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    Wyświetlanie 1-15 z 15
    Tytuł:
    Spanning Trees of the World Trade Web: Real-World Data and the Gravity Model of Trade
    Autorzy:
    Skowron, P.
    Karpiarz, M.
    Fronczak, A.
    Fronczak, P.
    Powiązania:
    https://bibliotekanauki.pl/articles/1388204.pdf
    Data publikacji:
    2015-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.75.-k
    89.65.Gh
    89.65.-s
    Opis:
    In this paper, we investigate the statistical features of the weighted international-trade network. By finding the maximum weight spanning trees for this network we make the extraction of the truly relevant connections forming the network's backbone. We discuss the role of large-sized countries (strongest economies) in the tree. Finally, we compare the topological properties of this backbone to the maximum weight spanning trees obtained from the gravity model of trade. We show that the model correctly reproduces the backbone of the real-world economy.
    Źródło:
    Acta Physica Polonica A; 2015, 127, 3A; A-123-A-128
    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:
    Partial Mutual Information Analysis of Financial Networks
    Autorzy:
    Fiedor, P.
    Powiązania:
    https://bibliotekanauki.pl/articles/1402928.pdf
    Data publikacji:
    2015-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    89.75.-k
    05.45.-a
    Opis:
    The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably leads to another assumption, namely that underlying interconnections within socio-economic systems, particularly financial markets, are nonlinear, which is shown to be true even in mainstream economic literature. Thus it is surprising to see that network analysis of financial markets is based on linear correlation and its derivatives. An analysis based on partial correlation is of particular interest as it leads to the vicinity of causality detection in time series analysis. In this paper we generalise the planar maximally filtered graphs and partial correlation planar graphs to incorporate nonlinearity using partial mutual information.
    Źródło:
    Acta Physica Polonica A; 2015, 127, 3; 863-867
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Identification of Insider Trading Using Network Numerical Models
    Autorzy:
    Jakimowicz, A.
    Baklarz, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/1398883.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    89.65.-s
    05.65.+b
    89.75.-k
    Opis:
    This article presents a network algorithm for identifying transactions which may constitute a violation of restricted periods, namely, making transactions in company shares by persons possessing inside information. The empirical research was performed on the basis of publicly available information on exchange trading, originating from the Warsaw Stock Exchange. The analysis is based on a numerical model which describes information spreading in a network with an information bottleneck. The applied method can confirm with high probability the use of inside information for carrying out unauthorized stock market transactions.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 980-985
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Hierarchical Cont-Bouchaud Model
    Autorzy:
    Paluch, R.
    Suchecki, K.
    Hołyst, J.
    Powiązania:
    https://bibliotekanauki.pl/articles/1388158.pdf
    Data publikacji:
    2015-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.-s
    89.65.Gh
    89.75.-k
    05.40.-a
    Opis:
    We extend the well-known Cont-Bouchaud model to include a hierarchical topology of agent's interactions. The influence of hierarchy on system dynamics is investigated by two models. The first one is based on a multi-level, nested Erdős-Rényi random graph and individual decisions by agents according to Potts dynamics. This approach does not lead to a broad return distribution outside a parameter regime close to the original Cont-Bouchaud model. In the second model we introduce a limited hierarchical Erdős-Rényi graph, where merging of clusters at a level h+1 involves only clusters that have merged at the previous level h and we use the original Cont-Bouchaud agent dynamics on resulting clusters. The second model leads to a heavy-tail distribution of cluster sizes and relative price changes in a wide range of connection densities, not only close to the percolation threshold.
    Źródło:
    Acta Physica Polonica A; 2015, 127, 3A; A-108-A-112
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Google Matrix of the World Trade Network
    Autorzy:
    Ermann, L.
    Shepelyansky, D.
    Powiązania:
    https://bibliotekanauki.pl/articles/1492497.pdf
    Data publikacji:
    2011-12
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    89.75.Hc
    89.75.-k
    89.20.Hh
    Opis:
    Using the United Nations Commodity Trade Statistics Database we construct the Google matrix of the world trade network and analyze its properties for various trade commodities for all countries and all available years from 1962 to 2009. The trade flows on this network are classified with the help of PageRank and CheiRank algorithms developed for the World Wide Web and other large scale directed networks. For the world trade this ranking treats all countries on equal democratic grounds independent of country richness. Still this method puts at the top a group of industrially developed countries for trade in all commodities. Our study establishes the existence of two solid state like domains of rich and poor countries which remain stable in time, while the majority of countries are shown to be in a gas like phase with strong rank fluctuations. A simple random matrix model provides a good description of statistical distribution of countries in two-dimensional rank plane. The comparison with usual ranking by export and import highlights new features and possibilities of our approach.
    Źródło:
    Acta Physica Polonica A; 2011, 120, 6A; A-158-A-171
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Quantitative Characteristics of Correlations of Meteorological Data
    Autorzy:
    Rak, R.
    Bwanakare, S.
    Powiązania:
    https://bibliotekanauki.pl/articles/1398837.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.75.-k
    89.75.Da
    89.65.Gh
    02.70.Rr
    Opis:
    This paper presents the quantitative characteristics of correlations (and cross-correlations) of plant main eco-factors i.e. the ground and over-ground temperature, the wind speed, and the humidity. The study is based upon hourly data statistical observations collected in the region of Lublin, in Poland for the period 2001.05.07-2009.04.10. This paper indicates that plant growth conditions constitute an emergent response to the above direct eco-factors. Then, the dynamics properties of each eco-factor is first analyzed alone for its multifractal structure. We apply the multifractal detrended correlation analysis and multifractal detrended cross-correlation analysis. We show that the widest multifractal spectrum is for over-ground temperature and the strongest power-law cross-correlations exist between ground and over-ground temperature. Next, an impulse response analysis is carried out to measure dynamical inter causalities within all the considered variables. As far as cross-impact between different eco-variables is concerned, one observes that the wind speed, the ground temperature and the air humidity dynamics are the most influenced, in terms of memory length time, by external temperature.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 922-926
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Path Dependence in Neoclassical Economic Growth Theory
    Autorzy:
    Jakimowicz, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/1388527.pdf
    Data publikacji:
    2015-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    89.75.-k
    05.45.-a
    07.89.+b
    Opis:
    Path dependence is a key feature of complex economic systems. It implies that history matters in the long-term evolution of markets and economies. Path dependence can be viewed as the dynamic version of positive feedback effects. This paper focuses on the nonlinear neoclassical economic growth model with the Cobb-Douglas production function, which accounts for problems related to pollutant emissions. It was found that only selected initial forms have a chance to develop. Present states depend on past states, even though the historical circumstances that had affected the past states may no longer be relevant. The choice among different histories may be a stochastic process. The understanding of economic growth suggested in this study stands in opposition to the neoclassical tradition based on equilibrium states or paths independent of the system's history. In contemporary economics, the idea of path dependence is most often used in studies on the high-tech industry, where the researchers are focused on such phenomena as innovation processes, monopolization, or the causes of ineffective technical solutions. The analysis of historical conditions is almost entirely carried out with the use of qualitative methods, since the subject of the research is non-formalized. In addition, the theoretical basis for conducting relevant empirical research is still missing. As a result of the development of complexity economics in recent years, numerous dynamic features of complex economic systems can be examined with the application of quantitative methods which, in effect, strengthens the bonds between theory and practice. Rare exceptions include path dependence relations. The aim of this article is to fill this gap and to create a theoretical basis for quantitative research on historical conditions in economics. This is a necessary condition for undertaking empirical research. The theoretical search started with the Keynesian model of the Samuelson-Hicks trade cycle, to demonstrate that conventional economics completely omits the most interesting path-dependence cases. It turns out that only the neoclassical model of economic growth, taking into account two power laws, provides appropriate dynamic characteristics for a full description of path dependence relations. Therefore, appropriate theoretical bases can be provided only by complexity economics. It may seem that, in this work, the dependence on history is restricted to two successive time steps in the case of the Samuelson-Hicks model and a single step in the neoclassical model of economic growth by Day. However, it examines an ordered path dependence, where events are chronologically ordered and the impact of earlier events on the later ones occurs through intermediary events. It should be remembered that events are constantly affected by environmental stimuli that are reflected not only in initial conditions, but also in the values of the parameters for all periods. Thus, it is not a case of short-term memory.
    Źródło:
    Acta Physica Polonica A; 2015, 127, 3A; A-86-A-94
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Methods of non-extensive statistical physics in analysis of price returns on Polish stock market
    Autorzy:
    Bil, Ł.
    Grech, D.
    Podhajska, E.
    Powiązania:
    https://bibliotekanauki.pl/articles/1075477.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Tp
    89.75.Da
    89.65.Gh
    89.75.-k
    Opis:
    We use methods of non-extensive statistical physics to describe quantitatively the memory effect involved in returns of companies from WIG 30 index on the Warsaw Stock Exchange. The entropic approach based on the generalization of the Boltzmann-Gibbs entropy to non-additive Tsallis q-entropy is applied to fit fat tailed distribution of returns to q-normal (Tsallis) distribution. The existence of long term memory effects in price returns generated by two-point autocorrelations are checked via calculation of the Hurst exponent within detrended fluctuation analysis approach. The results are collected for diversified frequency of data sampling. We confirm the perfect inverse cubic power law for low time-lags (≈1 min) of returns for the main WIG 30 index as well as for the most of separate stocks, however this relationship does not hold for longer time-lags. The particular emphasis is given to a study of an independent fit of probability distribution of positive and negative returns to q-normal distribution. We discuss in this context the asymmetry between tails in terms of the Tsallis parameters q^{±}. A qualitative and quantitative relationship between the frequency of data sampling, the parameters q and q^{±}, and the corresponding main Hurst exponent H is provided to analyze the effect of memory in data caused by linear and nonlinear autocorrelations. A new quantifier based on asymmetry of the Tsallis index instead of skewness of distribution is proposed which we believe is able to describe the stage of market development and its robustness to speculation.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 986-992
    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:
    Characteristics of Complexity in Selected Economic Models in the Light of Nonlinear Dynamics
    Autorzy:
    Jakimowicz, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/1400172.pdf
    Data publikacji:
    2013-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    05.45.Pq
    05.45.-a
    89.75.-k
    Opis:
    The catastrophe theory and deterministic chaos constitute the basic elements of economic complexity. Elementary catastrophes were the first remarkable form of nonlinear, topological complexity that were thoroughly studied in economics. Another type of catastrophe is the complexity catastrophe, namely an increase in the complexity of a system beyond a certain threshold which marks the beginning of a decrease in a system's adaptive capacity. As far as the ability to survive is concerned, complex adaptive systems should function within the range of optimal complexity which is neither too low or too high. Deterministic chaos and other types of complexity follow from the catastrophe theory. In general, chaos is seemingly random behavior of a deterministic system which stems from its high sensitivity to the initial condition. The theory of nonlinear dynamical systems, which unites various manifestations of complexity into one integrated system, runs contrary to the assumption that markets and economies spontaneously strive for a state of equilibrium. The opposite applies: their complexity seems to grow due to the influence of classical economic laws.
    Źródło:
    Acta Physica Polonica A; 2013, 123, 3; 542-546
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Multifractal Background Noise of Monofractal Signals
    Autorzy:
    Grech, D.
    Pamuła, G.
    Powiązania:
    https://bibliotekanauki.pl/articles/1408977.pdf
    Data publikacji:
    2012-02
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Tp
    89.75.Da
    05.40.-a
    89.75.-k
    89.65.Gh
    Opis:
    We investigate the presence of multifractal residual background effect for monofractal signals which appears due to the finite length of the signals and (or) due to the constant long memory the signals reveal. This phenomenon is investigated numerically within the multifractal detrended fluctuation analysis (MF-DFA) for artificially generated time series. Next, the analytical formulas enabling to describe the multifractal content in such signals are provided. Final results are shown in the frequently used generalized Hurst exponent h(q) multifractal scenario as a function of time series length L and the autocorrelation scaling exponent value γ. The obtained results may be significant in any practical application of multifractality, including financial data analysis, because the "true" multifractal effect should be clearly separated from the so called "multifractal noise" resulting from the finite data length. Examples from finance in this context are given. The provided formulas may help to decide whether one deals with the signal of real multifractal origin or not and make further step in analysis of the so called spurious or corrupted multifractality discussed in literature.
    Źródło:
    Acta Physica Polonica A; 2012, 121, 2B; B-34-B-39
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Alternative Random Matrix Approach in Analysis of Correlations in Financial Data
    Autorzy:
    Sawa, M.
    Grech, D.
    Powiązania:
    https://bibliotekanauki.pl/articles/1388194.pdf
    Data publikacji:
    2015-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Tp
    02.60.-x
    89.20.-a
    89.75.-k
    89.65.Gh
    89.75.Fb
    Opis:
    We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 - the main Warsaw Stock Exchange Index.
    Źródło:
    Acta Physica Polonica A; 2015, 127, 3A; A-118-A-122
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Multifractality of Nonlinear Transformations with Application in Finances
    Autorzy:
    Grech, D.
    Pamuła, G.
    Powiązania:
    https://bibliotekanauki.pl/articles/1400170.pdf
    Data publikacji:
    2013-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Df
    05.45.Tp
    89.65.Gh
    89.75.Da
    89.75.-k
    89.20.-a
    05.40.-a
    Opis:
    We study the multifractal effects of nonlinear transformations of monofractal, stationary time series and apply the found results to measure the "true" unbiased multifractality generated only by multiscaling properties of initial (primary) data before transformations. A difference is stressed between "naive" observed multifractal effects calculated directly within detrended multifractal analysis as the spread Δh of the generalized Hurst exponents h(q) and the more reliable unbiased multifractality received after subtraction of residual bias effects generated by nonlinear transformations of initial data and coupled with finite size effects in time series. This property is investigated for volatile series of the real main world financial indices. A difference between multifractal properties of intraday and interday quotes is also pointed out in this context for the Warsaw Stock Exchange WIG index. Finally, based on the observed feature of real nonstationary data, a new measure of unbiased multifractality in signals is introduced. This measure comes from an analysis of the whole generalized Hurst exponent profile instead of looking just at its edge behavior $h^{±} ≡ h(q→ ±∞)$. Such an approach seems to be particularly useful when h(q) is not a monotonic function of the moment order q. Interesting examples with extreme events from finance are presented. They convince that an analysis directed only on investigation of the edges $h^{±}$ in multifractal spectrum may be misleading.
    Źródło:
    Acta Physica Polonica A; 2013, 123, 3; 529-537
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-15 z 15

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