Dresden 2011 – wissenschaftliches Programm
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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 16: Networks: From Topology to Dynamics III (with BP, DY)
SOE 16.4: Vortrag
Mittwoch, 16. März 2011, 16:15–16:30, GÖR 226
The emergence of critical behavior in evolving economies — João da Cruz1,2 and •Pedro Lind1,3 — 1Departamento de Física, Faculdade de Ciências da Universidade de Lisboa, 1649-003 Lisboa, Portugal — 2Closer Consultoria Lda, Avenida Engenheiro Duarte Pacheco, Torre 2, 14o-C, 1070-102 Lisboa, Portugal — 3Center for Theoretical and Computational Physics, University of Lisbon, Av. Prof. Gama Pinto 2, 1649-003 Lisbon, Portugal
We address the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude, by introducing a model of financial networks which reproduces critical behavior. The model considers a collection of economical agents which establish trade connections among them according to basic economical principles properly translated into physical properties and interaction. Agents accumulate asset or liability by means of internal energy storage, as a product of energy balance that takes into account the labor performed by the agent and the payment it gets in return. With such model we are able to reproduce the evolution of macroscopic quantities, namely the logarithmic return of the total internal energy taken as a financial index. Furthermore, we correctly retrieve the common exponent value characterizing several indices in financial markets.