Patterson G A, Sornette D, Parisi D R
Instituto Tecnológico de Buenos Aires, CONICET, Lavardén 315, 1437 Ciudad Autónoma de Buenos Aires, Argentina.
Department of Management, Technology and Economics, ETH Zürich, 8092 Zürich, Switzerland; Institute of Risk Analysis, Prediction and Management, Academy for Advanced Interdisciplinary Studies, Southern University of Science and Technology, Shenzhen 518055, China; Tokyo Tech World Research Hub Initiative, Institute of Innovative Research, Tokyo Institute of Technology, Tokyo 152-8550, Japan; and Swiss Finance Institute, University of Geneva, 1211 Geneva, Switzerland.
Phys Rev E. 2020 Apr;101(4-1):042302. doi: 10.1103/PhysRevE.101.042302.
We study experimentally the properties of the flow of mechanical vibration-driven vehicles confined in two chambers connected through a narrow opening. We report that the density of particles around the opening presents critical behavior and scaling properties. By mapping this density to the financial market price, we document that the main stylized facts observed in financial systems have their counterparts in the mechanical system. The experimental model accurately reproduces financial properties such as scaling of the price fluctuation, volatility clustering, and multiscaling.
我们通过实验研究了机械振动驱动的车辆在通过狭窄开口相连的两个腔室内流动的特性。我们报告称，开口周围颗粒的密度呈现出临界行为和标度性质。通过将这种密度映射到金融市场价格，我们证明了在金融系统中观察到的主要典型事实在机械系统中有其对应物。该实验模型准确地再现了诸如价格波动的标度、波动聚集和多重标度等金融特性。
