Model dvofaznog ponašanja u kompleksnim sustavima zasnovan na teoriji Gibbsovih stanja

doctoral thesis

• Title (english): Model of two-phase behaviour in complex systems based on the theory of Gibbs states
• Author: Zvonko Kostanjčar
• Mentor: Vlado Leko (mentor)
• Committee member: Neven Elezović (predsjednik povjerenstva)
• Committee member: Branko Jeren (član povjerenstva)
• Committee member: Vlado Leko (član povjerenstva)
• Committee member: Mladen Vučić (član povjerenstva)
• Committee member: Davor Petrinović (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2010-12-08, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing; Data Processing
• Universal decimal classification (UDC): 004 - Computer science and technology. Computing. Data processing

Abstract

Istraživanje kompleksnih sustava uobičajeno se svodi na razumijevanje nastajanja kompleksnog ponašanja iz jednostavnih elemenata i njihovih jednostavnih pravila ponašanja. Karakteristike kompleksnog ponašanja su uobičajeno nagle promijene u statističkim obilježjima sustava te velike fluktuacije određenih značajki sustava. Spomenute karakteristike uočene su u mnogim sustavima, poput računalnih mreža, elektroenergetskih mreža, te raznim biološkim i financijskim sustavima. Razlozi pojavljivanja zakona potencija i dvofaznog ponašanja predstavljaju jedan od važnih otvorenih problema u području kompleksnih sustava. U disertaciji je na skupu razumnih pretpostavki konstruiran model evolucije kompleksnog sustava te su pomoću konstruiranog modela objašnjeni razlozi nastanka zakona potencija i dvofaznog ponašanja na financijskim tržištima.

Abstract (english)

The ordinary way in understanding the dynamics of complex systems is studying large fluctuations and conditions at which system goes from phase of small fluctuations into phase of large fluctuations. For the financial system, big databases now days exist and it is possible to analyze relevant fluctuations, like stock prices and to characterize their statistical behaviour. Power-law distributions describe large financial fluctuations pretty good. It is interesting that tail indexes of different market sizes don’t differ significantly. On different markets the existence of two-phase behaviour is also recently noticed. One phase is characterised by similar demand and supply, whereas the other phase is characterised by enormous difference between supply and demand. The independence of markets in both cases strongly suggests the existence of underlying theoretic bases. Here we propose simple model, based on a set of rationale assumptions, which explains aforementioned empirical findings.

• Keywords: kompleksni sustavi; financijska tržišta; gibbsova stanja
• Keywords (english): complex systems; financial markets; gibbs states
• Language: croatian
• URN:NBN: urn:nbn:hr:168:275750
• Project: Number: 036-0362214-1987; Title: Modeliranje kompleksnih sustava; Leader: Branko Jeren; Jurisdiction: Croatia; Funder: MZOS; Funding stream: ZP
• Study programme: Title: Computer Science; Study programme type: university; Study level: postgraduate; Academic / professional title: Doktor znanosti (Doktor znanosti)
• Catalog URL: http://lib.fer.hr/cgi-bin/koha/opac-detail.pl?biblionumber=34378
• Type of resource: Text
• Extent: 115 str. ; 30 cm
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2019-06-05 10:50:44