Thu, 21 Aug 2008 01:24:10 BST CiteULike: gi0rgi0ne's library [157 articles] http://www.citeulike.org/user/gi0rgi0ne CiteULike.org en-gb Copyright © 2004-2008 citeulike.org http://www.citeulike.org/user/gi0rgi0ne/article/3111638 <i>The Journal of Finance, Vol. 34, No. 5. (1979), pp. 1173-1186.</i> An Empirical Examination of the Black-Scholes Call Option Pricing Model James Macbeth Larry Merville The Journal of Finance, Vol. 34, No. 5. (1979), pp. 1173-1186. 2008-08-12T10:32:28-00:00 1979 The Journal of Finance 34 5 1173 1186 Blackwell Publishing for the American Finance Association black-scholes options http://www.citeulike.org/user/gi0rgi0ne/article/80546 <i></i> Grundlagen Optionen 2005-01-20T00:29:54-00:00 options slides http://www.citeulike.org/user/gi0rgi0ne/article/2915410 <i>(27 Jan 2008)</i><br /><br />In this recreational mathematics note, we address a simple, yet instructive question: Justin has to travel a distance of d miles along a bus route. Along this route, there are n bus stops i, each spaced at a distance of d_i from the starting point. At each bus stop, Justin is faced with a choice: to walk or to wait. If he walks on, he can still catch a bus at the next bus stop--but if a bus passes him while he walks, he is almost assured a longer wait. We model Justin's decision constraint and completely solve the model in a special case. The answer is intuitive: the optimal strategy is the laziest. Walk versus Wait: The Lazy Mathematician Wins Justin Chen Scott Kominers Robert Sinnott (27 Jan 2008) 2008-06-22T17:53:14-00:00 2008 fun math http://www.citeulike.org/user/gi0rgi0ne/article/2902705 <i></i> Generate random numbers according to a given distribution 2008-06-17T15:29:44-00:00 generator number random transformation http://www.citeulike.org/user/gi0rgi0ne/article/215118 <i>Journal of Statistical Mechanics: Theory and Experiment, Vol. 2005, No. 05. (May 2005), P05012.</i> Spin-glass theory for pedestrians Tommaso Castellani Andrea Cavagna doi:10.1088/1742-5468/2005/05/P05012 Journal of Statistical Mechanics: Theory and Experiment, Vol. 2005, No. 05. (May 2005), P05012. 2005-05-31T18:36:34-00:00 2005 Journal of Statistical Mechanics: Theory and Experiment 1742-5468 2005 05 P05012 Institute of Physics Publishing spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/2898841 <i>Physical Review B, Vol. 38, No. 1. (1 July 1988), 386.</i> Equilibrium behavior of the spin-glass ordered phase Daniel Fisher David Huse doi:10.1103/PhysRevB.38.386 Physical Review B, Vol. 38, No. 1. (1 July 1988), 386. 2008-06-16T15:04:59-00:00 1988 Physical Review B 38 1 386 American Physical Society spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/2891267 <i>Journal of Physics F: Metal Physics, Vol. 5, No. 5. (1975), pp. 965-974.</i><br /><br />A new theory of the class of dilute magnetic alloys, called the spin glasses, is proposed which offers a simple explanation of the cusp found experimentally in the susceptibility. The argument is that because the interaction between the spins dissolved in the matrix oscillates in sign according to distance, there will be no mean ferro- or antiferromagnetism, but there will be a ground state with the spins aligned in definite directions, even if these directions appear to be at random. At the critical temperature the existence of these preferred directions affects the orientation of the spins, leading to a cusp in the susceptibility. This cusp is smoothed by an external field. Although the behaviour at low t needs a quantum mechanical treatment, it is interesting to complete the classical calculations down to t=0. Classically the susceptibility tends to a constant value at t=0, and the specific heat to a constant value. Theory of spin glasses SF Edwards PW Anderson doi:10.1088/0305-4608/5/5/017 Journal of Physics F: Metal Physics, Vol. 5, No. 5. (1975), pp. 965-974. 2008-06-13T12:29:59-00:00 1975 Journal of Physics F: Metal Physics 5 5 965 974 spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/2891258 <i>Physical Review B, Vol. 57, No. 1. (1 January 1998), 426.</i> Global random-field spin-glass phase diagrams in two and three dimensions Gabriele Migliorini Nihat Berker doi:10.1103/PhysRevB.57.426 Physical Review B, Vol. 57, No. 1. (1 January 1998), 426. 2008-06-13T12:18:03-00:00 1998 Physical Review B 57 1 426 American Physical Society rfim spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/2859559 <i>Physical Review B, Vol. 24, No. 5. (1981), 2613.</i> Random-energy model: An exactly solvable model of disordered systems Bernard Derrida doi:10.1103/PhysRevB.24.2613 Physical Review B, Vol. 24, No. 5. (1981), 2613. 2008-06-03T16:36:02-00:00 1981 Physical Review B 24 5 2613 American Physical Society replica review spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/1398139 <i>(31 August 2001)</i><br /><br />Spin glasses are magnetic materials. Statistical mechanics, a subfield of physics, has been a powerful tool to theoretically analyse various unique properties of spin glasses. A number of new analytical techniques have been developed to establish a theory of spin glasses. Surprisingly, these techniques have turned out to offer new tools and viewpoints for the understanding of information processing problems, including neural networks, error-correcting codes, image restoration, and optimization problems. This book is one of the first publications of the past ten years that provide a broad overview of this interdisciplinary field. Most of the book is written in a self-contained manner, assuming only a general knowledge of statistical mechanics and basic probability theory. It provides the reader with a sound introduction to the field and to the analytical techniques necessary to follow its most recent developments. Statistical Physics of Spin Glasses and Information Processing: An Introduction (International Series of Monographs on Physics, No 111) Hidetoshi Nishimori (31 August 2001) 2007-06-19T08:24:43-00:00 2001 Oxford University Press, USA book physics spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/2889769 <i>Physical Review Letters, Vol. 100 (2008)</i> Behavior of Ising Spin Glasses in a Magnetic Field Thomas Jorg Helmut Katzgraber Florent Krzakala Physical Review Letters, Vol. 100 (2008) 2008-06-12T17:14:54-00:00 2008 Physical Review Letters 100 197202 spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/2889764 <i>Journal of Physics A: Mathematical and General, Vol. 11, No. 5. (1978), pp. 983-990.</i><br /><br />The stationary point used by Sherrington and Kirkpatrick (1975) in their evaluation of the free energy of a spin glass by the method of steepest descent is examined carefully. It is found that, although this point is a maximum of the integrand at high temperatures, it is not a maximum in the spin glass phase nor in the ferromagnetic phase at low temperatures. The instability persists in the presence of a magnetic field. Results are given for the limit of stability both for a partly ferromagnetic interaction in the absence of an external field and for a purely random interaction in the presence of a field. Stability of the Sherrington-Kirkpatrick solution of a spin glass model De Almeida DJ Thouless doi:10.1088/0305-4470/11/5/028 Journal of Physics A: Mathematical and General, Vol. 11, No. 5. (1978), pp. 983-990. 2008-06-12T17:11:03-00:00 1978 Journal of Physics A: Mathematical and General 11 5 983 990 spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/2888153 <i>Physical Review Letters, Vol. 35, No. 26. (29 December 1975), 1792.</i> Solvable Model of a Spin-Glass David Sherrington Scott Kirkpatrick doi:10.1103/PhysRevLett.35.1792 Physical Review Letters, Vol. 35, No. 26. (29 December 1975), 1792. 2008-06-12T13:40:21-00:00 1975 Physical Review Letters 35 26 1792 American Physical Society spin_glass http://www.citeulike.org/user/gi0rgi0ne/article/1289400 <i>(15 May 2006)</i><br /><br />In each generation, scientists must redefine their fields: abstracting, simplifying and distilling the previous standard topics to make room for new advances and methods. Sethna's book takes this step for statistical mechanics - a field rooted in physics and chemistry whose ideas and methods are now central to information theory, complexity, and modern biology. Aimed at advanced undergraduates and early graduate students in all of these fields, Sethna limits his main presentation to the topics that future mathematicians and biologists, as well as physicists and chemists, will find fascinating and central to their work. The amazing breadth of the field is reflected in the author's large supply of carefully crafted exercises, each an introduction to a whole field of study: everything from chaos through information theory to life at the end of the universe. Statistical Mechanics: Entropy, Order Parameters and Complexity (Oxford Master Series in Physics) James Sethna (15 May 2006) 2007-05-11T09:28:38-00:00 2006 Oxford University Press, USA book compexity stat_mech http://www.citeulike.org/user/gi0rgi0ne/article/2882866 <i></i> Differential equations Paul Dawkins 2008-06-11T14:52:59-00:00 diff_eq differential equations lecture math http://www.citeulike.org/user/gi0rgi0ne/article/2859122 <i></i> Introduction to Quantitative Aspects of Social Phenomena Elliott Montroll Wade Badger 2008-06-03T13:44:18-00:00 Gordon & Breach Science Pub bubble_model http://www.citeulike.org/user/gi0rgi0ne/article/2845056 <i></i> Reference sheet for natbib usage 2008-05-29T15:40:46-00:00 bibtex latex natlib http://www.citeulike.org/user/gi0rgi0ne/article/2730123 <i></i> Overview of C++ Memory Management 2008-04-28T14:23:30-00:00 cpp memory http://www.citeulike.org/user/gi0rgi0ne/article/2695629 <i>Physical Review Letters, Vol. 60, No. 25. (20 June 1988), 2626.</i> Observation of Stochastic Resonance in a Ring Laser Bruce Mcnamara Kurt Wiesenfeld Rajarshi Roy doi:10.1103/PhysRevLett.60.2626 Physical Review Letters, Vol. 60, No. 25. (20 June 1988), 2626. 2008-04-21T10:41:42-00:00 1988 Physical Review Letters 60 25 2626 American Physical Society original sr http://www.citeulike.org/user/gi0rgi0ne/article/2693128 <i>Physical Review E, Vol. 48, No. 5. (1 November 1993), 3390.</i> Analytic and numerical study of stochastic resonance Ronald Fox Yan-Nan Lu doi:10.1103/PhysRevE.48.3390 Physical Review E, Vol. 48, No. 5. (1 November 1993), 3390. 2008-04-20T15:13:47-00:00 1993 Physical Review E 48 5 3390 American Physical Society sr http://www.citeulike.org/user/gi0rgi0ne/article/2690982 <i>Physica A: Statistical and Theoretical Physics, Vol. 108, No. 1. (August 1981), pp. 233-256.</i><br /><br />We study the effect of a time variation of a bistable potential on Kramers relaxation and on Suzuki's fluctuation enhancement, for a system described by a one-variable Fokker-Planck equation, in the limit of a small constant diffusion coefficient. We show that the two processes must be described with two different approximations: 1. (i) Kramers relaxation can be treated in a quasi-adiabatic scheme. We then show that, for a large range of potential modulation rates, the local populations in each well obey adiabatic balance equations, the solution of which we discuss in various limits. 2. (ii) Suzuki's description of the fluctuation enhancement can be extended to the dynamical case. We reformulate the technique set up by Ahlers et al. to describe the crossing of the bifurcation from a mono- to a bistable potential. We show that the extended Suzuki approximation is valid provided that the crossing velocity is larger than a limit which we estimate. On fluctuations and relaxation in systems described by a one-dimensional Fokker-Planck equation with a time-dependent potential B Caroli C Caroli B Roulet D Saint-James doi:10.1016/0378-4371(81)90177-1 Physica A: Statistical and Theoretical Physics, Vol. 108, No. 1. (August 1981), pp. 233-256. 2008-04-19T17:16:12-00:00 1981 Physica A: Statistical and Theoretical Physics 108 1 233 256 fokker-plank relaxation http://www.citeulike.org/user/gi0rgi0ne/article/2690960 <i>Physical Review A, Vol. 39, No. 9. (1 May 1989), 4854.</i> Theory of stochastic resonance Bruce Mcnamara Kurt Wiesenfeld doi:10.1103/PhysRevA.39.4854 Physical Review A, Vol. 39, No. 9. (1 May 1989), 4854. 2008-04-19T17:00:50-00:00 1989 Physical Review A 39 9 4854 American Physical Society sr http://www.citeulike.org/user/gi0rgi0ne/article/2690944 <i>Physics Reports, Vol. 234, No. 4-5. (November 1993), pp. 175-295.</i><br /><br />Activation processes in classical metastable systems in the presence of periodic driving have recently become subject of growing research activity, stimulated by exciting new phenomena such as stochastic resonance. A theory of such systems has to deal with non-stationary stochastic processes. Thus, in chapters 2 and 3, we report on general properties and the most important notions of stochastic processes in the presence of periodic forcing. In addition to a Floquet-type formalism we introduce an equivalent description, based on the embedding of non-stationary processes in higher dimensional stationary stochastic processes. In chapter 4, the formalism is demonstrated for the exactly solvable periodically driven Ornstein-Uhlenbeck process. In chapter 5, we elaborate on the extension of the definition of escape rates in order to be applicable to non-stationary systems. In chapter 6, we consider the influence of periodic forcing and noise on bistable systems. As an archetype system the Landau-type quartic bistable potential has been chosen. Explicit numerical results for escape rates, probability distributions and spectral densities are compared with approximate theories. In chapter 7, we report on the history and recent developments of an exciting phenomenon, termed stochastic resonance. Stochastic resonance is a cooperative effect of noise, bistability and periodic forcing. It allows for the resonant enhancement of the signal/noise ratio in bistable systems as a function of the strength of the input noise background. Recently published approaches are reviewed, contrasted against each other and compared with data obtained from the numerical evaluation of a general expression for the nonlinear response of the system on periodic forcing. Transport properties and escape rates in multiwell potentials in the presence of fluctuations and periodic fields are the topic of chapter 8. In the first part of chapter 8 we discuss the connection between the escape rates, periodic orbits, mobilities and the band structure of the Fokker-Planck equation in the overdamped limit. In the second part, we focus on inertia effects in periodically driven rate processes, a field which has been termed resonance activation. Periodically driven stochastic systems Peter Jung doi:10.1016/0370-1573(93)90022-6 Physics Reports, Vol. 234, No. 4-5. (November 1993), pp. 175-295. 2008-04-19T16:44:50-00:00 1993 Physics Reports 234 4-5 175 295 periodic sr stochastic_process http://www.citeulike.org/user/gi0rgi0ne/article/2682922 <i>Physical Review Letters, Vol. 72, No. 19. (May 1994), 2988.</i> Stochastic resonance in bistable systems driven by harmonic noise Alexander Neiman Lutz Schimansky-Geier doi:10.1103/PhysRevLett.72.2988 Physical Review Letters, Vol. 72, No. 19. (May 1994), 2988. 2008-04-17T16:46:22-00:00 1994 Physical Review Letters 72 19 2988 American Physical Society sr http://www.citeulike.org/user/gi0rgi0ne/article/2682877 <i>Physical Review A, Vol. 42, No. 6. (1990), 3161.</i> Escape-time distributions of a periodically modulated bistable system with noise Ting Zhou Frank Moss Peter Jung doi:10.1103/PhysRevA.42.3161 Physical Review A, Vol. 42, No. 6. (1990), 3161. 2008-04-17T16:25:33-00:00 1990 Physical Review A 42 6 3161 American Physical Society sr http://www.citeulike.org/user/gi0rgi0ne/article/488119 <i>Reviews of Modern Physics, Vol. 62 (April 1990), pp. 251-342.</i><br /><br />The calculation of rate coefficients is a discipline of nonlinear science of importance to much of physics, chemistry, engineering, and biology. Fifty years after Kramers' seminal paper on thermally activated barrier crossing, the authors report, extend, and interpret much of our current understanding relating to theories of noise-activated escape, for which many of the notable contributions are originating from the communities both of physics and of physical chemistry. Theoretical as well as numerical approaches are discussed for single- and many-dimensional metastable systems (including fields) in gases and condensed phases. The role of many-dimensional transition-state theory is contrasted with Kramers' reaction-rate theory for moderate-to-strong friction; the authors emphasize the physical situation and the close connection between unimolecular rate theory and Kramers' work for weakly damped systems. The rate theory accounting for memory friction is presented, together with a unifying theoretical approach which covers the whole regime of weak-to-moderate-to-strong friction on the same basis (turnover theory). The peculiarities of noise-activated escape in a variety of physically different metastable potential configurations is elucidated in terms of the mean-first-passage-time technique. Moreover, the role and the complexity of escape in driven systems exhibiting possibly multiple, metastable stationary nonequilibrium states is identified. At lower temperatures, quantum tunneling effects start to dominate the rate mechanism. The early quantum approaches as well as the latest quantum versions of Kramers' theory are discussed, thereby providing a description of dissipative escape events at all temperatures. In addition, an attempt is made to discuss prominent experimental work as it relates to Kramers' reaction-rate theory and to indicate the most important areas for future research in theory and experiment. Reaction-rate theory: fifty years after Kramers P Hänggi P Talkner M Borkovec doi:10.1103/RevModPhys.62.251 Reviews of Modern Physics, Vol. 62 (April 1990), pp. 251-342. 2006-01-31T21:10:20-00:00 1990 Reviews of Modern Physics 62 251 342 kramer reaction sr http://www.citeulike.org/user/gi0rgi0ne/article/2682159 <i>EPL (Europhysics Letters), Vol. 8, No. 6. (1989), pp. 505-510.</i><br /><br />The stochastic theory is developed for overdamped, nonlinear stochastic systems with periodic forcing. By use of a generalized Floquet theory we show that such systems averaged over the random phase ph are not strongly mixing, but exhibit ever present undamped oscillations, e.g. the power spectrum contains d-function peaks at multiples of the driving frequency O. For the archetypal periodically driven, bistable stochastic flow, x = x[?]x3 + A cos(Ot + ph) + x(t), we evaluate by means of matrix continued fraction techniques the stationary probability Wst(x, th = Ot + ph) and the ph averaged, complex-valued dynamical susceptibility. The stationary probability has a most interesting, rich topology in (x, th)-phase space exhibiting several, competing modulation-induced escape paths. Stochastic Nonlinear Dynamics Modulated by External Periodic Forces P Jung P Hänggi doi:10.1209/0295-5075/8/6/003 EPL (Europhysics Letters), Vol. 8, No. 6. (1989), pp. 505-510. 2008-04-17T14:25:03-00:00 1989 EPL (Europhysics Letters) 8 6 505 510 sr http://www.citeulike.org/user/gi0rgi0ne/article/2142460 <i>(17 Dec 2007)</i><br /><br />We investigate the use of Kelly's strategy in the construction of an optimal portfolio of assets. With asset prices undergoing a multiplicative random process, we derive approximate analytical results for the optimal investment fractions under various constraints. We show that, when returns and volatilities of the assets are small and borrowing is forbidden, the Kelly-optimal portfolio lies on Markowitz Efficient Frontier. When short positions are also forbidden, only a small fraction of the available assets is included in the Kelly-optimal portfolio. This phenomenon, that we call condensation, is explored in detail. Analysis of Kelly-optimal portfolios Paolo Laureti Matus Medo Yi-Cheng Zhang (17 Dec 2007) 2007-12-18T20:34:40-00:00 2007 finance kelly protfolio http://www.citeulike.org/user/gi0rgi0ne/article/2681664 <i>EPL (Europhysics Letters), Vol. 82, No. 2. (2008), 28008.</i><br /><br />We introduce a statistical-physics model for opinion dynamics on random networks where agents adopt the opinion held by the majority of their direct neighbors only if the fraction of these neighbors exceeds a certain threshold, pu. We find a transition from total final consensus to a mixed phase where opinions coexist amongst the agents. The relevant parameters are the relative sizes in the initial opinion distribution within the population and the connectivity of the underlying network. As the order parameter we define the asymptotic state of opinions. In the phase diagram we find regions of total consensus and a mixed phase. As the "laggard parameter" pu increases the regions of consensus shrink. In addition we introduce rewiring of the underlying network during the opinion formation process and discuss the resulting consequences in the phase diagram. Opinion formation in laggard societies P Klimek R Lambiotte S Thurner doi:10.1209/0295-5075/82/28008 EPL (Europhysics Letters), Vol. 82, No. 2. (2008), 28008. 2008-04-17T12:01:54-00:00 2008 EPL (Europhysics Letters) 82 2 28008 2check opinion_formation http://www.citeulike.org/user/gi0rgi0ne/article/2681290 <i>Physica A: Statistical Mechanics and its Applications, Vol. 287, No. 3-4. (1 December 2000), pp. 613-630.</i><br /><br />The model of dynamic social influence is used to describe the coordination of individual economic decisions. Computer simulations of the model show that the social and economic transitions occur as growing clusters of "new" in the sea of old. The model formulated at the individual level may be used to derive another one concerning the aggregate level. The aggregate level model was used to simulate spatio-temporal dynamics of the number of privately owned enterprises in Poland during the transition from centrally governed to the market economy. Analysis revealed the similarity between the model predictions and economic data. Simulating the coordination of individual economic decisions Andrzej Nowak Marek Kus Jakub Urbaniak Tomasz Zarycki doi:10.1016/S0378-4371(00)00397-6 Physica A: Statistical Mechanics and its Applications, Vol. 287, No. 3-4. (1 December 2000), pp. 613-630. 2008-04-17T09:41:17-00:00 2000 Physica A: Statistical Mechanics and its Applications 287 3-4 613 630 nowak social_impact http://www.citeulike.org/user/gi0rgi0ne/article/2681280 <i>Physical Review A, Vol. 45, No. 2. (15 January 1992), 763.</i> Statistical mechanics of social impact Maciej Lewenstein Andrzej Nowak Bibb Latané doi:10.1103/PhysRevA.45.763 Physical Review A, Vol. 45, No. 2. (15 January 1992), 763. 2008-04-17T09:39:24-00:00 1992 Physical Review A 45 2 763 American Physical Society nowak social_impact http://www.citeulike.org/user/gi0rgi0ne/article/2681274 <i>(1990)</i> From private attitude to public opinion A dynamic theory of social impact Nowak Szamrej Latane (1990) 2008-04-17T09:38:14-00:00 1990 nowak social_impact http://www.citeulike.org/user/gi0rgi0ne/article/2664339 <i>(5 Mar 2008)</i><br /><br />General aspects of the Fluctuation-Dissipation Relation (FDR), and Response Theory are considered. After analyzing the conceptual and historical relevance of fluctuations in statistical mechanics, we illustrate the relation between the relaxation of spontaneous fluctuations, and the response to an external perturbation. These studies date back to Einstein's work on Brownian Motion, were continued by Nyquist and Onsager and culminated in Kubo's linear response theory. The FDR has been originally developed in the framework of statistical mechanics of Hamiltonian systems, nevertheless a generalized FDR holds under rather general hypotheses, regardless of the Hamiltonian, or equilibrium nature of the system. In the last decade, this subject was revived by the works on Fluctuation Relations (FR) concerning far from equilibrium systems. The connection of these works with large deviation theory is analyzed. Some examples, beyond the standard applications of statistical mechanics, where fluctuations play a major role are discussed: fluids, granular media, nano-systems and biological systems. Fluctuation-Dissipation: Response Theory in Statistical Physics Umberto Andrea Puglisi Lamberto Rondoni Angelo Vulpiani (5 Mar 2008) 2008-04-13T18:56:06-00:00 2008 dissipation fluctuation response review http://www.citeulike.org/user/gi0rgi0ne/article/2664335 <i>(13 Jun 2007)</i><br /><br />A general theory of innovation and progress in human society is outlined, based on the combat between two opposite forces (conservatism/inertia and speculative herding "bubble" behavior). We contend that human affairs are characterized by ubiquitous “bubbles”, which involve huge risks which would not otherwise be taken using standard cost/benefit analysis. Bubbles result from self-reinforcing positive feedbacks. This leads to explore uncharted territories and niches whose rare successes lead to extraordinary discoveries and provide the base for the observed accelerating development of technology and of the economy. But the returns are very heterogeneous, very risky and may not occur. In other words, bubbles, which are characteristic definitions of human activity, allow huge risks to get huge returns over large scales. We outline some underlying mathematical structure and a few results involving positive feedbacks, emergence, heavy-tailed power laws, outliers/kings/black swans, the problem of predictability and the illusion of control, as well as some policy implications. Nurturing Breakthroughs: Lessons from Complexity Theory Didier Sornette (13 Jun 2007) 2008-04-13T18:54:17-00:00 2007 complex lessons review http://www.citeulike.org/user/gi0rgi0ne/article/2664333 <i>(6 Jul 2001)</i><br /><br />We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations. Fluctuations and Market Friction in Financial Trading Bernd Rosenow (6 Jul 2001) 2008-04-13T18:51:27-00:00 2001 finance function impact http://www.citeulike.org/user/gi0rgi0ne/article/2664329 <i>Social Science Research Network Working Paper Series</i><br /><br />Keywords: Price bias, long and short-term trading, multiple equilibria, average expectations, higher offer beliefs, over-reliance on public information Dynamic Trading and Asset Prices: Keynes vs. Hayek Giovanni Cespa Xavier Vives Social Science Research Network Working Paper Series 2008-04-13T18:49:40-00:00 Social Science Research Network Working Paper Series finance hayek keynes theory http://www.citeulike.org/user/gi0rgi0ne/article/2664326 <i>Reports on Progress in Physics, Vol. 70, No. 3. (2007), pp. 409-450.</i><br /><br />This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we discuss the Cont-Bouchaud, Solomon-Levy-Huang and Lux-Marchesi models. Open research questions are discussed in our concluding section. Agent-based models of financial markets E Samanidou E Zschischang D Stauffer T Lux doi:10.1088/0034-4885/70/3/R03 Reports on Progress in Physics, Vol. 70, No. 3. (2007), pp. 409-450. 2008-04-13T18:48:35-00:00 2007 Reports on Progress in Physics 70 3 409 450 agent econophysics finance review http://www.citeulike.org/user/gi0rgi0ne/article/2664323 <i>The European Physical Journal B - Condensed Matter and Complex Systems, Vol. 6, No. 4. (19 December 1998), pp. 543-550.</i><br /><br />Abstract:   We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription. We emphasize the importance of feedback effects of price variations onto themselves. Risk aversion, in particular, leads to an “up-down” symmetry breaking term which is responsible for crashes, where “panic” is self reinforcing. It is also responsible for the sudden collapse of speculative bubbles. Interestingly, these crashes appear as rare, “activated” events, and have an exponentially small probability of occurence. The model leads to a specific “shape” of the falldown of the price during a crash, which we compare with the October 1987 data. The normal regime, where the stock price exhibits behavior similar to that of a random walk, however reveals non trivial correlations on different time scales, in particular on the time scale over which operators perceive a change of trend. A Langevin approach to stock market fluctuations and crashes JP Bouchaud R Cont doi:10.1007/s100510050582 The European Physical Journal B - Condensed Matter and Complex Systems, Vol. 6, No. 4. (19 December 1998), pp. 543-550. 2008-04-13T18:47:10-00:00 1998 The European Physical Journal B - Condensed Matter and Complex Systems 6 4 543 550 econophysics finance langevin http://www.citeulike.org/user/gi0rgi0ne/article/2664321 <i></i> Computer Simulations of Statistical Models and Dynamic Complex Systems Sa 2008-04-13T18:45:59-00:00 complex computer simulation systems http://www.citeulike.org/user/gi0rgi0ne/article/2664314 <i>ArXiv Condensed Matter e-prints (August 2004)</i> A Guided Walk Down Wall Street: an Introduction to Econophysics GL vasconcelos ArXiv Condensed Matter e-prints (August 2004) 2008-04-13T18:42:18-00:00 2004 ArXiv Condensed Matter e-prints - condensed econophysivs finance intro matter other physics review street theory wall http://www.citeulike.org/user/gi0rgi0ne/article/2664310 <i>Physical Review Letters, Vol. 89, No. 15. (2002), 158701.</i> Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling A Krawiecki JA Hołyst D Helbing doi:10.1103/PhysRevLett.89.158701 Physical Review Letters, Vol. 89, No. 15. (2002), 158701. 2008-04-13T18:39:17-00:00 2002 Physical Review Letters 89 15 158701 American Physical Society bubble crash econophysics finance http://www.citeulike.org/user/gi0rgi0ne/article/2664306 <i>Social Science Research Network Working Paper Series (3 October 2000)</i><br /><br />Drawdowns (loss from the last local maximum to the next local minimum) are essential aspects of risk assessment in investment management. They offer a more natural measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) distributions of returns. Here, we extend considerably our previous analysis by analyzing the major financial indices, the major currencies, gold, the twenty largest U.S. companies in terms of capitalisation as well as nine others chosen randomly. We find for the major financial markets that approximately 98% of the distributions of drawdowns is well-represented by an exponential (or a minor modification of it with a slightly fatter tail), while the largest to the few ten largest drawdowns are occurring with a significantly larger rate than predicted by the exponential: the largest drops thus constitute genuine outliers. This is confirmed by extensive testing on surrogate data, which unambiguously show that large stock market drops (and crashes) cannot be accounted for by the distribution of returns characterising the smaller market moves. They thus belong to a different class of their own and call for a specific amplification mechanism. A similar scenario is found for the majority of the company stocks analysed. Drawups (gain from the last local minimum to the next local maximum) exhibit a similar behavior in only about half the markets that we examined. In the spirit of Bacon in Novum Organum about 400 years ago, "Errors of Nature, Sports and Monsters correct the understanding in regard to ordinary things, and reveal general forms. For whoever knows the ways of Nature will more easily notice her deviations; and, on the other hand, whoever knows her deviations will more accurately describe her ways," we propose that outliers reveal fundamental properties of the stock market. Large Stock Market Price Drawdowns Are Outliers Anders Johansen Didier Sornette Social Science Research Network Working Paper Series (3 October 2000) 2008-04-13T18:36:33-00:00 2000 Social Science Research Network Working Paper Series crash finance outlier http://www.citeulike.org/user/gi0rgi0ne/article/2664303 <i>PHYSICA A 284, Vol. 104 (2000)</i> Stock Market Speculation: Spontaneous Symmetry Breaking of Economic Valuation D Sornette PHYSICA A 284, Vol. 104 (2000) 2008-04-13T18:34:10-00:00 2000 PHYSICA A 284 104 2check breaking didier symmetry http://www.citeulike.org/user/gi0rgi0ne/article/2664298 <i>The European Physical Journal B - Condensed Matter and Complex Systems, Vol. 17, No. 3. (19 October 2000), pp. 537-548.</i><br /><br />Abstract:   In this paper, we provide a simple, “generic” interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as recently observed in reference [23], naturally emerge. We then propose a simple solvable “stochastic volatility” model for return fluctuations. This model is able to reproduce most of recent empirical findings concerning financial time series: no correlation between price variations, long-range volatility correlations and multifractal statistics. Moreover, its extension to a multivariate context, in order to model portfolio behavior, is very natural. Comparisons to real data and other models proposed elsewhere are provided. Modelling fluctuations of financial time series: from cascade process to stochastic volatility model JF Muzy J Delour E Bacry doi:10.1007/s100510070131 The European Physical Journal B - Condensed Matter and Complex Systems, Vol. 17, No. 3. (19 October 2000), pp. 537-548. 2008-04-13T18:28:59-00:00 2000 The European Physical Journal B - Condensed Matter and Complex Systems 17 3 537 548 2check econophysics fluctuation fractal model http://www.citeulike.org/user/gi0rgi0ne/article/2664283 <i>Nature, Vol. 397, No. 6719. (February 1999), pp. 498-500.</i> Sub of Scaling and criticality in a stochastic multi-agent model of a financial market Thomas Lux Michele Marchesi doi:10.1038/17290 Nature, Vol. 397, No. 6719. (February 1999), pp. 498-500. 2008-04-13T18:21:50-00:00 1999 Nature 397 6719 498 500 econophysics finance lux marchesi sub http://www.citeulike.org/user/gi0rgi0ne/article/505267 <i>Nature, Vol. 397, No. 6719. (11 February 1999), pp. 498-500.</i> Scaling and criticality in a stochastic multi-agent model of a financial market Thomas Lux Michele Marchesi doi:10.1038/17290 Nature, Vol. 397, No. 6719. (11 February 1999), pp. 498-500. 2006-02-14T18:02:13-00:00 1999 Nature 397 6719 498 500 econophysics finance lux marchesi http://www.citeulike.org/user/gi0rgi0ne/article/2664263 <i>Physical Review, Vol. 88, No. 6. (15 December 1952), 1387.</i> On a Theorem of Irreversible Thermodynamics. II Richard Greene Herbert Callen doi:10.1103/PhysRev.88.1387 Physical Review, Vol. 88, No. 6. (15 December 1952), 1387. 2008-04-13T18:09:59-00:00 1952 Physical Review 88 6 1387 American Physical Society basis dissipation fluctuation irreversibility http://www.citeulike.org/user/gi0rgi0ne/article/2664254 <i>Physical Review, Vol. 83, No. 6. (1951), 1231.</i> On the Formalism of Thermodynamic Fluctuation Theory Richard Greene Herbert Callen doi:10.1103/PhysRev.83.1231 Physical Review, Vol. 83, No. 6. (1951), 1231. 2008-04-13T18:06:43-00:00 1951 Physical Review 83 6 1231 American Physical Society basis dissipation fluctuation http://www.citeulike.org/user/gi0rgi0ne/article/2664240 <i></i> Power-Law Distributions Boccara 2008-04-13T18:01:21-00:00 law math power http://www.citeulike.org/user/gi0rgi0ne/article/2090857 <i>Physical Review Letters, Vol. 90, No. 10. (13 March 2003), 108102.</i><br /><br />We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets; such as the diffusion rate of prices (which is the standard measure of financial risk) and the spread and price impact functions (which are the main determinants of transaction cost). Guided by dimensional analysis; simulation; and mean-field theory; we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices. Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process Marcus Daniels Doyne Farmer László Gillemot Giulia Iori Eric Smith doi:10.1103/PhysRevLett.90.108102 Physical Review Letters, Vol. 90, No. 10. (13 March 2003), 108102. 2007-12-11T17:25:36-00:00 2003 Physical Review Letters 90 10 108102 American Physical Society econophysics finance function impact