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Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009

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  • Anca Gheorghiu
  • Ion Sp^anulescu

Abstract

In this paper are made some considerations of the application of phenomenological thermodynamics in risk analysis for the transaction on financial markets, using the concept of economic entropy and the macrostate parameter introduced by us in a previous works [15,16]. The investment risk diagrams for a number of Romanian listed companies in 2008 and 2009 years were calculed. Also, the evolution of the macrostate parameter during financial and economic crisis in Romania are studied.

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  • Anca Gheorghiu & Ion Sp^anulescu, 2011. "Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009," Papers 1101.4674, arXiv.org.
    • Handle: RePEc:arx:papers:1101.4674
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    References listed on IDEAS

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    1. Mantegna, Rosario N & Palágyi, Zoltán & Stanley, H.Eugene, 1999. "Applications of statistical mechanics to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 274(1), pages 216-221.
    2. 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.
    3. Khrennikov, Andrei, 2005. "Financial heat machine," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 487-490.
    4. Ion Spanulescu & Anca Gheorghiu, 2007. "Economic Amplifier - A New Econophysics Model," Papers 0707.3703, arXiv.org.
    5. Levy, Haim & Levy, Moshe & Solomon, Sorin, 2000. "Microscopic Simulation of Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780124458901.
    6. Adrian Dragulescu & Victor M. Yakovenko, 2000. "Statistical mechanics of money," Papers cond-mat/0001432, arXiv.org, revised Aug 2000.
    7. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
    8. Suzuki, Tomoya & Ikeguchi, Tohru & Suzuki, Masuo, 2004. "A model of complex behavior of interbank exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 196-218.
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