| 1. |
- Aurell, Erik, et al.
(författare)
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Growth optimal investment and pricing of derivatives
- 2000
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Ingår i: Physica A. - 0378-4371 .- 1873-2119. ; 280:04-mar, s. 505-521
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Tidskriftsartikel (refereegranskat)abstract
- We introduce a criterion how to price derivatives in incomplete markets, based on the theory of growth optimal strategy in repeated multiplicative games. We present reasons why these growth-optimal strategies should be particularly relevant to the problem of pricing derivatives. tinder the assumptions of no trading costs, and no restrictions on lending, we find an appropriate equivalent martingale measure that prices the underlying and the derivative security. We compare our result with other alternative pricing procedures in the literature, and discuss the limits of validity of the lognormal approximation. We also generalize the pricing method to a market with correlated stocks. The expected estimation error of the optimal investment fraction is derived in a closed form, and its validity is checked with a small-scale empirical test.
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| 2. |
- Da, Silva A.F., et al.
(författare)
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Asymmetric nonlinear amplitude in patterns of porous silicon
- 2000
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Ingår i: Physica A. - 0378-4371 .- 1873-2119. ; 283:1, s. 223-227
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Tidskriftsartikel (refereegranskat)abstract
- A gradient pattern analysis is used to report a phenomenogical evidence of asymmetric nonlinear spatial distribution of porous silicon structures. We used a canonical sample set obtained from scanning force microscopy. Due to the high sensitivity of the gradient field operator, it is possible to correlate the photoluminescence performance of porous silicon with different degree of asymmetries and spatial nonlinearity. A generalization of this new approach to quantify nonlinear amplitude fragmentation in complex lattices is proposed.
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| 3. |
- Al Mamun, Md, et al.
(författare)
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Geopolitical risk, uncertainty and Bitcoin investment
- 2020
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Ingår i: Physica A. - : ELSEVIER. - 0378-4371 .- 1873-2119. ; 540
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Tidskriftsartikel (refereegranskat)abstract
- We investigate the impact of geopolitical risk, global and US economic policy uncertainty on the structure of Bitcoin correlation with various financial and commodities asset classes. We further investigate the impact of the aforementioned factors on the volatility and risk premium of Bitcoin investment. We find that both geopolitical risk and global economic policy uncertainty command a risk premium, particularly in distress market conditions. Moreover, during the period of high policy uncertainty and worsening economic conditions, Bitcoin investors can only hedge their portfolio with gold, not with other financial assets. Our results highlight that the effect of geopolitical risk, global and US economic policy uncertainty is far more significant during unfavorable economic conditions. (C) 2019 Published by Elsevier B.V.
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| 4. |
- Antoniouk, Alexandra, V, et al.
(författare)
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A stochastic p-adic model of the capillary flow in porous random medium
- 2018
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Ingår i: Physica A. - : Elsevier. - 0378-4371 .- 1873-2119. ; 505, s. 763-777
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Tidskriftsartikel (refereegranskat)abstract
- We develop the p-adic model of propagation of fluids (e.g., oil or water) in capillary networks in a porous random medium. The hierarchic structure of a system of capillaries is mathematically modeled by endowing trees of capillaries with the structure of an ultra metric space. Considerations are restricted to the case of idealized networks represented by homogeneous p-trees with p branches leaving each vertex, where p > 1 is a prime number. Such trees are realized as the fields of p-adic numbers. We introduce and study an inhomogeneous Markov process describing the penetration of fluid into a porous random medium. (C) 2018 Elsevier B.V. All rights reserved.
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| 5. |
- Asano, Masanari, et al.
(författare)
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Quantum-like dynamics of decision-making
- 2012
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Ingår i: Physica A. - : Elsevier BV. - 0378-4371 .- 1873-2119. ; 391:5, s. 2083-2099
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Tidskriftsartikel (refereegranskat)abstract
- In cognitive psychology, some experiments for games were reported, and they demonstrated that real players did not use the "rational strategy" provided by classical game theory and based on the notion of the Nasch equilibrium. This psychological phenomenon was called the disjunction effect. Recently, we proposed a model of decision making which can explain this effect ("irrationality" of players) Asano et al. (2010, 2011) [23,24]. Our model is based on the mathematical formalism of quantum mechanics, because psychological fluctuations inducing the irrationality are formally represented as quantum fluctuations Asano et al. (2011)[55]. In this paper, we reconsider the process of quantum-like decision-making more closely and redefine it as a well-defined quantum dynamics by using the concept of lifting channel, which is an important concept in quantum information theory. We also present numerical simulation for this quantum-like mental dynamics. It is non-Markovian by its nature. Stabilization to the steady state solution (determining subjective probabilities for decision making) is based on the collective effect of mental fluctuations collected in the working memory of a decision maker. (C) 2011 Elsevier B.V. All rights reserved.
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| 6. |
- Baek, Seung Ki, 1979-, et al.
(författare)
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Bounds of percolation thresholds in the enhanced binary tree
- 2011
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Ingår i: Physica A. - : Elsevier. - 0378-4371 .- 1873-2119. ; 390:8, s. 1447-1452
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Tidskriftsartikel (refereegranskat)abstract
- It is argued that the lower critical percolation threshold of the enhanced binary tree is bounded as $p_{c1} < 0.355~059$ by studying its subgraphs while the upper threshold is bounded both from above and below by $1/2$ according to renormalization-group arguments. We also review a correlation analysis in an earlier work, which claimed a significantly higher estimate of $p_{c2}$ than $1/2$, to show that this analysis in fact gives a consistent result with this bound. It confirms that the duality relation between critical thresholds does not hold exactly for the EBT and its dual, possibly due to the lack of transitivity.
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| 7. |
- Banerjee, Santo, et al.
(författare)
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Spatiotemporal evolution in a (2+1)-dimensional chemotaxis model
- 2012
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Ingår i: Physica A. - Amsterdam : Elsevier. - 0378-4371 .- 1873-2119. ; 391:1-2, s. 107-112
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Tidskriftsartikel (refereegranskat)abstract
- Simulations are performed to investigate the nonlinear dynamics of a (2 + 1)-dimensional chemotaxis model of Keller-Segel (KS) type, with a logistic growth term. Because of its ability to display auto-aggregation, the KS model has been widely used to simulate self-organization in many biological systems. We show that the corresponding dynamics may lead to steady-states, to divergencies in a finite time as well as to the formation of spatiotemporal irregular patterns. The latter, in particular, appears to be chaotic in part of the range of bounded solutions, as demonstrated by the analysis of wavelet power spectra. Steady-states are achieved with sufficiently large values of the chemotactic coefficient (chi) and/or with growth rates r below a critical value r(c). For r > r(c), the solutions of the differential equations of the model diverge in a finite time. We also report on the pattern formation regime, for different values of chi, r and of the diffusion coefficient D. (C) 2011 Elsevier B.V. All rights reserved.
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| 8. |
- Basiev, T. T., et al.
(författare)
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Cooperative luminescence quenching on many-particle acceptors in disordered media
- 2012
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Ingår i: Physica A. - : Elsevier BV. - 0378-4371 .- 1873-2119. ; 391:12, s. 3526-3532
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Tidskriftsartikel (refereegranskat)abstract
- Many-body cooperative energy transfer is an important process in biology, medicine, photosynthesis, rare-earth-doped laser materials, responsible for up- and down-conversion of energy, optical excitation sensitization and relaxation. We present an analytical solution for long-time asymptotic of static luminescence quenching kinetics due to cooperative energy transfer to ensembles of acceptors comprised of two-, three-, and more particles. For cooperative energy transfer and cooperative luminescence quenching to n-body acceptors we have discovered a new law of power d/(nS - (n - 1)d) time dependence (d = 1, 2, 3 is the space dimension, S = 6, 8, 10 is the multipolarty of interaction: dipole-dipole, dipole-quadrupole, or quadrupole-quadrupole). The detailed numerical simulation of cooperative quenching by Monte-Carlo method confirms the theoretical result. (C) 2012 Elsevier B.V. All rights reserved.
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| 9. |
- Bask, Miia, 1977-, et al.
(författare)
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Social influence and the Matthew mechanism : The case of an artificial cultural market
- 2014
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Ingår i: Physica A. - : Elsevier. - 0378-4371 .- 1873-2119. ; 412, s. 113-119
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Tidskriftsartikel (refereegranskat)abstract
- We show that the Matthew effect, or Matthew mechanism, was present in the artificial cultural market Music Lab in one-fourth of the "worlds" when social influence between individuals was allowed, whereas this effect was not present in the "world" that disallowed social influence between individuals. We also sketch on a class of social network models, derived from social influence theory, that may generate the Matthew effect. Thus, we propose a theoretical framework that may explain why the most popular songs could be much more popular, and the least popular songs could be much less popular, than when disallowing social influence between individuals.
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| 10. |
- Bech, Morten L, et al.
(författare)
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Mapping change in the overnight money market
- 2015
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Ingår i: Physica A. - : Elsevier. - 0378-4371 .- 1873-2119. ; 424, s. 44-51
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Tidskriftsartikel (refereegranskat)abstract
- We use an information-theoretic approach to describe changes in lending relationships between financial institutions around the time of the Lehman Brothers failure. Unlike previous work that conducts maximum likelihood estimation on undirected networks our analysis distinguishes between borrowers and lenders and looks for broader lending relationships (multi-bank lending cycles) that extend beyond the immediate counter-parties. We detect significant changes in lending patterns following implementation of the Interest on Required and Excess Reserves policy by the Federal Reserve in October 2008. Analysis of micro-scale rates of change in the data suggests these changes were triggered by the collapse of Lehman Brothers a few weeks before.
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