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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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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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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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Stock price fluctuations and the mimetic behaviors of traders
Maskawa, Jun-ichi - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 172-178
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy...
Persistent link: https://www.econbiz.de/10010873093
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A new analysis of the effects of the Asian crisis of 1997 on emergent markets
Mariani, M.C.; Liu, Y. - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 307-316
This work is devoted to the study of the Asian crisis of 1997, and its consequences on emerging markets. We have done so by means of a phase transition model. We have analyzed the crashes on leading indices of Hong Kong (HSI), Turkey (XU100), Mexico (MMX), Brazil (BOVESPA) and Argentina...
Persistent link: https://www.econbiz.de/10010873570
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From Brownian motion to operational risk: Statistical physics and financial markets
Voit, Johannes - In: Physica A: Statistical Mechanics and its Applications 321 (2003) 1, pp. 286-299
High-frequency returns of the DAX German blue chip stock index are used to test geometric Brownian motion, the standard model for financial time series. Even on a 15-s time scale, the linear correlations of DAX returns have a zero-time delta function which carries 90% of the weight, while the...
Persistent link: https://www.econbiz.de/10010873639
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The timing of information transmission in financial markets
Vindel, Jose M.; Trincado, Estrella - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5749-5758
This article shows turbulent behavior in a series of financial indexes assuming that they follow a cascade process of the same type as do turbulent fluids. With such a model, the energy flux between the eddies that emerge in the fluid is analogous to the financial information flux over the...
Persistent link: https://www.econbiz.de/10010873672
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Triangular arbitrage and negative auto-correlation of foreign exchange rates
Aiba, Yukihiro; Hatano, Naomichi; Takayasu, Hideki; … - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 253-257
We show, on the basis of our recently introduced stochastic model, that triangular arbitrage makes the auto-correlation function of foreign exchange rates negative in a short time scale.
Persistent link: https://www.econbiz.de/10010873950
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Scaling in the market of futures
Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 253 (1998) 1, pp. 394-402
The price time series of the Italian government bonds (BTP) futures is studied by means of scaling concepts originally developed for random walks in statistical physics. The series of overnight price differences is mapped onto a one-dimensional random walk: the bond walk. The analysis of the...
Persistent link: https://www.econbiz.de/10010874189
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Algorithmic complexity of real financial markets
Mansilla, R. - In: Physica A: Statistical Mechanics and its Applications 301 (2001) 1, pp. 483-492
A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a quantity rooted in the Kolmogorov–Chaitin theory is applied to binary sequences built up from real time series of...
Persistent link: https://www.econbiz.de/10010874203