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The statistical mechanics of financial markets
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The article was published on 2007-01-01 and is currently open access. It has received 169 citations till now. The article focuses on the topics: Financial market.read more
Citations
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Journal ArticleDOI
Quantifying the Behavior of Stock Correlations Under Market Stress
Tobias Preis,Tobias Preis,Tobias Preis,Dror Y. Kenett,Dror Y. Kenett,H. Eugene Stanley,Dirk Helbing,Eshel Ben-Jacob +7 more
TL;DR: It is found that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales, so the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed.
Journal ArticleDOI
The common patterns of nature
TL;DR: A simple and consistent informational framework of the common patterns of nature based on the method of maximum entropy shows that each neutral generative model is a special case that helps to discover a particular set of informational constraints; those informational constraints define a much wider domain of non‐neutral generative processes that attract to the same neutral pattern.
Journal ArticleDOI
Identifying States of a Financial Market
Michael C. Münnix,Michael C. Münnix,Takashi Shimada,Takashi Shimada,Rudi Schäfer,Francois Leyvraz,Thomas H. Seligman,Thomas Guhr,H. Eugene Stanley +8 more
TL;DR: In this paper, the authors analyze financial data from the S&P 500 stocks in the 19-year period 1992-2010 and propose a definition of state for a financial market and use it to identify points of drastic change in the correlation structure.
Posted Content
Partial correlation analysis: Applications for financial markets
TL;DR: In this paper, a statistically robust approach is presented to extract the underlying relationships between stocks from four different financial markets: the United States, the United Kingdom, Japan, and India.
OtherDOI
Applications of Statistical Physics in Finance and Economics
TL;DR: A review of recent research adopting methods from statistical physics in theoretical or empirical work in economics and nance can be found in this paper, where the authors present the robust power laws encountered in nancial economics and discuss potential explanations for scaling in nance derived from models of stochastic interactions of traders.
References
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Journal ArticleDOI
Quantifying the Behavior of Stock Correlations Under Market Stress
Tobias Preis,Tobias Preis,Tobias Preis,Dror Y. Kenett,Dror Y. Kenett,H. Eugene Stanley,Dirk Helbing,Eshel Ben-Jacob +7 more
TL;DR: It is found that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales, so the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed.
Journal ArticleDOI
The common patterns of nature
TL;DR: A simple and consistent informational framework of the common patterns of nature based on the method of maximum entropy shows that each neutral generative model is a special case that helps to discover a particular set of informational constraints; those informational constraints define a much wider domain of non‐neutral generative processes that attract to the same neutral pattern.
Journal ArticleDOI
Partial correlation analysis: applications for financial markets
TL;DR: In this paper, the authors have presented an analysis of the impact of the European MULTIPLEX (EU-FET project 317532), CONGAS (FP7-ICT-2011-8-317672), FET Open Project FOC 255987 and FOC-INCO 297149, and LINC (no. 289447 funded by the ECs Marie-Curie ITN program).
OtherDOI
Applications of Statistical Physics in Finance and Economics
TL;DR: A review of recent research adopting methods from statistical physics in theoretical or empirical work in economics and nance can be found in this paper, where the authors present the robust power laws encountered in nancial economics and discuss potential explanations for scaling in nance derived from models of stochastic interactions of traders.
Journal ArticleDOI
Asymmetric Lévy flight in financial ratios
TL;DR: It is found that an asymmetric Lévy PDF, characterized by infinite variance, models several multiple credit ratios used in financial accounting to quantify a firm’s financial health, and models changes of individual financial ratios, ΔXi.