71 citations · 216 across the 17 of their papers we have counts for
5 papers · 1 filter
Nucleation, condensation and lambda-transition on a real-life stock market
M. Wilinski, B. Szewczak, T. Gubiec +2
We fill a void in merging empirical and phenomenological characterisation of the dynamical phase transitions in complex systems by identifying three of them on real-life financial…
Continuous-Time Random Walk with multi-step memory: An application to market dynamics
Tomasz Gubiec, Ryszard Kutner
A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the proce…
Dynamic structural and topological phase transitions on the Warsaw Stock Exchange: A phenomenological approach
A. Sienkiewicz, T. Gubiec, R. Kutner +1
We study the crash dynamics of the Warsaw Stock Exchange (WSE) by using the Minimal Spanning Tree (MST) networks. We find the transition of the complex network during its evolution…
Reinterpretation of Sieczka-Hołyst financial market model
Mateusz Denys, Tomasz Gubiec, Ryszard Kutner
In this work we essentially reinterpreted the Sieczka-Hołyst (SH) model to make it more suited for description of real markets. For instance, this reinterpretation made it possible…
Structural and topological phase transitions on the German Stock Exchange
M. Wiliński, A. Sienkiewicz, T. Gubiec +2
We find numerical and empirical evidence for dynamical, structural and topological phase transitions on the (German) Frankfurt Stock Exchange (FSE) in the temporal vicinity of the…