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    Wyświetlanie 1-7 z 7
    Tytuł:
    Share Price Evolution as Stationary, Dependent Continuous-Time Random Walk
    Autorzy:
    Gubiec, T.
    Kutner, R.
    Powiązania:
    https://bibliotekanauki.pl/articles/1538526.pdf
    Data publikacji:
    2010-04
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    02.50.Ey
    02.50.Ga
    05.40.Fb
    02.30.Mv
    Opis:
    Simple model of share price evolution, which is an extension of Kehr-Kutner-Binder one and Montero-Masoliver models, is presented. The market empirical data inspired the assumptions of the model. The model seems to be the reference one for the study of the short-range correlations in financial data as it considers the observed correlation over two successive jumps of the financial ant.
    Źródło:
    Acta Physica Polonica A; 2010, 117, 4; 669-672
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Aperiodicity in Equilibrium Systems: Between Order and Disorder
    Autorzy:
    van Enter, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/1203443.pdf
    Data publikacji:
    2014-08
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.70.Fh
    61.44.Br
    02.50.Ey
    Opis:
    Spatial aperiodicity occurs in various models and materials. Although today the most well-known examples occur in the area of quasicrystals, other applications might also be of interest. Here we discuss some issues related to the notion and occurrence of aperiodic order in equilibrium statistical mechanics. In particular, we consider some spectral characterisations, and shortly review what is known about the occurrence of aperiodic order in lattice models at zero and nonzero temperatures. At the end some more speculative connections to the theory of (spin-)glasses are indicated.
    Źródło:
    Acta Physica Polonica A; 2014, 126, 2; 621-624
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Reinterpretation of Sieczka-Hołyst Financial Market Model
    Autorzy:
    Denys, M.
    Gubiec, T.
    Kutner, R.
    Powiązania:
    https://bibliotekanauki.pl/articles/1400166.pdf
    Data publikacji:
    2013-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    89.75.Fb
    02.50.Ey
    Opis:
    In this work we essentially reinterpreted the Sieczka-Hołyst model to make it more suited for description of real markets. For instance, this reinterpretation made it possible to consider agents as crafty. These agents encourage their neighbors to buy some stocks if agents have an opportunity to sell these stocks. Also, agents encourage them to sell some stocks if agents have an opposite opportunity. Furthermore, in our interpretation price changes respond only to the agents' opinions change. This kind of respond protects the stock market dynamics against the paradox (present in the Sieczka-Hołyst model), where all agents e.g. buy stocks while the corresponding prices remain unchanged. In this work we found circumstances, where distributions of returns (obtained for quite different time scales) either obey power-law or have at least fat tails. We obtained these distributions from numerical simulations performed in the frame of our approach.
    Źródło:
    Acta Physica Polonica A; 2013, 123, 3; 513-517
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Dynamic Structural and Topological Phase Transitions on the Warsaw Stock Exchange: A Phenomenological Approach
    Autorzy:
    Sienkiewicz, A.
    Gubiec, T.
    Kutner, R.
    Struzik, Z.
    Powiązania:
    https://bibliotekanauki.pl/articles/1400183.pdf
    Data publikacji:
    2013-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    02.50.Ey
    02.50.Ga
    05.40.Fb
    02.30.Mv
    Opis:
    We study crash dynamics of the Warsaw Stock Exchange by using minimal spanning tree networks. We identify the transition of the complex network during its evolution from a (hierarchical) power law minimal spanning tree network - representing the stable state of Warsaw Stock Exchange before the recent worldwide financial crash, to a superstar-like (or superhub) minimal spanning tree network of the market decorated by a hierarchy of trees - an unstable, intermediate market state. Subsequently, we observe a transition from this complex tree to the topology of the (hierarchical) power law minimal spanning tree network decorated by several star-like trees or hubs - this structure and topology represent the Warsaw Stock Exchange after the worldwide financial crash, and can be considered to be an aftershock. Our results can serve as an empirical foundation for a future theory of dynamic structural and topological phase transitions on financial markets.
    Źródło:
    Acta Physica Polonica A; 2013, 123, 3; 615-620
    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:
    Trust in Foreseeing Neighbours - A Novel Threshold Model of Financial Market
    Autorzy:
    Lipski, J.
    Kutner, R.
    Powiązania:
    https://bibliotekanauki.pl/articles/1400179.pdf
    Data publikacji:
    2013-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    02.50.Ey
    89.75.Fb
    45.70.Vn
    Opis:
    The three-state agent-based 2D model of financial markets in the version proposed by Giulia Iori in 2002 has been herein extended. We have introduced the increase of herding behaviour by modelling the altering trust of an agent in his nearest neighbours. The trust increases if the neighbour has foreseen the price change correctly and the trust decreases in the opposite case. Our version only slightly increases the number of parameters present in the Iori model. This version well reproduces the main stylized facts observed on financial markets. That is, it reproduces log-returns clustering, fat-tail log-returns distribution and power-law decay in time of the volatility autocorrelation function.
    Źródło:
    Acta Physica Polonica A; 2013, 123, 3; 584-588
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Properties of Confined Polymer Melts
    Autorzy:
    Sikorski, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/2041818.pdf
    Data publikacji:
    2005-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    02.50.Ng
    36.20.Ey
    61.25.Hq
    Opis:
    Properties of simple models of confined linear polymer chains were studied by means of the Monte Carlo method. Model chains were built of united atoms (statistical segments) and embedded to a simple cubic lattice. Then polymers were put into a slit formed by two parallel impenetrable surfaces. Chain lengths were varied up to 800 segments and the density of the polymer melt was changed up to 0.5. A Metropolis-like sampling Monte Carlo algorithm was used to determine the static properties of this model. The influence of the size of the confinement, the polymer melt concentration and the chain length on the chain's size and the structure was studied. The universal behavior of all confined polymer linear chains under consideration was found and discussed.
    Źródło:
    Acta Physica Polonica A; 2005, 107, 3; 443-450
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-7 z 7

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