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Econophysics: financial time series from a statistical physics point of view
Plerou, Vasiliki; Gopikrishnan, Parameswaran; Rosenow, Bernd - In: Physica A: Statistical Mechanics and its Applications 279 (2000) 1, pp. 443-456
problems. The word “Econophysics” is sometimes used to refer to this work. Much recent work is focused on understanding the …
Persistent link: https://www.econbiz.de/10011062037
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Quantifying fluctuations in economic systems by adapting methods of statistical physics
Stanley, H.E.; Gopikrishnan, P.; Plerou, V.; Amaral, L.A.N. - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 3, pp. 339-361
The emerging subfield of econophysics explores the degree to which certain concepts and methods from statistical … in the economics community. Here we give a brief overview of two examples of research topics that are receiving recent …, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price fluctuations – volatility – to two …
Persistent link: https://www.econbiz.de/10011057441
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A self-adjusted Monte Carlo simulation as a model for financial markets with central regulation
Horváth, Denis; Gmitra, Martin; Kuscsik, Zoltán - In: Physica A: Statistical Mechanics and its Applications 361 (2006) 2, pp. 589-605
Properties of the self-adjusted Monte Carlo algorithm applied to 2d Ising ferromagnet are studied numerically. The endogenous feedback form expressed in terms of the instant running averages is suggested in order to generate a biased random walk of the temperature that converges to criticality...
Persistent link: https://www.econbiz.de/10011057188
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Modelling price dynamics: A hybrid truncated Lévy Flight–GARCH approach
Constantinides, A.; Savel’ev, S.E. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 9, pp. 2072-2078
build a hybrid model that most notably describes the price change and associated volatility probability density …
Persistent link: https://www.econbiz.de/10010872579
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Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices
Malevergne, Y.; Sornette, D. - In: Physica A: Statistical Mechanics and its Applications 331 (2004) 3, pp. 660-668
Through simple analytical calculations and numerical simulations, we demonstrate the generic existence of a self-organized macroscopic state in any large multivariate system possessing non-vanishing average correlations between a finite fraction of all pairs of elements. The coexistence of an...
Persistent link: https://www.econbiz.de/10010873012
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Correlation structure analysis of the global agricultural futures market
Dai, Yun-Shi; Ngoc Quang Anh Huynh; Zheng, Qing-Huan; … - In: Research in international business and finance 61 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10014246883
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A RANDOM-MATRIX-THEORY-BASED ANALYSIS OF STOCKS OF MARKETS FROM DIFFERENT COUNTRIES
COELHO, RICARDO; RICHMOND, PETER; HUTZLER, STEFAN; … - In: Advances in Complex Systems (ACS) 11 (2008) 05, pp. 655-668
Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical visualization of so-called minimum spanning trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of...
Persistent link: https://www.econbiz.de/10005050873
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Random matrix theory filters in portfolio optimisation: A stability and risk assessment
Daly, J.; Crane, M.; Ruskin, H.J. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4248-4260
Random matrix theory (RMT) filters, applied to covariance matrices of financial returns, have recently been shown to offer improvements to the optimisation of stock portfolios. This paper studies the effect of three RMT filters on the realised portfolio risk, and on the stability of the filtered...
Persistent link: https://www.econbiz.de/10010589903
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Correlation study of the Athens Stock Exchange
Garas, Antonios; Argyrakis, Panos - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 399-410
We study the year-after-year properties of three different portfolios traded in the Athens Stock Exchange (ASE) for the time period 1987–2004. We use the minimum spanning tree (MST) technique and the random matrix theory (RMT), which make it possible to examine at the same time the temporal...
Persistent link: https://www.econbiz.de/10010591192
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Effect of changing data size on eigenvalues in the Korean and Japanese stock markets
Eom, Cheoljun; Jung, Woo-Sung; Kaizoji, Taisei; Kim, … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4780-4786
In this study, we attempted to determine how eigenvalues change, according to random matrix theory (RMT), in stock market data as the number of stocks comprising the correlation matrix changes. Specifically, we tested for changes in the eigenvalue properties as a function of the number and type...
Persistent link: https://www.econbiz.de/10010591512