Financial Market Fluctuations in Econophysics: FTSE, DJIA & BIST-100

CEM, CAGRI DONMEZ and TOLGA, ULUSOY (2015) Financial Market Fluctuations in Econophysics: FTSE, DJIA & BIST-100. In: Third International Conference on Advances in Computing, Communication and Information Technology- CCIT 2015, 26 - 27 May,2015, Birmingham B42 2SU, UNITED KINGDOM.

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Abstract

This article aims at reviewing recent empirical and theoretical structures of entropy, temperature and energy of stock markets in the manner of statistical physics are obtained. What are the main characteristics of Econophysics? In what follows, we will try to summarise some basic principles. Each of them will be illustrated by one or several researches performed by econophysicists. On the basis of some hypothesis of quantum mechanics, this paper considers stock markets as quantum systems and investors as particles. A quantum model of stock price fluctuations is defined in a theoretical framework. Essentially, the models are based upon models of statistical physics and quantum mechanics in which energy is conserved in exchange processes. The relative entropy is used as a measure of stability and maturity of financial markets from financial information about some considered emerging markets (Turkey) and some considered mature markets (England, United States). The model analytically calculates and simulate the system in FTSE-100, DJIA and BIST-100 indexes basic predictive model in Econophysics is discussed.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: Finance, Physics, Econophysics, Entropy, Temperature and energy of stock market
Depositing User: Mr. John Steve
Date Deposited: 30 Apr 2019 11:30
Last Modified: 30 Apr 2019 11:30
URI: http://publications.theired.org/id/eprint/1714

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