Kyungsik Kim, S.-M. Yoon*, D.-H. Ha

Dept. of Physics and *School of Economics,

Pukyong Natl Univ.

Conference on Computational Physics 2006 (C34)

Characteristics of Networks in Financial Markets

Complex System

1. Statistical Physics

2. Nonlinear dynamics

3. Complex network

4. Biophysics

5. Traffic Jam

5. Econophysics

6. Brain, Neural network Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Dynamical Mechanisms in Econophysics

In our group 1. CTRW - K.Kim et al Fractals, 2003

2. Herding model - K.Kim et al Physica A, 2004

3. Multifractals - K.Kim et al Physica A, 2004

4. Zipf’s law –K. Kim et al JKPS, 2004

5. FP equation - To be submitted to Physica A

6. Minority and majority game theory - K.Kim et al JPSJ, 2004

7. Two phase in FM (now),…, etc

Much attention of the physics have been drawn to

the research of large and complex socio-economic systems.

Phenomenal analysis (stylized facts)

Numerical simulation (model construction)

Financial

Market

Non-equilibrium Statistical Physics Lab

The purpose of this paper

Non-equilibrium Statistical Physics Lab

1. Introduction

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

2. Numerical caculation

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Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

Non-equilibrium Statistical Physics Lab

3. Summary

Thank you !