Failure of Gold, Bitcoin and Ethereum as safe havens during the Ukraine-Russia war

This paper studies the impact of fear, uncertainty and market volatility caused by the Ukraine-Russia war on crypto-assets returns (Bitcoin and Ethereum) and Gold returns. We use the searches on Wikipedia trends as proxies of uncertainty and fear and two volatility indices: S&P500 VIX and the Russian VIX (RVIX). The results show that Bitcoin, Ethereum and Gold failed as safe havens during this war

Information transfer between stock market sectors: A comparison between the USA and China

Information diffusion within financial markets plays a crucial role in the process of price formation and the propagation of sentiment and risk. We perform a comparative analysis of information transfer between industry sectors of the Chinese and the USA stock markets, using daily sector indices for the period from 2000 to 2017. The information flow from one sector to another is measured by the transfer entropy of the daily returns of the two sector indices. We find that the most active sector in information exchange (i.e., the largest total information inflow and outflow) is the {\textit{non-bank financial}} sector in the Chinese market and the {\textit{technology}} sector in the USA market. This is consistent with the role of the non-bank sector in corporate financing in China and the impact of technological innovation in the USA. In each market, the most active sector is also the largest information sink that has the largest information inflow (i.e., inflow minus outflow). In contrast, we identify that the main information source is the {\textit{bank}} sector in the Chinese market and the {\textit{energy}} sector in the USA market. In the case of China, this is due to the importance of net bank lending as a signal of corporate activity and the role of energy pricing in affecting corporate profitability. There are sectors such as the {\textit{real estate}} sector that could be an information sink in one market but an information source in the other, showing the complex behavior of different markets. Overall, these findings show that stock markets are more synchronized, or ordered, during periods of turmoil than during periods of stability.Comment: 12 pages including 8 figure

The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns

We investigate the dynamic cross-correlations between mass media news, new media news, and stock returns for the SSE 50 Index in Chinese stock market by employing the MF-DCCA method. The empirical results show that (1) there exist power-law cross-correlations between two types of news as well as between news and its corresponding SSE 50 Index return; (2) the cross-correlations between mass media news and SSE 50 Index returns show larger multifractality and more complicated structures; (3) mass media news and new media news have both complementary and competitive relationships; (4) with the rolling window analysis, we further find that there is a general increasing trend for the cross-correlations between the two types of news as well as the cross-correlations between news and returns and this trend becomes more persistent over time

Провісники нафтових потрясінь. Еконофізичний підхід в екологічній науці

The instability of the price dynamics of the energy market from a theoretical point of view indicates the inadequacy of the dominant paradigm of the quantitative description of pricing processes, and from a practical point of view, it leads to abnormal shocks and crashes. A striking example is the COVID-stimulated spring drop of spot prices for crude oil by 305% to $36.73 a barrel. The theory of complex systems with the latest complex networking achievements using pragmatically verified econophysical approaches and models can become the basis of modern environmental science. In this case, it is possible to introduce certain measures of complexity, the change in the dynamics of which makes it possible to identify and prevent characteristic types of critical phenomena. In this paper, the possibility of using some econophysical approaches for quantitative assessment of complexity measures: (1) informational (Lempel-Ziv measure, various types of entropies (Shannon, Approximate, Permutation, Recurrence), (2) fractal and multifractal (Multifractal Detrended Fluctuation Analysis), (3) recurrent (Recurrence Plot and Recurrence Quantification Analysis), (4) Lévy’s stable distribution properties, (5) network (Visual Graph and Recurrence based) and (6) quantum (Heisenberg uncertainty principle) is investigated. Each of them detects patterns that are general for crisis states. We conclude that these measures make it possible to establish that the socially responsive exhibits characteristic patterns of complexity and the proposed measures of complexity allow us to build indicators-precursors of critical and crisis phenomena. Proposed quantitative measures of complexity classified and adapted for the crude oil market. Their behavior in the face of known market shocks and crashes has been analyzed. It has been shown that most of these measures behave characteristically in the periods preceding the critical event. Therefore, it is possible to build indicators-precursors of crisis phenomena in the crude oil market.Нестабільність динаміки цін на енергетичному ринку з теоретичної точки зору свідчить про неадекватність домінуючої парадигми кількісного опису процесів ціноутворення, а з практичної точки зору це призводить до аномальних потрясінь і крахів. Яскравий приклад-весняне падіння спотових цін на нафту на 305% до 36,73 доларів за барель, викликане COVID-19. Теорія складних систем з найновішими досягненнями в комплексних мережах з використанням прагматично перевірених еконофізичних підходів та моделей може стати основою сучасної екологічної науки. У цьому випадку можна запровадити певні показники складності, зміна динаміки яких дає змогу виявити та запобігти характерним типам критичних явищ. У цій роботі розглядається можливість використання деяких еконофізичних підходів для кількісної оцінки заходів складності: (1) інформаційний (міра Лемпеля-Зіва, різні типи ентропій (Шеннон, наближена, перестановка, повторюваність), (2) фрактальна та мультифрактальна (багатофрактальна) Detrended Fluctuation Analysis), (3) рекуррентні (Recurrence Plot and Recurrence Quantification Analysis), (4) Stability Distribution Properties Lévy, (5) network (Visual Graph and Recurrence based) та (6) квант (принцип невизначеності Гейзенберга). Кожен із них виявляє загальні для кризових станів закономірності. Ми прийшли до висновку, що ці заходи дозволяють встановити, що соціально чутливі прояви характерних моделей складності, а запропоновані показники складності дозволяють будувати показники-попередники критичних та кризових явищ. Запропоновані кількісні показники складності, класифіковані та адаптовані для ринку сирої нафти, їх поведінка в умовах відомих ринків були проаналізовані скачки та аварії. Було показано, що більшість цих заходів поводяться характерно в періоди, що передують критичній події. Тому на ринку сирої нафти можна будувати індикатори-попередники кризових явищ

Complexity in Economic and Social Systems

There is no term that better describes the essential features of human society than complexity. On various levels, from the decision-making processes of individuals, through to the interactions between individuals leading to the spontaneous formation of groups and social hierarchies, up to the collective, herding processes that reshape whole societies, all these features share the property of irreducibility, i.e., they require a holistic, multi-level approach formed by researchers from different disciplines. This Special Issue aims to collect research studies that, by exploiting the latest advances in physics, economics, complex networks, and data science, make a step towards understanding these economic and social systems. The majority of submissions are devoted to financial market analysis and modeling, including the stock and cryptocurrency markets in the COVID-19 pandemic, systemic risk quantification and control, wealth condensation, the innovation-related performance of companies, and more. Looking more at societies, there are papers that deal with regional development, land speculation, and the-fake news-fighting strategies, the issues which are of central interest in contemporary society. On top of this, one of the contributions proposes a new, improved complexity measure