Konwersatorium im. Jerzego Pniewskiego

Since more than 20 years, physicists have been investigating economic and financial systems with tools and concepts from statistical and condensed matter physics [1]. Many of these studies have been devoted to studies focusing on financial markets. In this talk I will first briefly discuss some stylized facts discovered or investigated in details by econophysicists and then I will present an overview of some results obtained by my research group. Specifically, I will discuss some approaches used to describe the hierarchical multivariate nature of the dynamics of stock returns of a portfolio traded in a financial market [2]. Furthermore, I will discuss the clusters of individual investors detected by analyzing their empirical records of trading activity in a financial market [3].

[1] Rosario N Mantegna and János Kertész, Focus on Statistical Physics Modeling in Economics and Finance, New J. Phys. 13, 025011 (2011)

[2] Michele Tumminello, Fabrizio Lillo, Rosario N. Mantegna, Correlation, hierarchies, and networks in financial markets, Journal of Economic Behavior & Organization, 75, 40-58 (2010)

[3] Michele Tumminello, Fabrizio Lillo, Jyrki Piilo and Rosario N Mantegna, Identification of clusters of investors from their real trading activity in a financial market, New J. Phys. 14, 013041 (2012)