英文标题：
《A statistical physics perspective on criticality in financial markets》
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作者：
Thomas Bury
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最新提交年份：
2014
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英文摘要：
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems but few statistically founded evidence have been given. Through a data-based methodology and comparison to simulations inspired by statistical physics of complex systems, we show that the Dow Jones and indices sets are not rigorously critical. However, financial systems are closer to the criticality in the crash neighborhood.
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中文摘要：
股票市场是一个复杂的系统，表现出集体现象和特殊的特征，如同步性、以幂律分布的波动、非随机结构和与神经网络的相似性。这种特殊的特性表明，市场的运行处于一个非常特殊的阶段。通过类比物理系统，金融市场被认为是至关重要的，但很少有统计证据被给出。通过基于数据的方法，并与受复杂系统统计物理启发的模拟进行比较，我们表明，道琼斯指数和指数集并不是严格关键的。然而，金融系统更接近崩溃社区的临界状态。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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