18 research outputs found
Volatility clustering and scaling for financial time series due to attractor bubbling
A microscopic model of financial markets is considered, consisting of many
interacting agents (spins) with global coupling and discrete-time thermal bath
dynamics, similar to random Ising systems. The interactions between agents
change randomly in time. In the thermodynamic limit the obtained time series of
price returns show chaotic bursts resulting from the emergence of attractor
bubbling or on-off intermittency, resembling the empirical financial time
series with volatility clustering. For a proper choice of the model parameters
the probability distributions of returns exhibit power-law tails with scaling
exponents close to the empirical ones.Comment: For related publications see http://www.helbing.or
Traffic and Related Self-Driven Many-Particle Systems
Since the subject of traffic dynamics has captured the interest of
physicists, many astonishing effects have been revealed and explained. Some of
the questions now understood are the following: Why are vehicles sometimes
stopped by so-called ``phantom traffic jams'', although they all like to drive
fast? What are the mechanisms behind stop-and-go traffic? Why are there several
different kinds of congestion, and how are they related? Why do most traffic
jams occur considerably before the road capacity is reached? Can a temporary
reduction of the traffic volume cause a lasting traffic jam? Under which
conditions can speed limits speed up traffic? Why do pedestrians moving in
opposite directions normally organize in lanes, while similar systems are
``freezing by heating''? Why do self-organizing systems tend to reach an
optimal state? Why do panicking pedestrians produce dangerous deadlocks? All
these questions have been answered by applying and extending methods from
statistical physics and non-linear dynamics to self-driven many-particle
systems. This review article on traffic introduces (i) empirically data, facts,
and observations, (ii) the main approaches to pedestrian, highway, and city
traffic, (iii) microscopic (particle-based), mesoscopic (gas-kinetic), and
macroscopic (fluid-dynamic) models. Attention is also paid to the formulation
of a micro-macro link, to aspects of universality, and to other unifying
concepts like a general modelling framework for self-driven many-particle
systems, including spin systems. Subjects such as the optimization of traffic
flows and relations to biological or socio-economic systems such as bacterial
colonies, flocks of birds, panics, and stock market dynamics are discussed as
well.Comment: A shortened version of this article will appear in Reviews of Modern
Physics, an extended one as a book. The 63 figures were omitted because of
storage capacity. For related work see http://www.helbing.org
The Instability of Markets
Recent developments in the global liberalization of equity and currency markets, coupled to advances in trading technologies, are making markets increasingly interdependent. This increased fluidity raises questions about the stability of the international financial system. In this paper, we show that as couplings between stable markets grow, the likelihood of instabilities is increased, leading to a loss of general equilibrium as the system becomes increasingly large and diverse.