A statistical physics perspective on criticality in financial markets
AbstractStock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems but few statistically founded evidence have been given. Through a data-based methodology and comparison to simulations inspired by statistical physics of complex systems, we show that the Dow Jones and indices sets are not rigorously critical. However, financial systems are closer to the criticality in the crash neighborhood.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1310.2446.
Date of creation: Oct 2013
Date of revision: Jan 2014
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