Dynamic Structural and Topological Phase Transitions on the Warsaw Stock Exchange: A Phenomenological Approach

• Authors: A. Sienkiewicz , T. Gubiec , R. Kutner , Z. Struzik
• Languages of publication: EN

Abstracts

EN

We study crash dynamics of the Warsaw Stock Exchange by using minimal spanning tree networks. We identify the transition of the complex network during its evolution from a (hierarchical) power law minimal spanning tree network - representing the stable state of Warsaw Stock Exchange before the recent worldwide financial crash, to a superstar-like (or superhub) minimal spanning tree network of the market decorated by a hierarchy of trees - an unstable, intermediate market state. Subsequently, we observe a transition from this complex tree to the topology of the (hierarchical) power law minimal spanning tree network decorated by several star-like trees or hubs - this structure and topology represent the Warsaw Stock Exchange after the worldwide financial crash, and can be considered to be an aftershock. Our results can serve as an empirical foundation for a future theory of dynamic structural and topological phase transitions on financial markets.

Keywords

EN

89.65.Gh; 02.50.Ey; 02.50.Ga; 05.40.Fb; 02.30.Mv

Discipline

• 02.30.Mv: Approximations and expansions
• 02.50.Ey: Stochastic processes
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)
• 05.40.Fb: Random walks and Levy flights
• 02.50.Ga: Markov processes

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2013
• Volume: 123
• Issue: 3
• Pages: 615-620

Dates

published

2013-03

Contributors

author

A. Sienkiewicz

• Institute of Experimental Physics, Faculty of Physics, University of Warsaw Hoża 69, PL-00-681 Warsaw, Poland

author

T. Gubiec

• Institute of Experimental Physics, Faculty of Physics, University of Warsaw Hoża 69, PL-00-681 Warsaw, Poland

author

R. Kutner

• Institute of Experimental Physics, Faculty of Physics, University of Warsaw Hoża 69, PL-00-681 Warsaw, Poland

author

Z. Struzik

• The University of Tokyo, Bunkyo-ku, Tokyo 113-0033, Japan

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Identifiers

DOI

10.12693/APhysPolA.123.615