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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:
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:
Complexity of Social Systems
Autorzy:
Mesjasz, C.
Powiązania:
https://bibliotekanauki.pl/articles/1538572.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.-a
89.65.Ef
89.65.-s
89.75.-k
Opis:
The term "complexity" used frequently as a kind of "buzzword" has gained a specific role in the language of modern social sciences and social practice. A question is arising - how can we understand complexity of social systems/social phenomena which are characterized by limited possibility of explanation, unpredictability or low reliability of prediction? The aim of the paper is to provide a partial answer to this question. A survey of characteristics of complex systems and typology of various kinds of complexity, and of their sources is presented. It is also shown that broadly defined social systems (human systems) are affected by all kinds of complexity - they are "complexities of complexities". Using the typology of interpretations of complexity as an example, it is shown what are the limitations of transferring knowledge from physics, chemistry, information theory and biology to the studies of complexity of social systems. It is especially emphasized that mathematical models, which are treated as objective when applied in social sciences must be considered as an element of intersubjective discourse.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 706-715
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:
Crowd Behavior as an Example of the Evolution of a Complex System - Evacuation Models Proposal Based on the Symmetry Analysis Approach
Autorzy:
Sikora, W.
Malinowski, J.
Powiązania:
https://bibliotekanauki.pl/articles/1399031.pdf
Data publikacji:
2013-12
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.75.-k
Opis:
The evacuation of football stadium scenarios as examples of evolution of complex system are discussed. The models are presented as movements of individuals according to fields of displacements, calculated correspondingly to the given scenario. The assumption has been made that the most efficient evacuation is left based on the accordance of symmetry of allowed space, and this symmetry is taken into account while calculating the displacements field. The displacements related to every point of this space are calculated by the symmetry analysis method and fulfill the symmetry conditions of allowed space. The speed of each individual at every point in the presented model has the same quantity. Consequently, the times of evacuation and average presses acting on individuals during the evacuation are given. Both parameters are compared with and without symmetry considerations. They are calculated in the simulation procedure. For the realization of the simulation tasks the new program (using modified Helbing model) has been elaborated.
Źródło:
Acta Physica Polonica A; 2013, 124, 6; 1005-1012
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Effect of Detrending on Multifractal Characteristics
Autorzy:
Oświęcimka, P.
Drożdż, S.
Kwapień, J.
Górski, A.
Powiązania:
https://bibliotekanauki.pl/articles/1400181.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Df
05.45.Tp
89.75.-k
Opis:
Different variants of multifractal detrended fluctuation analysis technique are applied in order to investigate various (artificial and real-world) time series. Our analysis shows that the calculated singularity spectra are very sensitive to the order of the detrending polynomial used within the multifractal detrended fluctuation analysis method. The relation between the width of the multifractal spectrum (as well as the Hurst exponent) and the order of the polynomial used in calculation is evident. Furthermore, type of this relation itself depends on the kind of analyzed signal. Therefore, such an analysis can give us some extra information about the correlative structure of the time series being studied.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 597-603
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:
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:
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:
Indifferents as an Interface between Contra and Pro
Autorzy:
Malarz, K.
Kułakowski, K.
Powiązania:
https://bibliotekanauki.pl/articles/1538566.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.-s
87.23.Ge
89.65.Ef
89.75.-k
89.75.Fb
Opis:
In most sociophysical simulations on public opinion, only two opinions are allowed: Pro and Contra. However, in all political elections many people do not vote. Here we analyse two models of dynamics of public opinion, taking into account Indifferent voters: (i) the Sznajd model with symmetry Pro-Contra, (ii) the outflow one move voter model, where Contra's are converted to Indifferent by their Pro neighbours. Our results on the Sznajd model are in an overall agreement with the results of the mean field approach and with those known from the initial model formulation. The simulation on the voter model shows that an amount of Contra's who remain after convertion depends on the network topology.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 695-699
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Influence of Long-Term Dependences on Hard Drives Performance during Human Computer Interaction
Autorzy:
Strzałka, D.
Powiązania:
https://bibliotekanauki.pl/articles/1398898.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.Ff
89.20.Kk
89.70.-a
89.75.-k
05.20.-y
Opis:
Today, computer systems become one of the most important systems in technology and our life. They have a plenty of possible applications but most of them can be described as a transformation of (electrical) energy into useful work = calculations. This process is not so simple as it seems to be because the structure of computers hardware is very complicated and processed tasks are also very complex. Because the expectations of computer users are very high, a lot of computer resources are used only for operating systems normal work. Some existing solutions, especially in the memory system, guarantee that computer systems have acceptable performance but this parameter depends on many important system features. In this paper we will focus on one parameter, namely average disk time s/ transfer, in order to show the complex behavior of this memory system part during man-computer interaction. This is one of the most important counters in computer systems that works under Windows family operating systems and describes measurement related to hard drive based on the complete roundtrip time of any request.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 1064-1070
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:
Model of Communities Isolation at Hierarchical Modular Networks
Autorzy:
Kondratiuk, P.
Hołyst, J.
Powiązania:
https://bibliotekanauki.pl/articles/1409004.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.75.Hc
02.50.-r
89.75.-k
89.75.Da
89.75.Fb
Opis:
The model of community isolation was extended to the case when individuals are randomly placed at the nodes of hierarchical modular networks. It was shown that the average number of blocked nodes (individuals) increases in time as a power function, with the exponent depending on the network parameters. The distribution of the time when the first isolated cluster appears is unimodal, non-gaussian. The developed analytical approach is in a good agreement with the simulation data.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-67-B-71
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Monte Carlo Studies of the p-Spin Models οn Scale-Free Hypernetworks
Autorzy:
Krawiecki, A.
Powiązania:
https://bibliotekanauki.pl/articles/1400177.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.75.-k
89.75.Hc
05.70.Fh
Opis:
Results of Monte Carlo simulations of p-spin models on scale-free hypernetworks are presented. The hypernetworks are obtained using the preferential attachment algorithm, the spins are located in the nodes and the hyperedges connecting p nodes correspond to non-zero ferromagnetic interactions involving p spins. Such models show high degeneracy of the ground state: apart from the ferromagnetic state, depending on the parameters of the preferential attachment algorithm leading to different topologies of the obtained hypernetworks, there are several or even infinitely many disordered (glassy) states with the same energy. For various network topologies quantities such as the specific heat or magnetic susceptibility show maxima as functions of the temperature, which suggests the occurrence of the glassy or ferromagnetic phase transition. The models under study may serve as a starting point for modelling various forms of cooperation in social and economic sciences involving many-body rather than two-body interactions.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 564-566
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 25

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