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Zhang, Chao; Huang, Lu - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5769-5775

Beginning with several basic hypotheses of quantum mechanics, we give a new quantum model in econophysics. In this …

Persistent link: https://www.econbiz.de/10011058560

Fluctuations of trading volume in a stock market

Hong, Byoung Hee; Lee, Kyoung Eun; Hwang, Jun Kyung; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 6, pp. 863-868

We consider the probability distribution function of the trading volume and the volume changes in the Korean stock market. The probability distribution function of the trading volume shows double peaks and follows a power law, P(V/〈V〉)∼(V/〈V〉)−α at the tail part of the distribution...

Persistent link: https://www.econbiz.de/10011060619

Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 337 (2004) 3, pp. 586-608

Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an antibubble in the yields with maturities larger than 1 year since October 2000. The concept of...

Persistent link: https://www.econbiz.de/10011060707

Viscoelastic behavior of stock indices

Gündüz, Güngör; Gündüz, Yalin - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5776-5784

The scattering diagram of a stock index results in a complex network structure, which can be used to analyze the viscoelastic properties of the index. The change along x- or y-direction of the diagram corresponds to purely elastic (or spring like) movement whereas the diagonal change at an angle...

Persistent link: https://www.econbiz.de/10011061485

Another type of log-periodic oscillations on Polish stock market

Gnaciński, Piotr; Makowiec, Danuta - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 322-325

Log-periodic oscillations have been used to predict price trends and crashes on financial markets. So far two types of log-periodic oscillations have been associated with the real markets. The first type oscillations accompany a rising market and end in a crash. The second type oscillations,...

Persistent link: https://www.econbiz.de/10011062632

Impact of monetary policy changes on the Chinese monetary and stock markets

Tang, Yong; Luo, Yong; Xiong, Jie; Zhao, Fei; Zhang, … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 19, pp. 4435-4449

The impact of monetary policy changes on the monetary market and stock market in China is investigated in this study. The changes of two major monetary policies, the interest rate and required reserve ratio, are analyzed in a study period covering seven years on the interbank monetary market and...

Persistent link: https://www.econbiz.de/10011062919

Thermodynamics of relation-based systems with applications in econophysics, sociophysics, and music

Gündüz, Güngör - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4637-4653

A methodology was developed to analyze relation-based systems evolving in time by using the fundamental concepts of thermodynamics. The behavior of such systems can be tracked from the scattering matrix which is actually a network of directed vectors (or pathways) connecting subsequent values,...

Persistent link: https://www.econbiz.de/10011063981

Non-Poisson intermittent events in price formation in a Ising spin model of market

Greco, Antonella; Carbone, Vincenzo; Sorriso-Valvo, Luca - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 480-486

The formation of price in a financial market is modelled as a chain of Ising spin with three fundamental figures of trading. We investigate the time behaviour of the model, and we compare the results with the real EURO/USD change rate. By using the test of local Poisson hypothesis, we show that...

Persistent link: https://www.econbiz.de/10011064138

Abnormal statistical properties of stock indexes during a financial crash

Li, Wei-Shen; Liaw, Sy-Sang - In: Physica A: Statistical Mechanics and its Applications 422 (2015) C, pp. 73-88

We investigate minute indexes of stock markets in 10 countries during financial crashes by dividing them into several stages according to their stock price tendencies: plunging stage (stage 1), fluctuating or rebounding stage (stage 2), and soaring stage (stage 3). The tail distributions of the...

Persistent link: https://www.econbiz.de/10011194001

How trading volume responds to return in financial dynamics?

Chen, Guang; Qiu, Tian; Jiang, Xiong-Fei; Zhong, Li-Xin; … - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 73-81

How trading volume responds to price return is investigated by the return–volume correlation dynamics, based on the … and the Chinese stock markets, respectively. Nonlocal dynamics further suggests an adverse correlation for the two markets … on the financial dynamics differing in the mature and emerging markets. …

Persistent link: https://www.econbiz.de/10011194063