Stock markets and criticality in the current economic crisis

Silva, Roberto da; Zembrzuski, Marcelo; Correa, Fabio C.; Lamb, Luís C.

doi:10.1016/j.physa.2010.08.021

Cited by 9 publications

(6 citation statements)

References 23 publications

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“…In recent years, the study of kinetic or nonequilibrium systems [1,2] has grown considerably making them a fruitful subject in some branches of the biological [3,4], financial [5,6], social [7,8] and applied sciences [9,10]. Major efforts and interest have been put on systems which exhibit nonequilibrium phase transitions and critical phenomena such as transport phenomena, traffic jams, and epidemic spreading [11].…”

Section: Introductionmentioning

confidence: 99%

Alternative method to characterize continuous and discontinuous phase transitions in surface reaction models

et al. 2016

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In this paper we revisited the Ziff-Gulari-Barshad model to study its phase transitions and critical exponents through time-dependent Monte Carlo simulations. We use a method proposed recently to locate the nonequilibrium second-order phase transitions and that has been successfully used in systems with defined Hamiltonians and with absorbing states. This method, which is based on optimization of the coefficient of determination of the order parameter, was able to characterize the continuous phase transition of the model, as well as its upper spinodal point, a pseudocritical point located near the discontinuous phase transition. The static critical exponents β, ν_{∥}, and ν_{⊥}, as well as the dynamic critical exponents θ and z for the continuous transition point, were also estimated and are in excellent agreement with results found in literature.

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Section: Introductionmentioning

confidence: 99%

Alternative method to characterize continuous and discontinuous phase transitions in surface reaction models

et al. 2016

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“…Although the stock market has been shown to produce robust power laws for the persistence [8], the economic crisis of 2008 offered a natural laboratory to test its concept. Persistence has been studied in this situation and its exponent was successfully used to characterize a critical phenomenon [22].…”

Section: Persistence Of Prices In the Time Series Of Bitcoinmentioning

confidence: 99%

Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena

Cunha

Silva

2020

Physica A: Statistical Mechanics and its Applications

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Bitcoin is a digital financial asset that is devoid of a central authority. This makes it distinct from traditional financial assets in a number of ways. For instance, the total number of tokens is limited and it has not explicit use value.Nonetheless, little is know whether it obeys the same stylized facts found in traditional financial assets. Here we test bitcoin for a set of these stylized facts and conclude that it behaves statistically as most of other assets. For instance, it exhibits aggregational Gaussianity and fluctuation scaling. Moreover, we show by an analogy with natural occurring quakes that bitcoin obeys both the Omori and Gutenberg-Richter laws. Finally, we show that the global persistence, originally defined for spin systems, presents a power law behavior with exponent similar to that found in stock markets.

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“…Here it is important to mention that such a concept is very versatile and it has been applied to characterize several applications such as tricritical points [48], besides interdisciplinary applications such as: analysis of bankruptcies of players in public goods games [49], Econophysics [50] and many others. So it can also be interesting, for example, to study Lifshitz points in spin models.…”

Section: B Non-equilibrium Critical Dynamicsmentioning

confidence: 99%

“…Econophysics [50] and many others. So it can also be interesting, for example, to study Lifshitz points in spin models.…”

Section: B Non-equilibrium Critical Dynamicsmentioning

confidence: 99%

Time-dependent Monte Carlo simulations of critical and Lifshitz points of the axial-next-nearest-neighbor Ising model

2013

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In this work, we study the critical behavior of second order points and specifically of the Lifshitz point (LP) of a three-dimensional Ising model with axial competing interactions (ANNNI model), using time-dependent Monte Carlo simulations. First of all, we used a recently developed technique that helps us localize the critical temperature corresponding to the best power law for magnetization decay over time: M m 0 =1 ∼ t −β/νz which is expected of simulations starting from initially ordered states. Secondly, we obtain original results for the dynamic critical exponent z, evaluated from the behavior of the ratio F2(t) = M 2 m 0 =0 / M 2 m 0 =1 ∼ t 3/z , along the critical line up to the LP. Finally, we explore all the critical exponents of the LP in detail, including the dynamic critical exponent θ that characterizes the initial slip of magnetization and the global persistence exponent θg associated to the probability P (t) that magnetization keeps its signal up to time t. Our estimates for the dynamic critical exponents at the Lifshitz point are z = 2.34(2) and θg = 0.336(4), values very different from the 3D Ising model (ANNNI model without the next-nearest-neighbor interactions at z-axis, i.e., J2 = 0) z ≈ 2.07 and θg ≈ 0.38. We also present estimates for the static critical exponents β and ν, obtained from extended time-dependent scaling relations. Our results for static exponents are in good agreement with previous works

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Stock markets and criticality in the current economic crisis

Cited by 9 publications

References 23 publications

Alternative method to characterize continuous and discontinuous phase transitions in surface reaction models

Alternative method to characterize continuous and discontinuous phase transitions in surface reaction models

Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena

Time-dependent Monte Carlo simulations of critical and Lifshitz points of the axial-next-nearest-neighbor Ising model

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