arXiv research

Most of the econometric and econophysics models have been borrowed from the statistical physics, and as a cosequence, a new interdisciplinary science called econophysics has emerged. In this paper we planned to extend the analogy between different economic processes or phenomena and processes and phenomena from differe…

Knowing and modelling the migration phenomena and especially the social and economic consequences have a theoretical and practical importance, being related to their consequences for development, economic progress (or as appropriate, regression), environmental influences etc. One of the causes of migration, especially …

This is a short commentary piece that discusses how the methods used in the natural sciences can apply to economics in general and financial markets specifically.

The aim of this paper is to analyze the processes of polarization and agglomeration, to explain the mechanisms and causes of these phenomena in order to identify similarities and differences. As the main implication of this study should be noted that both process pretend to explain the concentration of economic activit…

Complexity science offers new insights into macroeconomics and finance.

What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique possibility to measure socio-economic signals from such digital traces. Here, we foc…

The aim of this paper is to construct a natural Riemann-Lagrange differential geometry on 1-jet spaces, in the sense of nonlinear connections, generalized Cartan connections, d-torsions, d-curvatures, jet electromagnetic fields and jet Yang-Mills energies, starting from some given non-linear evolution DEs systems model…

Minimal model reveals power laws in financial markets.

Financial and economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding the origin of these events is arguably one of the most important problems in economic theory. In this paper, we review recent efforts to include heterogeneities and interactions in models…

Quantum approach models economic decisions with probabilistic and dynamic probabilities.

Paper classifies economic states and optimizes portfolios for stagflationary environments.

An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The model considered, while manageable, is significantly complex, however. It is alrea…

One 'problem' with the 21st century world, particularly the economic and business worlds, is the phenomenal and increasing number of interconnections between economic agents (consumers, firms, banks, markets, national economies). This implies that such agents are all interacting and consequently giving raise to enormou…

Over the last decades, the distribution of income and wealth has been deteriorating in many countries, leading to increased inequalities within and between societies. This tendency has revived the interest in the subject greatly, yet it still receives very little attention within the realm of mainstream economic thinki…

The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then we present a critique an…

A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via simple elastic forces acting in the springs. The dragging effect of the moving be…

In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge from complex interactions, we need instruments that can analyze simultaneously com…

Dynamic model improves static economics by incorporating time effects.

In this paper will be applied some principles and methods from econophysics in the case of the direct foreign investitions (D.F.I.), particularised for the Greenfield type, and mixed firms of trade and industrial production (Joint Ventures). To this aim will be used some similarities and parallelisms between the mentio…

Behavior of systems that are functions of anticipated behavior of other systems, whose own behavior is also anticipatory but homeostatic and determined by hierarchical ordering, which changes over time, of sets of possible environments that are not co-possible, is proven to be highly non-linear and sensitively dependen…

Masanao Aoki developed a new methodology for a basic problem of economics: deducing rigorously the macroeconomic dynamics as emerging from the interactions of many individual agents. This includes deduction of the fractal / intermittent fluctuations of macroeconomic quantities from the granularity of the mezo-economic …

Ergodicity, this is to say, dynamics whose time averages coincide with ensemble averages, naturally leads to Boltzmann-Gibbs (BG) statistical mechanics, hence to standard thermodynamics. This formalism has been at the basis of an enormous success in describing, among others, the particular stationary state correspondin…

How do we assign value to economic transactions? To answer this question, we must consider whether the value of objects is inherent, is a product of social interaction, or involves other mechanisms. Economic theory predicts that there is an optimal price for any market transaction, and can be observed during auctions o…

Suppose you look at today's stock prices and bet on the value of the first digit. One could guess that a fair bet should correspond to the frequency of $1/9 = 11.11$ for each digit from 1 to 9. This is by no means the case, and one can easily observe a strong prevalence of the small values over the large ones. The fir…

Theory explains power-law distributions without complex models.

Symmetry in finance is a neglected but potentially valuable concept.

The article presents a translation of some widespread financial terminology into the language of decision theory. For instance, financial leverage can be regarded as an object of choice or a decision. We show how the optics of decision theory allows perceiving the recently introduced metrics of see-through-leverage, wh…

This paper modifies the Ait-Sahalia model to better describe interest rate behaviors.

Exact results on power-law distributions in systems with resets.

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a singl…

Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic globalization still remains an open problem. More quantitative treatments could improv…

Deciding effective and timely preventive measures against complex social problems affecting relatively low income geographies is a difficult challenge. There is a strong need to adopt intelligent automation based solutions with low cost imprints to tackle these problems at larger scales. Starting with the hypothesis th…

We exploit the symmetry concepts developed in the companion review of this article to introduce a stochastic version of link reversal symmetry, which leads to an improved understanding of the reciprocity of directed networks. We apply our formalism to the international trade network and show that a strong embedding in …

One of the first steps to understand and forecast economic downturns is identifying their frequency distribution, but it remains uncertain. This problem is common in phenomena displaying power-law-like distributions. Power laws play a central role in complex systems theory; therefore, the current limitations in the ide…

In this article, we present a brief narration of the origin and the overview of the recent developments done on the Kolkata Paise Restaurant (KPR) problem, which can serve as a prototype for a broader class of resource allocation problems in the presence of a large number of competing agents, typically studied using co…

Investigates spontaneous symmetry breaking in non-equilibrium systems.

The definition of preferences assigned to individuals is a concept that concerns many disciplines, from economics, with the search of an acceptable outcome for an ensemble of individuals, to decision making an analysis of vote systems. We are concerned in the phenomena of good selection and economic fairness. In Arrow'…

We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent $θ_{p}$ was defined for non-equilibrium critical phenomena \cite{Janssen,Majumdar}, and describing dynamic behavior in an economic index \c…

We show that there is a common mode of origin for the power laws observed in two different models: (i) the Pareto law for the distribution of money among the agents with random saving propensities in an ideal gas-like market model and (ii) the Gutenberg-Richter law for the distribution of overlaps in a fractal-overlap …

The problem of estimation error in portfolio optimization is discussed, in the limit where the portfolio size N and the sample size T go to infinity such that their ratio is fixed. The estimation error strongly depends on the ratio N/T and diverges for a critical value of this parameter. This divergence is the manifest…

We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables such as trade, foreign direct investments, etc. for several countries across the gl…

Research explores how interconnected systems synchronize and how to control their behavior.

Money flow models are essential tools to understand different economical phenomena, like saving propensities and wealth distributions. In spite of their importance, most of them are based on synthetic transaction networks with simple topologies, e.g. random or scale-free ones, as the characterisation of real networks i…

This paper debates the contribution of Econophysics to the economic or financial domains. Since the traditional approach performed by Economics or Finance has revealed to be insufficient in fully characterizing and explaining the correspondingly phenomena, we discuss whether Econophysics can provide a new insight onto …

Model asset pricing with habit formation in a large market.

Econophysics is a science in its infancy, born about ten years ago at this time of writing, at the crossing roads of physics, mathematics, computing and of course economics and finance. It also covers human sciences, because all economics is ultimately driven by human decision. From this human factor, econophysics has …

Study explores how wealth dynamics change with preferential interactions in kinetic exchange models.

Gradually Truncated Log-normal distribution - Size distribution of firms Abstract Many natural and economical phenomena are described through power law or log- normal distributions. In these cases, probability decreases very slowly with step size compared to normal distribution. Thus it is essential to cut-off these di…