Complex Systems: From Nuclear Physics to Financial Markets

Details Complex Systems: From Nuclear Physics to Financial Markets Complex Systems: From Nuclear Physics to Financial Markets

2009-10-22

arxiv.org/abs/0910.4348v1

Economy

Quantitative Finance

Statistical Finance

6 pages, 10 figures, elsarticle class

Scientific paper

We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate the financial empirical correlation matrix of the DAX and Dow Jones. We will show, that if the time-zone delay is properly accounted for, the two distinct markets largely merge into one. This is reflected by the largest eigenvalue that develops a gap relative to the remaining, chaotic eigenvalues. By extending investigations of the specific character of financial collectivity we also discuss the criticality-analog phenomenon of the financial log-periodicity and show specific examples.

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