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Macrostate Parameter, an Econophysics Approach for the Risk Analysis of the Stock Exchange Market Transactions

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  • Anca Gheorghiu
  • Ion Spanulescu

Abstract

In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financial information are made. Finally, on this basis, a new index for the financial risk estimation of the stock-exchange market transactions, named macrostate parameter, was introduced and discussed. Keywords: econophysics, stock-exchange markets, financial risk, informational fascicle, entropy, macrostate parameter.

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File URL: http://arxiv.org/pdf/0907.5600
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Paper provided by arXiv.org in its series Papers with number 0907.5600.

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Date of creation: Jul 2009
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Handle: RePEc:arx:papers:0907.5600

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  1. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
  2. Adrian A. Dragulescu & Victor M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Papers cond-mat/0203046, arXiv.org, revised Nov 2002.
  3. A. Dragulescu & V. M. Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Computing in Economics and Finance 2002 127, Society for Computational Economics.
  4. Khrennikov, Andrei, 2005. "Financial heat machine," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 487-490.
  5. Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1999. "The statistical properties of the volatility of price fluctuations," Papers cond-mat/9903369, arXiv.org, revised Mar 1999.
  6. Adrian Dragulescu & Victor Yakovenko, 2002. "Probability distribution of returns in the Heston model with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 443-453.
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