Physics Colloquium, September 16, 2003

Complex Systems: From Nuclear Physics to the Financial Markets

Josef Speth

Institute of Nuclear Physics
FZ-Juelich and Helmholtz-Institut ,University of Bonn

Complexity is an interdisciplinary concept which first of all addresses the question of how order emerges out of randomness. The central part of the talk is devoted to the financial markets, especially to the dynamics and correlations of stock and bond indices. The important observation here is that such indices, e.g., DOW, S&P or DAX (Deutscher Aktien Index) like nuclei, have a finite number of constituents, and therefore one may ask similar questions and apply the same methods to these indices as to finite nuclei. This allows one to investigate financial correlations in space (among the companies) and correlations in time (memory effects) such as: dynamics of competition between collectivity and noise in the stock market;towards identifying the world stock market cross-correlations: DAX versus Dow Jones;quantifying the dynamics of financial correlations;decomposing the stock market intra day dynamics;are the contemporary financial fluctuations sooner converging to normal.

3.30 p.m., Smith Laboratory, Room 1005

Refreshments served in Smith 1094 at 3:00 p.m.