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Tytuł:
Structural Sustainability of the Polish Trade System
Autorzy:
Fiedor, P.
Powiązania:
https://bibliotekanauki.pl/articles/1398888.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We use multi-region Input-Output databases to show the sustainability of the Polish trade system. Analyses of the robustness of the supply system as a whole are missing in the literature, in strong contrast with a wide variety of network analyses inquiring into the resilience of financial systems. We represent the trade system as a flow network, and use information-theoretic approach to address growth and development of such a system. We perform an analysis of the development, robustness, and structural sustainability of the Polish trade system based on national Input-Output Tables (in current prices) for Poland for the years between 1995 and 2011. As such, we are also able to comment on the changes of the studied characteristics over the years. Further, we compare the results with the results obtained for the global supply system based on the multi-region Input-Output Tables. We find the Polish supply system to be much less organised than the global supply system. We also quantify the effect of the 2008 financial crisis on the size and organisation of the trade system in Poland.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 1004-1007
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Comparative Analysis of Income Distributions in the European Union and the United States
Autorzy:
Jagielski, M.
Duczmal, R.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1388510.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We prove that the most rafined approach - our extension of the Yakovenko et al. model - is a universal in the sense that it well describes both household incomes in the European Union and the individual incomes in the United States for all income social classes. This prove was based on our comparative study of various kinds of incomes. The study constitutes a basis for the finding of an impact of the recent world-wide financial crisis on the volatility of various temporary Pareto exponents and on other parameters of the model.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-75-A-77
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Different Fractal Properties of Positive and Negative Returns
Autorzy:
Oświęcimka, P.
Kwapień, J.
Górski, A.
Drożdż, S.
Rak, R.
Powiązania:
https://bibliotekanauki.pl/articles/1812224.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using multifractal detrended fluctuation analysis. By calculating the singularity spectra f(α) we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, which is manifested by larger values of the corresponding Hölder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 547-553
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Invariant value functions under cumulative prospect theory
Autorzy:
Wójcik, S.
Powiązania:
https://bibliotekanauki.pl/articles/1075418.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
In this paper the notion of the preference homogeneity is extended. We determine the value functions under the cumulative prospect theory such that the certainty equivalents related to them are invariant with respect to some classes of transformations.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 955-958
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Study of Households Income in Poland by Using the Statistical Physics Approach
Autorzy:
Jagielski, M.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1538489.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
At the end of 19th century Vilfredo Pareto, as the first tried by using power-laws to describe wealth and income distributions in society. We applied early works of Pareto as well as Gibrat (i.e. laws of Pareto and rules of proportionate growth, respectively). Furthermore, we used recent and advanced models: the Generalised Lotka-Volterra model and collision models. By using empirical data for annual income of Polish households, e.g. for years 2003 and 2006, the comparison with these theoretical models was successfully made. The surprisingly good agreements with Pareto distribution were obtained, where Pareto exponents near the cubic law were found for middle class. For the low class very good agreement with prediction of the cumulative log-normal distribution was gained. Hence, it was possible to establish the border between low and middle society levels. The same was possible for the border between high and middle classes as the ranking for the former follows (to some extent) the Zipf law.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 615-618
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Ab Initio Analysis of All Income Society Classes in the European Union
Autorzy:
Jagielski, M.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1400171.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We found a unified formula for description of the household incomes of all society classes, for instance, of those of the European Union in year 2007. This formula is a stationary solution of the threshold Fokker-Planck equation (derived from the threshold nonlinear Langevin one). The formula is more general than the well known that of Yakovenko et al. because it satisfactorily describes not only household incomes of low- and medium-income society classes but also the household incomes of the high-income society class.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 538-541
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Preliminary Comparison of Households Income in Poland with European Union and United States Ones by Using the Statistical Physics Methods
Autorzy:
Jagielski, M.
Kutner, R.
Pęczkowski, M.
Powiązania:
https://bibliotekanauki.pl/articles/1408990.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
In this work we compared the empirical data of annual income of Polish and European households as well as annual income of individuals in United States (e.g. for years 2006 and 2008) with predictions of the most popular theoretical models. Particularly good agreements with Pareto distribution and prediction of the Yakovenko model were obtained. For the low society class well agreement with prediction of the cumulative exponential distribution was gained. However, it turned out that the cumulative distribution of annual income of Polish households can be described quite well by the Generalised Lotka-Volterra model.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-47-B-49
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Cross-Correlations in Warsaw Stock Exchange
Autorzy:
Rak, R.
Kwapień, J.
Oświęcimka, P.
Drożdż, S.
Powiązania:
https://bibliotekanauki.pl/articles/1812226.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
89.75.-k
Opis:
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Polish stock market can be well described by a one-factor model. We also show that the stock- stock correlations tend to increase with the timescale of returns and they approach a saturation level for the timescales of at least 200 min, i.e. an order of magnitude longer than in the case of some developed markets. We also show that the strength of correlations among the stocks crucially depends on their capitalization. These results combined with our earlier findings together suggest that now the Polish stock market situates itself somewhere between an emerging market phase and a mature market phase.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 561-568
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Structural Transformation of Minimal Spanning Trees in World Commodity Market
Autorzy:
Lee, J.
Nobi, A.
Powiązania:
https://bibliotekanauki.pl/articles/1029531.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
89.75.-k
Opis:
We consider structural change of a world trade-flow network for different commodities from 1995 to 2013. A minimum spanning tree is generated from the trade flow data, and we investigate the hierarchical organization of the tree by changing the hub node. Only a few countries are the hub nodes for many of the commodities. We observed the structural transitions, from a chain-like tree (many countries are hub nodes) to a bi-starlike tree (only two countries are hub nodes). In the bi-starlike tree, China and Germany are the only two hub nodes.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1414-1416
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Multifractal Dynamics of Stock Markets
Autorzy:
Czarnecki, Ł.
Grech, D.
Powiązania:
https://bibliotekanauki.pl/articles/1538492.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.75.Da
89.20.-a
Opis:
We present a comparative analysis of multifractal properties of financial time series built on stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown how the multifractal image of the market is altered with the change of the length of time series and with the economic situation on the market. We emphasize that the proper adjustment of scaling range for multiscaling power laws is essential to obtain the multifractal image of time series. We analyze in this paper multifractal properties of real financial time series using Hölder f(α) representation and multifractal-detrended fluctuation analysis method. It is also investigated how multifractal properties of stocks change with variety of "surgeries" done on the initial real financial time series. This way we reveal main phenomena on the market influencing its multifractal dynamics. In particular, we focus on examining how multifractal picture of real time series changes when one cuts off extreme events like crashes or rupture points, and how fluctuations around the main trend in time series influence the multifractal behavior of financial series in the long-time horizon for both developed and developing markets.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 623-629
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Real Estate Market under Catastrophic Change
Autorzy:
Bełej, M.
Kulesza, S.
Powiązania:
https://bibliotekanauki.pl/articles/1400163.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.-a
89.20.-a
89.65.Gh
Opis:
Within the last decade, real estate prices in Poland have changed significantly. We believe that these prices inevitably reflect the dynamics of the real estate market, and therefore they can be used to track its evolution path. To study whether and how the prices (regarded as a state variable) change over time depending on such control variables as gross domestic product and central bank interest rates, the theory of discontinuous change (also known as the catastrophe theory) was used. Catastrophic model assumes that small price fluctuations are associated with stable, long-term development of the market, whereas rapid changes are always due to short-term instabilities. In such a picture, the system evolution path draws a smooth curve within the stability area passing continuously between neighboring equilibrium states, and it rarely enters into the instability area to jump over the potential barrier to another equilibrium state.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 497-501
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modern Rheology on a Stock Market: Fractional Dynamics of Indices
Autorzy:
Kozłowska, M.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1535822.pdf
Data publikacji:
2010-10
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.-s
89.65.Gh
89.90.+n
Opis:
This paper presents an exactly solvable (by applying the fractional calculus) the rheological model of fractional dynamics of financial market conformed to the principle of no arbitrage present on financial market. The rheological model of fractional dynamics of financial market describes some singular, empirical, speculative daily peaks of stock market indices, which define crashes as a kind of phase transition. In the frame of the model the plastic market hypothesis and financial uncertainty principle were formulated, which proposed possible scenarios of some market crashes. The brief presentation of the model was made in our earlier work (and references therein). The rheological model of fractional dynamics of financial market is a deterministic model and it is complementary to already existing other ones; together with them it offers possibility for thorough and widespread technical analysis of crashes. The constitutive, fractional integral equation of the model is an analogy of the corresponding one, which defines the fractional Zener model of plastic material. The fractional Zener model is the canonical one for modern rheology, polymer physics and biophysics concerning non-Debye relaxation of viscoelastic biopolymers. The useful approximate solution of the constitutive equation of the rheological model of fractional dynamics of financial market consists of two parts: (i) the first one connected with long-term memory present in the system, which is proportional to the generalized exponential function defined by the Mittag-Leffler function and (ii) the second one describing oscillations (e.g. beats or oscillations having two slightly shifted frequences). The shape exponent leading the Mittag-Leffler function, defines here the order of the phase transition between bullish and bearish states of the financial market, in particular, for recent hossa and bessa on some small, middle and large stock markets. It happened that this solution also successfully estimated some long-term price dynamics on the hypothetical market in United States.
Źródło:
Acta Physica Polonica A; 2010, 118, 4; 677-687
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Catastrophes and Chaos in Business Cycle Theory
Autorzy:
Jakimowicz, A.
Powiązania:
https://bibliotekanauki.pl/articles/1538498.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.-a
89.20.-a
89.65.Gh
89.75.-k
Opis:
The primary thesis of this paper is that a nonlinear dynamical systems theory provides a basis for conducting all kinds of comparisons in the theory of business cycles, and it also enables its further development. A cognitive aim was to show that applying the theory of bifurcations and morphogenesis in the domain of economic fluctuations allows us to construct models of the cycle with greater explicatory and utility values than there were so far. In this way, the precision and consistency of the theory increases. In this field, applications of catastrophe theory are of great importance. Another fact was indicated, namely the theory of deterministic chaos places the issues of explanation and forecasting in economics in a totally different light. It turns out that we are dealing with at least three sources of complexity in economic systems: chaotic attractors, invariant chaotic sets that are not attracting in the form of chaotic saddles and the effects of fractal basin boundaries. This, in turn, limits the effectiveness of traditional economic policy. Economic management should be based on procedures that lower complexity of economic systems, however sometimes lower complexity incurs bigger instability. The paper is a survey of applications of nonlinear dynamical systems to mathematical business cycle models. The survey encompasses both earlier models that were built in 1970s, as well as later concepts. The paper also features a few of my newest results of numerical studies of some nonlinear economic systems.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 640-646
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial and Commodity Markets
Autorzy:
Ciepliński, T.
Dominiczak, A.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1408963.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
02.50.Ey
02.50.Ga
05.40.Fb
Opis:
In this work we empirically verify the generic breaking of the Central Limit Theorem on the financial and commodity markets. We analysed the distributions of log-returns for typical indices and price of gold, for increasing time horizons. We considered Random Coarse Graining Transformation of the Continuous-Time Random Walk model, which can represent the non-Gaussian price dynamics of underlying assets and the corresponding derivatives, e.g., various options or future contracts. We confirmed that empirical data and predictions of the model quite well agree.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-24-B-27
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Toy Model for Large Non-Symmetric Random Matrices
Autorzy:
Snarska, M.
Powiązania:
https://bibliotekanauki.pl/articles/1812225.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.05.Sk
02.70.Hm
89.65.Gh
02.50.-r
89.20.-a
Opis:
Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for artificially included correlations in large random time series.The results are then applied to analysis of polish macroeconomic data and can be used as an alternative to classical cointegration approach.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 555-559
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł

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