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Wyświetlanie 1-15 z 116
Tytuł:
World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive
Autorzy:
Wątorek, M.
Drożdż, S.
Oświęcimka, P.
Powiązania:
https://bibliotekanauki.pl/articles/1398840.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
64.60.Ht
89.65.Gh
05.45.Df
Opis:
Based on the log-periodic power law methodology, with the universal preferred scaling factor λ ≈2, the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so-called commodity currencies expressed in terms of the US dollar appears to take place with the oscillation pattern which largely is mirror reflected relative to oil price oscillation pattern. It documents recent strong anticorrelation between the dynamics of the oil price and of the USD. A related forecast made at the time of FENS 2015 conference (beginning of November) turned out to be quite satisfactory. These findings provide also further indication that such a log-periodically accelerating down-trend signals termination of the corresponding decreases.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 932-936
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Vortex Stabilization of Market Equilibrium in Theory and in Practice of Economics
Autorzy:
Jakimowicz, A.
Juzwiszyn, J.
Powiązania:
https://bibliotekanauki.pl/articles/1408997.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
45.40.-f
47.32.C-
Opis:
Rotary movements of the object around the position of equilibrium is the most common type of dynamics in nature. The way of plotting trajectory resembles winding a line onto a cone of revolution or some other solid of revolution. The state of equilibrium, which is usually not reached by the system, is marked with the cone axis. The trajectory can move away from the state of equilibrium, or get closer to it. A similar behavior is observed in many two-dimensional economic models, both linear, and nonlinear. The simplest example is a linear cobweb model, where - depending on slopes of linear demand function and linear function of supply - price and quantity make a broken line with a growing, constant or decreasing amplitude around the equilibrium point. In nonlinear models, trajectories are more realistic. A natural space for exploring spiral trajectories is a three-dimensional space. Usually, it requires magnifying the model's dimension by one. Economic vortices are made up by economic vectors of three constituents. It may be price, quantity, and time. Apparently, flat zigzags that can be seen on two-dimensional graphs of cobweb models are orthogonal projections of spinning trajectories. Vortexes created by nonlinear models are much smoother than the vortices created by linear models. The real economic vectors create smooth spiral trajectories, which indicates necessity to employ nonlinear dynamics in economic modeling. The basis for rotary movements are surface areas of solids of revolution of the second degree. The kinematics of solids indicated by market shows that they also rotate in three-dimensional space. It resembles precession movements. In economic dynamics we have at least a double rotation. What rotates are both economic vectors as well as the solids created by them.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-54-B-60
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Variance-optimal hedging for the process based on non-extensive statistical mechanics and Poisson jumps
Autorzy:
Zhao, Pan
Xiao, Qingxian
Powiązania:
https://bibliotekanauki.pl/articles/1065051.pdf
Data publikacji:
2016-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In this study, we consider a minimum-variance hedging problem in an incomplete market, in which the risky asset is driven by the process based on non-extensive statistical mechanics and Poisson jumps. Using the stochastic control theory and backward stochastic differential equation method, we obtain a closed-form solution for the minimum-variance hedging policy.
Źródło:
Acta Physica Polonica A; 2016, 129, 6; 1252-1256
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Variance-Based Spillover Analysis between Stock Markets: A Time Varying Parameter Approach
Autorzy:
Özün, A.
Ertuğrul, H.
Powiązania:
https://bibliotekanauki.pl/articles/1195957.pdf
Data publikacji:
2014-01
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.10.-a
Opis:
This paper proposes a variance-based spillover impact analysis embedded with a dynamic Kalman filtering in order to detect a causality relationship from the US stock markets into the European and emerging stock markets during the financial crisis. It has mainly two new contributions to the literature. Firstly, it uses variance rather than returns to analyze the spillover impact between the markets. Secondly, and more importantly, it is an econophysics research as it examines causality relationship with the Kalman filtering in physics. We calculate time-dependent conditional stock market variances for Dow Jones, DAX, FTSE, RTS (Russia), and BIST (Turkey) by employing SWARCH model. The empirical analysis examines the causal relationship between Dow Jones into the other stock markets employing Granger causality tests in order to detect the direction of volatility spillover relationship. As an embedded analysis, we follow a dynamic approach by using the Kalman filtering as a time varying parameter model to depict the time varying interaction between stock markets volatilities. The empirical results point out unidirectional Granger causality from Dow Jones to the other markets indicating the spillover impact of the volatility starting from the US markets and expanded into the world in the latest global crisis.
Źródło:
Acta Physica Polonica A; 2014, 125, 1; 155-157
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Utility Functions Invariant with Respect to Some Classes of Shifts
Autorzy:
Chudziak, J.
Powiązania:
https://bibliotekanauki.pl/articles/1400165.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
A utility function U is said to be invariant with respect to a family of transformations Γp provided, for every member γ of Γp, U and Uırc γ represent the same preference relation over lotteries. An invariance with respect to a wide class of transformations can be reduced to an invariance with respect to the shift transformations. We give a complete answer to the following question: given a nonempty set T of shifts determine all utility functions invariant with respect to the shift transformations by every element of T. As a consequence of our results we obtain the forms of utility functions invariant with respect to the families of commuting transformations.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 508-512
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:
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
Tytuł:
Tight-Binding Approach: A Quantum Mechanical Tool to Study Economic Time Series
Autorzy:
Cruz, H.
Powiązania:
https://bibliotekanauki.pl/articles/1029060.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
72.15.Lh
72.15.Rn
89.65.Gh
Opis:
We study the localization properties of the 1D tight-binding equation, where the on-site potential is aperiodic or pseudorandom. The on-site potential values are derived from economic time series databases. We carry out numerical work involving direct diagonalization to study localization properties of the system. In our model, eigenstates at the band center are all extended whereas the band-edge states are all localized. This diagonalization scheme is applied to different segments of the time series. The Lyapunov exponent behaves at E=0 as γ(E)~|E|^{β}. The results lead us to conclude that this mathematical tool could be used as a moving indicator to study economic charts.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1347-1350
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The quantile decomposition of personal income distributions in the USA
Autorzy:
Karpio, K.
Landmesser, J.
Łukasiewicz, P.
Orłowski, A.
Powiązania:
https://bibliotekanauki.pl/articles/1075455.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
88.05.Lg
Opis:
In this study we compared incomes distributions in the USA for two subgroups (defined according to sex or race). We utilized the quantile decomposition method to describe differences between the two distributions as a function of their quantiles. The analyzed objects are characterized by the set of attributes (education, age, etc.). We evaluate strength of the influence of the attributes onto the various parts of the incomes distributions. In such a way we evaluate income inequalities and their causes in two subgroups of people.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 965-970
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Efficiency of Polish Stock Market: Ordinal Patterns Approach
Autorzy:
Graff, G.
Kaczkowska, A.
Powiązania:
https://bibliotekanauki.pl/articles/1400169.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.70.Cf
89.75.Kd
Opis:
Zunino et al. analyzed the problem of discrimination of developed and emergent markets by the use of ordinal patterns methods: number of forbidden patterns and ordinal pattern probability distribution as a basis for entropy and statistical measure of complexity. In this paper we apply the same methodology for the analysis of Polish stock market (index WIG). The results indicate that Polish market belongs neither to developed, nor to emergent groups of markets. It represents hybrid market, the third group distinguished in the paper by Zunino et al.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 526-528
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Subsequent Movements Proportions of Share Prices Included in the WIG over Recent Years
Autorzy:
Szmagliński, A.
Powiązania:
https://bibliotekanauki.pl/articles/1400184.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Df
05.45.Tp
89.65.Gh
Opis:
A large amount of stock prices intraday data allow us to create a summary of subsequent movements' proportions of the collected share prices in the form of histogram. We have created two kinds of histograms: one for proportions of subsequent increasing and decreasing price movements and the second for proportions of subsequent price movements in the same direction. We have also created the same kinds of histograms for duration of price movements. All the histograms quite well fit the gamma probability distribution. The distribution coefficients' values ν and λ for price are above 1, for time are below 1. Some proportions of price movements occur more frequently than others, creating peaks on the graph. Similar regularity occurs for the time factor. This property is often used in trading.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 621-623
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Subdiffusion with External Time Modulation
Autorzy:
Wojnar, R.
Powiązania:
https://bibliotekanauki.pl/articles/1812233.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.40.Jc
05.70.Ln
82.39.Rt
87.18.Hf
89.65.Gh
89.65.Lm
Opis:
A subdiffusion process, similar to a Zeldovich-Kompaneets heat conduction process, is defined by a nonlinear diffusion equation in which the diffusion coefficient takes the form D=a(t)f^n, where a=a(t) is an external time modulation, n is a positive constant, and f=f(x, t) is a solution to the nonlinear diffusive equation. It is shown that a Zeldovich-Kompaneets solution satisfies the subdiffusion equation if a=a(t) is replaced by the mean value of a. Also, a solution to the subdiffusion equation is constructed that may be useful in description of biological, social, and financial processes.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 607-611
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:
Studies on regional wealth inequalities: The case of Italy
Autorzy:
Ausloos, M.
Cerqueti, R.
Powiązania:
https://bibliotekanauki.pl/articles/1075462.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
93.30.-w
05.20.-y
05.10.Ln
Opis:
The paper contains a short review of techniques examining regional wealth inequalities based on recently published research work, but also presenting unpublished features. The data pertains to Italy over the period 2007-2011: the number of cities in regions, the number of inhabitants in cities and in regions, as well as the aggregated tax income of the cities and of regions. Frequency-size plots and cumulative distribution function plots, scatter plots and rank-size plots are displayed. The rank-size rule of a few cases is discussed. Yearly data of the aggregated tax income is transformed into a few indicators: the Gini, Theil, and Herfindahl-Hirschman indices. Numerical results confirm that IT is divided into very different regional realities. One region is selected for a short discussion: Molise. A note on the "first digit Benford law" for testing data validity is presented.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 959-964
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Students t-Distribution versus Zeldovich-Kompaneets Solution of Diffusion Problem
Autorzy:
Wojnar, R.
Powiązania:
https://bibliotekanauki.pl/articles/1408916.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.70.Rr
05.40.Jc
05.40.Fb
89.65.Gh
Opis:
Student's t-distribution is compared to a solution of superdiffusion equation. This t-distribution is a continuous probability distribution that arises in the problem of estimating the mean of a normally distributed population when the sample size is small. Formally it can written in the form similar to the Gaussian distribution, in which, however, instead of usual exponential function, the so called K-exponential - a form of binomial distribution - appears. Similar binomial form has the Zeldovich-Kompaneets solution of nonlinear diffusion-like problems. A superdiffusion process, similar to a Zeldovich-Kompaneets heat conduction process, is defined by a nonlinear diffusion equation in which the diffusion coefficient takes the form $D=a(t)(1//f)^n$, where a=a(t) is an external time modulation, n is a positive constant, and f=f(x,t) is a solution to the nonlinear diffusion equation. It is also shown that a Zeldovich-Kompaneets solution still satisfies the superdiffusion equation if a=a(t) is replaced by the mean value of a. A solution to the superdiffusion equation is given. This may be useful in description of social, financial, and biological processes. In particular, the solution possesses a fat tail character that is similar to probability distributions observed at stock markets. The limitation of the analogy with the Student distribution is also indicated.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-133-B-136
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 116

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