Relevant bibliographies by topics / Econophysics / Dissertations / Theses
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Dissertations / Theses on the topic 'Econophysics'

Author: Grafiati
Published: 4 June 2021
Last updated: 25 July 2025

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1

Schinckus, Christophe. "When physics became undisciplined : an essay on econophysics." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/279683.

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In the 1990s, physicists started looking beyond their disciplinary boundaries by using their methods to study various problems usually thrown up by financial economics. This dissertation deals with this extension of physics outside its disciplinary borders. It seeks to determine what sort of discipline econophysics is in relation to physics and to economics, how its emergence was made possible, and what sort of knowledge it produces. Using a variety of evidence including bibliometric analysis Chapter 1 explores the field’s disciplinary identity as a branch of physics even though its intellectu
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2

Oltean, Elvis. "Modelling income, wealth, and expenditure data by use of Econophysics." Thesis, Loughborough University, 2016. https://dspace.lboro.ac.uk/2134/20203.

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In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that it fits very well the annual data for the entire income interval including for upper income segment of population. Secondly, we apply Fermi-Dirac distribution to these data. We seek to explain possible correlations and analogies between economic systems and statistical thermodynamics systems. We try to explain their behaviour and properties when we correlate
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3

Volpati, Valerio. "Statistical Mechanics approach to the sustainability of economic ecosystems." Doctoral thesis, SISSA, 2016. http://hdl.handle.net/20.500.11767/4924.

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This thesis contains some of the main results obtained during my research activity in these years, in the Statistical Physics sector at SISSA and in the Quantitative Life Sciences sector at ICTP. Chapter 1 serves as an introduction and is kept brief, because each of the following chapters has a separate introduction containing more details on the different problems that have been considered. In Chapter 2 several models of wealth dynamics are discussed, with focus on the stationary distributions that they have. In particular, we introduce a stochastic growth model that has a truncated powe
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4

Tenenbaum, Joel. "Interdisciplinary applications of statistical physics to complex systems: seismic physics, econophysics, and sociophysics." Thesis, Boston University, 2012. https://hdl.handle.net/2144/31617.

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Thesis (Ph.D.)--Boston University<br>PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you.<br>This thesis applies statistical physics concepts and methods to quantitatively analyze complex systems. This thesis is separated into four parts: (i) characteristics of earthquake systems (ii) memory and vol
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5

Cheung, Wing-Keung. "Monte Carlo simulation on 2D random point pattern : Potts model and its application to econophysics /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202005%20CHEUNG.

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6

Koh, Jason S. H. "Comparison of the new "econophysics" approach to dealing with problems of financial to traditional econometric methods." Thesis, View thesis, 2008. http://handle.uws.edu.au:8081/1959.7/38828.

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We begin with the outlining the motivation of this research as there are still so many unanswered research questions on our complex financial and economic systems. The philosophical background and the advances of econometrics and econophysics are discussed to provide an overview of the stochastic and nonstochastic modelling and these disciplines are set as a central theme for the thesis. This thesis investigates the effectiveness of financial econometrics models such as Gaussian, ARCH (1), GARCH (1, 1) and its extensions as compared to econophysics models such as Power Law model, Boltzmann-Gib
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Koh, Jason S. H. "Comparison of the new "econophysics" approach to dealing with problems of financial to traditional econometric methods." View thesis, 2008. http://handle.uws.edu.au:8081/1959.7/38828.

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Thesis (Ph.D.)--University of Western Sydney, 2008.<br>Thesis submitted to fulfil the requirements for the degree of Doctor of Philosophy in the School of Economics and Finance, College of Business, University of Western Sydney. Includes bibliography.
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8

Kong, Chi-Wah. "Monte-Carlo simulation on a 2-D random point pattern : ising model and its application to econophysics /." View Abstract or Full-Text, 2002. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202002%20KONG.

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Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2002.<br>Includes bibliographical references (leaves 81-82). Also available in electronic version. Access restricted to campus users.
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9

Zeithamer, Tomáš. "Exaktní metody v obchodě (modelový přístup)." Doctoral thesis, Vysoká škola ekonomická v Praze, 2003. http://www.nusl.cz/ntk/nusl-77119.

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The paper deals with quantum economy. It means the methods of quantum mechanics are applied in the study of economic processes. The scalar abstract economic quantities are constructed as follows: general abstract economic quantity F , average abstract economic quantity FA, marginal abstract economic quantity FM, marginal average abstract economic quantity FMA, average marginal abstract economic quantity FAM, elasticity of abstract economic quantity EF. All the abstract economic quantities mentioned above are constructed as mappings. The general theory of abstract economic quantities is utilize
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10

Mandere, Edward Ondieki. "Financial Networks and Their Applications to the Stock Market." Bowling Green State University / OhioLINK, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233.

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11

Favaro, Guilherme Martinatti. "\"Dinâmicas autoregressivas em econofísica\"." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/76/76131/tde-23032007-101512/.

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Neste trabalho, fazemos uma breve introdução à Econofísica e às grandezas estatísticas relevantes para o estudo de um ativo financeiro. Estas grandezas são estudadas detalhadamente para o índice NYSE Composto. Determinamos o tempo de autocorrelação e o espectro de potência, cujos resultados indicam a presença de uma correlação de curto alcance. Através do expoente de Hurst, investigamos o tipo de correlação presente e detectamos a presença de multifractalidade. A volatilidade do índice NYSE mostrou-se análoga a um processo de Wiener. Por outro lado, a função densidade de probabilidade do índic
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12

Šubrt, Jiří. "Analýza finančních dat metodami ekonofyziky." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-113910.

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For financial forcasting of crisis new concepts from disciplines dissimilar to economics are looked for by financial experts. The branch of econophysics using theories of natural sciences is significant. The meaning of this work is to point out one of many methods applied to financial data with help of the theory of turbulence of fluids and deterministic chaos. We provide a parallel analysis of high frequency financial time series of a stock index and velocities of a turbulent fluid. This work concerns the use of concepts from statistical mathematics, probability theory and scaling. We find di
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13

Silva, Luís Eduardo Araripe Gomes da. "Efeitos coletivos em eleições e jogos." reponame:Repositório Institucional da UFC, 2007. http://www.repositorio.ufc.br/handle/riufc/12668.

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SILVA, Luís Eduardo Araripe Gomes da. Efeitos coletivos em eleições e jogos. 2007. 112 f. Tese (Doutorado em Física) - Programa de Pós-Graduação em Física, Departamento de Física, Centro de Ciências, Universidade Federal do Ceará, Fortaleza, 2007.<br>Submitted by Edvander Pires (edvanderpires@gmail.com) on 2015-06-08T18:55:02Z No. of bitstreams: 1 2007_tese_leagsilva.pdf: 1036296 bytes, checksum: f2c061ea0da08749fc44ba00c9d4ead3 (MD5)<br>Approved for entry into archive by Edvander Pires(edvanderpires@gmail.com) on 2015-06-08T18:58:05Z (GMT) No. of bitstreams: 1 2007_tese_leagsilva.pdf: 1036296
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Kauper, Benjamin, and Karl-Kuno Kunze. "Modellierung von Aktienkursen im Lichte der Komplexitätsforschung." Universität Potsdam, 2011. http://opus.kobv.de/ubp/volltexte/2011/5228/.

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This paper offers empirical evidence on the power of Sornette et al's [2001] model of bubbles and crashes regarding the German stock market between 1960 and 2009. We identify relevant time periods and describe them with the function given by Sornette et al's model. Our results show some evidence in predicting crashes with the understanding of logarithmic periodic structures that are hidden in the stock price trajectories. It was shown that for the DAX most of the relevant parameters determining the shape of the logarithmic periodic structures are lying in the expected interval researched by So
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15

Kellermann, Gustavo Adolfo. "Aspectos estatísticos e dinâmicos do jogo do ultimato espacial e não espacial." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2008. http://hdl.handle.net/10183/15531.

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Nesta dissertação é explorado o comportamento emergente de uma população heterogênea de jogadores negociando segundo o jogo do ultimato: dois jogadores recebem uma oferta; um deles (o proponente) propõe a sua divisão, enquanto o outro jogador (o aceitador) pode aceitar ou rejeitar a proposta. A rejeição é prejudicial a ambos jogadores, pois nenhum deles recebe sua parcela dos possíveis ganhos. Neste contexto, o ganho e seus momentos são calculados a partir de métodos analíticos simples e várias simulações computacionais corroboram os resultados obtidos. Também são analisadas as flutuações esta
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16

Fagerström, Sixten. "Behavioural Finance : The psychological impact and overconfidence in financial markets." Thesis, University of Skövde, School of Technology and Society, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-1326.

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<p>Purpose</p><p>The main purpose of this paper is to investigate overconfidence and over-optimism in the market. This leads the reader to the question, are the analysts “right” concerning their forecasts? The reader will also get to understand various and sometimes forgotten factors that affect we human beings in our decision making when it comes to investing and analysing which is also known as the behavioural finance theory.</p><p>Conclusion</p><p>According to the results from my tests it seems that analysts of the S&P500 are exaggerated by the problem of overconfidence and the over-optimis
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17

Silva, Michel Alexandre da. "Livro de ofertas e dinâmica de preços: evidências a partir de dados da BOVESPA." Universidade de São Paulo, 2013. http://www.teses.usp.br/teses/disponiveis/100/100132/tde-04122013-114154/.

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Este trabalho possui um duplo objetivo: i) estudar os fatos estilizados do livro de ofertas dos papéis negociados na Bolsa de Valores de São Paulo (BOVESPA), assim como dos retornos engendrados pela dinâmica do livro de ofertas e ii) desenvolver um modelo de livro de ofertas baseado em agentes com o propósito de reproduzir tais fatos estilizados. Trabalhou-se com dados de junho/2006 a janeiro/2009 de uma amostra formada pelos vinte papéis mais negociados da BOVESPA. Os resultados empíricos corroboraram alguns fatos estilizados observados no estudo de papéis de outros países, mas refutaram outr
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18

Guilherme, Adriano Pereira. "Análise do índice Bovespa pelo método dos gráficos de recorrência." UNIVERSIDADE ESTADUAL DE PONTA GROSSA, 2008. http://tede2.uepg.br/jspui/handle/prefix/875.

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Made available in DSpace on 2017-07-21T19:25:57Z (GMT). No. of bitstreams: 1 ADRIANOPEREIRA.pdf: 5814518 bytes, checksum: fd0af0d5e0a77b57e48974063eac7e4f (MD5) Previous issue date: 2008-07-31<br>Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>Recurrence analysis has been extensively used in approaching problems that deal with transitions between regular and chaotic behaviors, identi¯cation of structure of dynamic systems, such as frequencies and correlations hard to detect by linear methods, for example. Among the main tools of this analysis are the Recurrence Plots (RP) and
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19

Civitarese, Jamil Kehdi Pereira. "We're Chained: an analysis of systemic risk in finance." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/15117.

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Submitted by Jamil Civitarese (jamil@rankings.watch) on 2015-09-08T17:16:54Z No. of bitstreams: 1 ebape_v2_completa.pdf: 1545221 bytes, checksum: 26ed0880a075cf3930258d1d3b4b769f (MD5)<br>Approved for entry into archive by ÁUREA CORRÊA DA FONSECA CORRÊA DA FONSECA (aurea.fonseca@fgv.br) on 2016-01-25T14:30:06Z (GMT) No. of bitstreams: 1 ebape_v2_completa.pdf: 1545221 bytes, checksum: 26ed0880a075cf3930258d1d3b4b769f (MD5)<br>Approved for entry into archive by Maria Almeida (maria.socorro@fgv.br) on 2016-01-26T19:19:59Z (GMT) No. of bitstreams: 1 ebape_v2_completa.pdf: 1545221 bytes, checks
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20

Brand, Rene. "An econophysical investigation : using the Boltzmann distribution to determine market temperature as applied to the JSE all share index." Thesis, Stellenbosch : University of Stellenbosch, 2009. http://hdl.handle.net/10019.1/879.

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Thesis (MBA (Business Management))--University of Stellenbosch, 2009.<br>ENGLISH ABSTRACT: Econophysics is a relatively new branch of physics. It entails the use of models in physics applied to economics. The distributions of financial time series are the aspect most intensely studied by physicists. This study is based on a study by Kleinert and Chen who applied the Boltzmann distribution to stock exchange data to define a market temperature that may be used by investors to indicate an impending stock market crash. Most econophysicists’ analysed the tail regions of the distributions as the
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SANTOS, Alan de Andrade. "Simulação computacional e abordagem numérica para um modelo heterogêneo e adaptativo de distribuição de renda." Universidade Federal Rural de Pernambuco, 2016. http://www.tede2.ufrpe.br:8080/tede2/handle/tede2/6096.

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Submitted by Mario BC (mario@bc.ufrpe.br) on 2016-12-07T14:09:32Z No. of bitstreams: 1 Alan de Andrade Santos.pdf: 3882086 bytes, checksum: 26e70ab7ace142171818532e8ea7a8bf (MD5)<br>Made available in DSpace on 2016-12-07T14:09:32Z (GMT). No. of bitstreams: 1 Alan de Andrade Santos.pdf: 3882086 bytes, checksum: 26e70ab7ace142171818532e8ea7a8bf (MD5) Previous issue date: 2016-08-23<br>Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES<br>A key feature of income distribution P(m) study is characterize the inequalities implied by microeconomic models based on the mechanisms of
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Nascimento, César Moura. "Análise multifractal e seções de Lévy de flutuações heterocedásticas." Universidade Federal de Alagoas, 2008. http://repositorio.ufal.br/handle/riufal/1012.

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An important problem in Physics concerns the study of stochastic processes and fluctuations away from the mean of dynamical variables. In a wide range of systems, some of the observed variables have a macroscopic quality, in the sense that they represent averages or sums over time or space of "microscopic" quantities. When long-range memory or correlation effects do not play a significant role, then the necessary and sufficient conditions for the Central Limit Theorem to hold can become satisfied. Quite often, the second moments of the studied dynamical variable do not diverge, hence in many i
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CERINA, FEDERICA. "Statistical physics of network communities in economic systems." Doctoral thesis, Università degli Studi di Cagliari, 2015. http://hdl.handle.net/11584/266790.

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In the last decade, the study of big networked systems has received a great deal of attention thanks to the increased availability of large datasets and the technology to analyze them. To unravel regularities and behaviours from his enormous quantity of data and supply suitable models, we need appropriate tools, one of them being community detection. Finding meaningful communities in a networks is still a diffcult task but essential to unveil functional relations between the parts. The research presented here has been carried out focusing on community detection; in particular were consid
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Angus, Simon Douglas Economics Australian School of Business UNSW. "Economic networks: communication, cooperation & complexity." Awarded by:University of New South Wales. Economics, 2007. http://handle.unsw.edu.au/1959.4/27005.

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This thesis is concerned with the analysis of economic network formation. There are three novel sections to this thesis (Chapters 5, 6 and 8). In the first, the non-cooperative communication network formation model of Bala and Goyal (2000) (BG) is re-assessed under conditions of no inertia. It is found that the Strict Nash circle (or wheel) structure is still the equilibrium outcome for n = 3 under no inertia. However, a counter-example for n = 4 shows that with no inertia infinite cycles are possible, and hence the system does not converge. In fact, cycles are found to quickly dominate outcom
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25

Gustavsson, Marcus, and Daniel Levén. "The Predictability of Speculative Bubbles : An examination of the log-periodic power law model." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-120378.

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In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime.We find evidence which support the occurrence of LPPL-patterns leading up to the change in regime; asset prices during bubble periods seem to oscillate around a faster-than-exponential growth. In most cases the estimation yields accurate pre
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Barrientos, Jesús Emeterio Navarro. "Adaptive investment strategies for different scenarios." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2010. http://dx.doi.org/10.18452/16168.

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Die folgende Arbeit befasst sich mit den Untersuchungen von Problemen der Optimierung von Ressourcen in Umgebungen mit unvorhersehbarem Verhalten, wo: (i) nicht alle Informationen verfügbar sind, und (ii) die Umgebung unbekannte zeitliche Veränderungen aufweist. Diese Dissertation ist folgendermaßen gegliedert: Teil I stellt das Investitionsmodell vor. Es wird sowohl eine analytische als auch eine numerische Analyse der Dynamik dieses Modells für feste Investitionsstrategien in verschiedenen zufälligen Umgebungen vorgestellt. In diesem Investitionsmodell hängt die Dynamik des Budgets des Agent
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Filiasi, Mario. "Applications of Large Deviations Theory and Statistical Inference to Financial Time Series." Doctoral thesis, Università degli studi di Trieste, 2015. http://hdl.handle.net/10077/10940.

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2013/2014<br>La corretta valutazione del rischio finanziario è una delle maggiori attività nell'amibto della ricerca finanziaria, ed è divenuta ancora più importante dopo la recente crisi finanziaria. I recenti progressi dell'econofisica hanno dimostrato come la dinamica dei mercati finanziari può essere studiata in modo attendibile per mezzo dei modelli usati in fisica statistica. L'andamento dei prezzi azionari è costantemente monitorato e registrato ad alte frequenze (fino a 1ms) e ciò produce un'enorme quantità di dati che può essere analizzata statisticamente per validare e calibrare i mo
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Mohti, Wahbeeah. "Essays on frontier markets: financial integration, financial market efficiency, financial contagion." Doctoral thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/24579.

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This thesis investigates financial integration, market efficiency, and financial contagion in frontier markets in order to evaluate the potentiality of portfolio diversification. The first essay evaluates Asian frontier and emerging equity markets’ regional and global integration using Gregory and Hansen co-integration tests and detrended cross correlation analysis (DCCA). The results suggest that Asian emerging markets show some evidence of integration with both regional and global markets. From Asian frontier markets, Pakistan is the only one with evidence of integration with both benchmarks
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Pereira, Marcelo Alves. "Dilema do prisioneiro contínuo com agentes racionais e classificadores de cooperação." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/59/59135/tde-08012013-222525/.

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O dilema do prisioneiro (DP) é um dos principais jogos da teoria dos jogos. No dilema do prisioneiro discreto (DPD), dois prisioneiros têm as opções de cooperar ou desertar. Um jogador cooperador não delata seu comparsa, já um desertor delata. Se um cooperar e o outro desertar, o cooperador fica preso por cinco anos e o desertor fica livre. Se ambos cooperarem, ficam presos por um ano e, se ambos desertarem, ficam presos por três anos. Quando o DP é repetido, a cooperação pode emergir entre agentes egoístas. Realizamos um estudo analítico para o DPD, que produziu uma formulação da evolução do
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Hodek, Jakub [Verfasser], Johannes [Akademischer Betreuer] Schneider, and Ulrich [Akademischer Betreuer] Küsters. "Wavelets im Rahmen der Econophysik : eine naturwissenschaftlich geprägte Analyse von Finanzmärkten / Jakub Hodek. Betreuer: Johannes Schneider ; Ulrich Küsters." Eichstätt-Ingolstadt : Katholische Universität Eichstätt-Ingolstadt, 2015. http://d-nb.info/1074192613/34.

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Allez, Romain. "Chaos multiplicatif Gaussien, matrices aléatoires et applications." Phd thesis, Université Paris Dauphine - Paris IX, 2012. http://tel.archives-ouvertes.fr/tel-00780270.

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Dans ce travail, nous nous sommes intéressés d'une part à la théorie du chaos multiplicatif Gaussien introduite par Kahane en 1985 et d'autre part à la théorie des matrices aléatoires dont les pionniers sont Wigner, Wishart et Dyson. La première partie de ce manuscrit contient une brève introduction à ces deux théories ainsi que les contributions personnelles de ce manuscrit expliquées rapidement. Les parties suivantes contiennent les textes des articles publiés [1], [2], [3], [4], [5] et pré-publiés [6], [7], [8] sur ces résultats dans lesquels le lecteur pourra trouver des développements plu
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Pereira, Marcelo Alves. "Dilema do prisioneiro evolucionário Darwiniano e Pavloviano no autômato celular unidimensional: uma nova representação e exploração exaustiva do espaço de parâmetros." Universidade de São Paulo, 2008. http://www.teses.usp.br/teses/disponiveis/59/59135/tde-12052008-122340/.

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O Dilema do Prisioneiro (DP) é o jogo mais proeminente da Teoria dos Jogos devido à emergência da cooperação entre jogadores egoístas. O comportamento de cada jogador depende da estratégia que ele adotada e do seu ganho, que é determinado em função dos parâmetros do DP (T, R, P e S) e do número z de vizinhos com que ele joga. Portanto, a estrutura espacial dos jogadores não é relevante. Em nosso trabalho, utilizamos um autômato celular unidimensional onde cada jogador pode cooperar ou desertar ao interagir, simetricamente, com seus z vizinhos mais próximos. O sistema proposto nos permitiu real
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余智偉. "Switching dynamics in Econophysics." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/42634693375758440339.

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碩士<br>國立高雄師範大學<br>物理學系<br>100<br>In 2011, T. Preis, J. Schneider, and H. E. Stanley (Proc. Natl. Acad. Sci. USA 108, 7674-7678 (2011)) proposed a method of renormalized time to analyze switching dynamics of German DAX future. In this thesis, we use their method to study the switching dynamics of Taiwan TX index Future, which is composed of 37,252,200 transaction records, ranging from 1 January 2007 to 31 December 2010. In studying the switching phenomenon, We analyze the distribution of (1) volatility、(2)volume and (3) intra-event time interval, and found three power-law scaling relationsh
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CAI, YU-LONG, and 蔡瑜隆. "Minority mechanism for financial markets : an econophysics approach." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/gssgtm.

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碩士<br>國立東華大學<br>物理學系<br>105<br>We construct an artificial market based on the minority game (MG). We then compute the profit probability distributions of the MG group in an open system or a close system. We also compare the profit probability distributions between a day trader and an MG trader in a market composed of MG traders. In an open system, if the price is fluctuating and totally determined by MG traders, the average wealth of MG traders decreases. However, in the bear or bull market, i.e. when the difference between the first and final price is large, the average wealth of these MG tra
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Liao, Chi-Yo, and 廖啟佑. "Anchoring Effect in Econophysics : A Case Study of TAIEX Futures." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/35726162906212410585.

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碩士<br>國立高雄師範大學<br>物理學系<br>104<br>In this paper, we study the anchor effect that is emerged by local maximum and local minimum by using the data from TAIEX Futures. We observe the price fluctuation ,and figure that the local maximum and local minimum sometimes will come out. These extreme values become the conditions which the investor can use to predict the price fluctuation of future. We do some statistics of these extreme values. We calculate the time it need to breakthrough these extreme values and the largest price spread is yielded during the time. Then we consider the breakthrough time a
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LAI, YI-ZHEN, and 賴怡臻. "Econophysics: Correlation Analysis of Price, Time, and Volume in TAIEX." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/21073259445093160098.

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碩士<br>國立高雄師範大學<br>物理學系<br>104<br>In this research, we study the relationship of the price, time, and volumes in uptrend and downtrend by using the data from TAIEX Futures. We found sometimes the price fluctuation will have local maximum or local minimum, and these extreme values will be used by the investor to predict the future trend. Therefore we measure the statistic of extreme values between price deference, time deference and the sum of the total volume between two extreme values. We also use the concept of Brownian motion to analyze the relationship between the deference of price, time,
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邱于慎. "Price Dynamics in Econophysics - Correlation Analysis between TAIEX Index and Its Futures." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/q6z45c.

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碩士<br>國立高雄師範大學<br>物理學系<br>102<br>Abstract We study the cross correlation between time series of Taiwan Stock market Index (TAIEX) and Futures (TAIFEX) by using tools developed by statistical physics. Limited by the specification of the Taiwan Stock market Index settlement, we study the database from year 2011 to 2012. First, we analyze the persistence behavior of correlation between TAIEX and TAIFEX. Our results show that the trend is more persistent for positive correlation than negative correlation. In the second part, we analyze the correlation of persistence durations corresponding to
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38

Cheah, E.-T., and John Fry. "Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin." 2015. http://hdl.handle.net/10454/18101.

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Yes<br>Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles. Further, we find empirical evidence that the fundamental price of Bitcoin is zero.
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Avakian, Adam J. "Dynamic modeling of systemic risk in financial networks." Thesis, 2017. https://hdl.handle.net/2144/24072.

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Modern financial networks are complicated structures that can contain multiple types of nodes and connections between those nodes. Banks, governments and even individual people weave into an intricate network of debt, risk correlations and many other forms of interconnectedness. We explore multiple types of financial network models with a focus on understanding the dynamics and causes of cascading failures in such systems. In particular, we apply real-world data from multiple sources to these models to better understand real-world financial networks. We use the results of the Federal Reserve
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Pištěk, Miroslav. "Statistická fyzika frustrovaných evolučních her." Master's thesis, 2010. http://www.nusl.cz/ntk/nusl-282503.

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1 Title: Statistical Physics of Frustrated Evolutionary Games Author: Miroslav Pištěk Department: Institute of Theoretical Physics Supervisor: RNDr. František Slanina, CSc. Supervisor's e-mail address: slanina@fzu.cz Abstract: In last two decades, the effort devoted to interdisciplinary research of bounded sources allocation is growing, examining complex phenomena as stock markets or traffic jams. The Minority Game is a multiple-agent model of inevitable frus- tration arising in such situations. It is analytically tractable using the replica method originated in statistical physics of spin gla
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王冠霖. "Price Dynamics in Econophysics : Correlation Analysis of TE and TF in Taiwan Futures Exchange." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/cr7ag8.

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碩士<br>國立高雄師範大學<br>物理學系<br>103<br>In this thesis, we employ methods of auto-correlation, cross correlation, price phase analysis, and Hurst exponent to analyze the price return for the TE and TF futures in Taiwan Stock Index Futures. First, we found that the auto-correlation function of both TE and TF futures exhibit a decreasing tendency with increasing delay time. Furthermore, we found that the more TE and TF is with the same direction, the higher is coefficient of the cross correlation in the TE and TF futures. Finally, we apply the Hurst exponent to analyze the walking space of TE and TF
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42

"Rigorous Proofs of Old Conjectures and New Results for Stochastic Spatial Models in Econophysics." Doctoral diss., 2019. http://hdl.handle.net/2286/R.I.53531.

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abstract: This dissertation examines six different models in the field of econophysics using interacting particle systems as the basis of exploration. In each model examined, the underlying structure is a graph G = (V , E ), where each x ∈ V represents an individual who is characterized by the number of coins in her possession at time t. At each time step t, an edge (x, y) ∈ E is chosen at random, resulting in an exchange of coins between individuals x and y according to the rules of the model. Random variables ξt, and ξt(x) keep track of the current configuration and number of coins individua
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Lubbers, Nicholas. "A statistical mechanical model of economics." Thesis, 2016. https://hdl.handle.net/2144/19754.

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Statistical mechanics pursues low-dimensional descriptions of systems with a very large number of degrees of freedom. I explore this theme in two contexts. The main body of this dissertation explores and extends the Yard Sale Model (YSM) of economic transactions using a combination of simulations and theory. The YSM is a simple interacting model for wealth distributions which has the potential to explain the empirical observation of Pareto distributions of wealth. I develop the link between wealth condensation and the breakdown of ergodicity due to nonlinear diffusion effects which are analog
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Huang, Xuqing. "Network theory and its applications in economic systems." Thesis, 2013. https://hdl.handle.net/2144/13147.

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This dissertation covers the two major parts of my Ph.D. research: i) developing theoretical framework of complex networks; and ii) applying complex networks models to quantitatively analyze economics systems. In part I, we focus on developing theories of interdependent networks, which includes two chapters: 1) We develop a mathematical framework to study the percolation of interdependent networks under targeted-attack and find that when the highly connected nodes are protected and have lower probability to fail, in contrast to single scale-free (SF) networks where the percolation threshol
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Fry, John. "Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets?" 2018. http://hdl.handle.net/10454/17568.

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Yes<br>We develop bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices. Empirically, we present robustified evidence of bubbles in Bitcoin and Ethereum. Theoretically, we show that liquidity risks may generate heavy-tails in Bitcoin and cryptocurrency markets. Even in the absence of bubbles dramatic booms and busts can occur. We thus sound a timely note of caution.<br>The full-text of this article will be released for public view at the end of the publisher embargo on 10 Feb 2020.
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Koh, Jason S. H., University of Western Sydney, College of Business, and School of Economics and Finance. "Comparison of the new "econophysics" approach to dealing with problems of financial to traditional econometric methods." 2008. http://handle.uws.edu.au:8081/1959.7/38828.

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We begin with the outlining the motivation of this research as there are still so many unanswered research questions on our complex financial and economic systems. The philosophical background and the advances of econometrics and econophysics are discussed to provide an overview of the stochastic and nonstochastic modelling and these disciplines are set as a central theme for the thesis. This thesis investigates the effectiveness of financial econometrics models such as Gaussian, ARCH (1), GARCH (1, 1) and its extensions as compared to econophysics models such as Power Law model, Boltzmann-Gib
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Becker, Alexander Paul. "Maximum entropy and network approaches to systemic risk and foreign exchange." Thesis, 2018. https://hdl.handle.net/2144/33267.

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The global financial system is an intricate network of networks, and recent financial crises have laid bare our insufficient understanding of its complexity. In response, within the five chapters of this thesis we study how interconnectedness, interdependency and mutual influence impact financial markets and systemic risk. In the first part, we investigate the community formation of global equity and currency markets. We find remarkable changes to correlation structure and lead-lag relationships in times of economic turmoil, implying significant risks to diversification based on historical
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Fry, John, and M. Burke. "An options-pricing approach to election prediction." 2020. http://hdl.handle.net/10454/17754.

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Yes<br>The link between finance and politics (especially opinion polling) is interesting in both theoretical and empirical terms. Inter alia the election date corresponds to the effective price of an underlying at a known future date. This renders a derivative pricing approach appropriate and, ultimately, to a simplification of the approach suggested by Taleb (2018). Thus, we use an options-pricing approach to predict vote share. Rather than systematic bias in polls forecasting errors appear chiefly due to the mode of extracting election outcomes from the share of the vote. In the 2016 US elec
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Diassinas, Christopher Luke. "Application of Expectation Maximisation Algorithm on Mixed Distributions." Thesis, 2019. http://hdl.handle.net/2440/119934.

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Mixed distributions are a statistical tool used for modelling a range of phenomena in fields as diverse as marketing, genetics, medicine, artificial intelligence, and finance. A mixture model is capable of describing a quite complex distribution of data, often in situations where a single parametric distribution is unable to provide a satisfactory result. The Expectation Maximisation (EM) algorithm is an iterative maximum likelihood method typically used to estimate parameters in incomplete data problems, such as mixtures. This thesis presents a thorough analysis of mixture modelling and estim
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Sedlaříková, Jana. "Jsou finanční výnosy a volatilita skutečně multifraktální?" Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-347552.

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Over the last decades, multifractality has become a downright stylized fact in financial markets. However, its presence has not been adequately statistically proved. The main aim of this thesis is to contribute to the discussion by an ex- tensive statistical analysis of the problem. We investigate returns and volatility of the collection of the four stock indices employing the three popular methods: the GHE, the MF-DFA, and the MF-DMA method. By comparing the results of the original series to those for simulated monofractal series, we conclude that stock market returns as well as volatility ex
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