive thermostatistical formalism, which are particularly relevant to its astronomical applications. We analyse some important features of escort mean values and escort distributions, in connection with the dynamical evolution of...
Persistent link: https://www.econbiz.de/10010874091
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Statistical measures of complexity for quantum systems with continuous variables
Manzano, D. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 23, pp. 6238-6244
The Fisher–Shannon statistical measure of complexity is analyzed for a continuous manifold of quantum observables. It is shown that evaluating this measure only in the configuration or in the momentum spaces does not provide an adequate characterization of the complexity of some quantum...
Persistent link: https://www.econbiz.de/10010874151
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Information theoretic description of networks
Wilhelm, Thomas; Hollunder, Jens - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 1, pp. 385-396
type of networks with n nodes and L directed and weighted links, i.e., it also works for the simpler undirected and … unweighted networks. The new information theoretic measures for network characterizations are based on a transmitter …–receiver analogy of effluxes and influxes. Based on these measures, we classify networks as either complex or non-complex and as either …
Persistent link: https://www.econbiz.de/10010874248
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Information theoretic approach for accounting classification
Ribeiro, E.M.S.; Prataviera, G.A. - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 651-660
In this paper we consider an information theoretic approach for the accounting classification process. We propose a matrix formalism and an algorithm for calculations of information theoretic measures associated to accounting classification. The formalism may be useful for further...
Persistent link: https://www.econbiz.de/10010939916
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Maximum entropy distribution of stock price fluctuations
Bartiromo, Rosario - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 7, pp. 1638-1647
In this paper we propose to use the principle of absence of arbitrage opportunities in its entropic interpretation to obtain the distribution of stock price fluctuations by maximizing its information entropy. We show that this approach leads to a physical description of the underlying dynamics...
Persistent link: https://www.econbiz.de/10010608601
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Fisher info and thermodynamics’ first law
Plastino, A.; Plastino, A.R.; Soffer, B.H. - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 432-438
We show, starting from first principles, that thermodynamics’ first law can be microscopically obtained for Fisher's information measure without need of invoking the adiabatic theorem. Further, it is proved that enforcing the Fisher-first law requirements in a process in which the probability...
Persistent link: https://www.econbiz.de/10010588898
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Information and thermodynamics’ first law
Martinez, S.; Plastino, A.; Soffer, B.H. - In: Physica A: Statistical Mechanics and its Applications 356 (2005) 1, pp. 167-171
Thermodynamics’ first law (TFL), although undoubtedly true because of its many verified consequences, rests on a rather weak experimental foundation in the sense that, as pointed out by Pippard, its path-independent aspect cannot be said to have been directly verified. From the theoretical...
Persistent link: https://www.econbiz.de/10010589015