Tobias Preis
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Econophysics

Wild fluctuations in the stock prices and currency exchange rates of every country around the globe in the last few years have thrust econophysics into the limelight. But does a field that involves the application of statistical physics to economics have anything important to contribute to the discussions about the current economic crisis? Yes, absolutely, because finding laws describing fluctuations is the essence of statistical physics.
 

Research Highlights in Econophysics

  • Complex dynamics of our economic life on different scales: insights from search engine query data

    Tobias Preis, Daniel Reith, and H. Eugene Stanley
    Philosophical Transactions of the Royal Society A 368, 5707-5719 (2010) — We study weekly search volume data for various search terms from 2004 to 2010 that are offered by the search engine Google for scientific use. We ask the question whether there is a link between search volume data and financial market fluctuations on a weekly time scale. We find clear evidence that weekly transaction volumes of S&P 500 companies are correlated with weekly search volume of corresponding company names.

    Econophysics

  • Switching Phenomena in a System with No Switches

    Tobias Preis and H. Eugene Stanley
    Journal of Statistical Physics 138, 431-446 (2010) — Analysis of trend switching processes in financial markets. Such switching occurs on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for a few seconds. We find striking scale-free behavior of the volume and inter-trade times after each switching occurs.

    Econophysics

  • Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets

    Tobias Preis, Peter Virnau, Wolfgang Paul, and Johannes J. Schneider
    New Journal of Physics 11, 093024 (2009) — The compute unified device architecture is a programming approach for managing computations on a graphics processing unit (GPU). We apply this technology to methods of fluctuation analysis, which includes determination of the scaling behavior of a stochastic process, the equilibrium autocorrelation function, and the pattern formation conformity. Results are obtained up to 84 times faster than on a central processing unit core.

    Econophysics

  • Fluctuation patterns in high-frequency financial asset returns

    Tobias Preis, Wolfgang Paul, and Johannes J. Schneider
    Europhysics Letters 82, 68005 (2008) — We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales.

    Econophysics

  • Statistical analysis of financial returns for a multiagent order book model of asset trading

    Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider
    Physical Review E 76, 016108 (2007) — We analyze the Order Bool Model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our Order Book Model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails.

    Econophysics

  • Multi-agent-based Order Book Model of financial markets

    Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider
    Europhysics Letters 75, 510-516 (2006) — We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to "fat-tailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our Order Book Model.

    Econophysics

    Selected Publications in Econophysics and Interdisciplinary Physics in 2011

    [1999] [2000] [2001] [2002] [2003] [2004] [2005] [2006] [2007] [2008] [2009] [2010] [2011]

    Tseng J.-J. & Li S.-P., Asset returns and volatility clustering in financial time series, Physica A 390, 1300-1314 (2011)

    Lan B.L. & Chandran P., Distribution of animal population fluctuations, Physica A 390, 1289-1294 (2011)

    Takahashi T., Psychophysics of the probability weighting function, Physica A 390, 902-905 (2011)

    Qiu T., Chen G., Zhong L.-X. & Lei X.-W., Memory effect and multifractality of cross-correlations in financial markets, Physica A 390, 828-836 (2011)

    Zunino L., Tabak B.M., Serinaldi F., Zanin M., Perez D.G. & Rosso O.A., Commodity predictability analysis with a permutation information theory approach, Physica A 390, 876-890 (2011)

    Lee S.Y., Hwang D.I., Kim M.J., Koh I.G. & Kim S.Y., Cross-correlations in volume space: Differences between buy and sell volumes, Physica A 390, 837-846 (2011)

    Kim M.J., Kwak Y.B. & Kim S.Y., Dependence structure of the Korean stock market in high frequency data, Physica A 390, 891-901 (2011)

    Keskin M., Deviren B. & Kocakaplan Y., Topology of the correlation networks among major currencies using hierarchical structure methods, Physica A 390, 719-730 (2011)

    Eliazar I., The Pietra term structures of financial assets, Physica A 390, 699-706 (2011)

    Chami Figueira F., Moura Jr. N.J. & Ribeiro M.B., The Gompertz-Pareto income distribution, Physica A 390, 689-698 (2011)

    Jang W., Lee J. & Chang W., Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree, Physica A 390, 707-718 (2011)

    Yang C.-X., Wu H.-F., Zhang Y.-C., Xia B.-Y. & Itoh M., Phase synchronization detection of financial market crises, Modern Physics Letters B 25, 243-254 (2011)

    Ray R., Econophysics: Finance, economics and physics, Applied Economics Letters 18, 273-277 (2011)

    Bartiromo R., Shared information in the stock market, Quantitative Finance 11, 229-235 (2011)

    Forsyth P.A., A Hamilton-Jacobi-Bellman approach to optimal trade execution, Applied Numerical Mathematics 61, 241-265 (2011)

    Fernandez V., Spatial linkages in international financial markets, Quantitative Finance 11, 237-245 (2011)

    Breunig C. & Jones B.D., Stochastic process methods with an application to budgetary data, Political Analysis 19, 103-117 (2011)

    Mendes R.S., Ribeiro H.V., Freire F.C.M., Tateishi A.A. & Lenzi E.K., Universal patterns in sound amplitudes of songs and music genres, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 83, 017101 (2011)

    Iyetomi H., Nakayama Y., Aoyama H., Fujiwara Y., Ikeda Y. & Souma W., Fluctuation-dissipation theory of input-output interindustrial relations, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 83, 016103 (2011)

    Pellicer-Lostao C. & Lopez-Ruiz R., Transition from exponential to power law income distributions in a chaotic market, International Journal of Modern Physics C 22, 21-33 (2011)

    Domino K., The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange, Physica A 390, 98-109 (2011)

    Benhabib J., Bisin A. & Zhu S., The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents, Econometrica 79, 123-157 (2011)

    Buter R.K., Noyons Ed.C.M. & van Raan A.F.J., Searching for converging research using field to field citations, Scientometrics 86, 325-338 (2011)

    Choi J., Lim G., Kim S.Y. & Kim K., Information of group-correlations in Korean financial market, Computer Physics Communications 182, 219-222 (2011)

    Piccardi C., Calatroni L. & Bertoni F., Clustering financial time series by network community analysis, International Journal of Modern Physics C 22, 35-50 (2011)


  • Contact Addresses:
    — Center for Polymer Studies, Department of Physics, Boston University, 590 Commonwealth Avenue, Boston, MA 02215, USA —
    — ETH Zurich, Chair of Sociology, in particular of Modeling and Simulation, CLU E 5, Clausiusstr. 50, 8092 Zurich, Switzerland —
    — Artemis Capital Asset Management GmbH, Gartenstr. 14, D-65558 Holzheim, Germany —
    Last update on 24 June 2011