On statistical mechanics of russian financial markets
"Математика. Компьютер. Образование". Cб. трудов XI международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2004. Vol. 2. Pp. 718-729.
Multilevel temporary correlations of stock returns of Russian companies – “blue chips” with various stock markets parameters are investigated. The first level is represented by stocks of (other) Russian companies and next levels are represented by various international stock market indices. The dynamics dependence of the first-level correlations on changes of the Russian Trade System (RTS) index is detected. The topological minimal spanning tree (MST) of Russian companies stock return is offered.
Multilevel correlations demonstrate a transition from two-day time authentic correlations between the return of Russian companies and the value of MSCI (Morgan Stanley Capital International) industrial indices to one-day correlations. It occurs while the level of MSCI index increases from industry to industry group and up to the world.
Dynamics of money distribution in bi-currency economics is modeled. If the rates of movement of money between economic subjects differs significantly, the initial asymmetry of money distribution in the model remains. While the distribution of currency with rapid turnover becomes Gaussian that is characteristic of advanced economic systems, the currency with slow turnover remains basically with initial subjects of the model.