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Complexity, Volume 2022, Issue 1, 2022., 2022 Liquidity risk arises from the inability to unwind or hedge trading positions at the prevailing market prices. The risk of liquidity is a wide and complex topic as it depends on several factors and causes. While much has been written on the subject, there exists no clear‐cut mathematical description of the phenomena and typical market risk modeling ...
Mazin A. M. Al Janabi, Sameh S. Askar
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A perspective on complex networks in the stock market
Frontiers in Physics, 2022 A stock market is a complex system consisting of many interacting agents. We consider recent progress with complex networks constructed from cross-correlation of financial time series in the stock market. We review some methods and discuss the challenges
Jihun Park, Chang Hee Cho, Jae Woo Lee
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A Lead‐Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets
Complexity, Volume 2022, Issue 1, 2022., 2022 The integration of the global economy has led to an increasingly strong connection between the futures and spot markets of commodities. First, based on one‐minute high‐frequency prices, this paper applies the thermal optimal path (TOP) method to examine the lead‐lag relationship between Chinese crude oil futures and spot from March 2018 to December ...
Chi Zhang +4 more
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An Outlook on Correlations in Stock Prices [PDF]
, 2006 We present an outlook of the studies on correlations in the price timeseries of stocks, discussing the construction and applications of "asset tree". The topic discussed here should illustrate how the complex economic system (financial market) enrichens ...
A. Chakraborti +8 more
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Complexity, Volume 2022, Issue 1, 2022., 2022 In the past two decades, especially after the financial crisis of 2007–09, the literature for examining the availability of integration between the stock exchanges in developed and developing markets has grown. The importance of this topic stems from the significant implications of the linkage between exchange markets on various decisions taken by ...
Dania Al-Najjar, Faheem Aslam
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The Role of Entropy in the Development of Economics
Entropy, 2020 The aim of this paper is to examine the role of thermodynamics, and in particular, entropy, for the development of economics within the last 150 years. The use of entropy has not only led to a significant increase in economic knowledge, but also to the ...
Aleksander Jakimowicz
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Value Added from the Perspective of Econophysics
Comparative Economic Research, 2021 The production, or value added, approach to GDP involves calculating an industry or sector’s output and subtracting its intermediate consumption (the goods and services used to produce the output) to derive its value added.
Ihor Hurnyak +2 more
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On the Advent of Fractional Calculus in Econophysics via Continuous-Time Random Walk
Mathematics, 2020 In this survey article, at first, the author describes how he was involved in the late 1990s on Econophysics, considered in those times an emerging science.
Francesco Mainardi
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The Impact of COVID-19 on BRICS and MSCI Emerging Markets Efficiency: Evidence from MF-DFA
Fractal and Fractional, 2023 This study examines the response of the BRICS and MSCI emerging stock market indices to the COVID-19 outbreak. For this purpose, this study uses a multifractal detrended fluctuation analysis (MF-DFA) to investigate the market efficiency dynamics of these
Saba Ameer +3 more
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Eigenfunction Expansions of Impulsive Dynamic Sturm-Liouville Problems [PDF]
Sahand Communications in Mathematical AnalysisThis paper studies impulsive dynamic Sturm-Liouville boundary value problems. The existence of a countably infinite set of eigenvalues and eigenfunctions is proved and a uniformly convergent expansion formula in the eigenfunctions is established.
Bilender Allahverdiev +2 more
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