• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Book chapter
  • A Simple Econophysics Model of the Stock Market as a Nonequilibrium Open System
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
October 19, 2026
'Cultural Studies Seeks to Understand What Lies Beneath the Surface of Everyday Things'
Maxim Zhiganov has been exploring different aspects of sound for many years—first in relation to his native Perm and then on a broader, global scale. In this interview for the HSE Young Scientists project, he talks about sound maps, the special issue of the journal Logos, and why it is important to make the familiar less clear and obvious.
October 14, 2026
At HSE University–St Petersburg, Experts Discuss How AI Changes Tourist Routes and Cultural Heritage
Neural networks are no longer simple travel assistants; now they decide what to include on the route and what to skip. Artificial intelligence changes how people perceive a place and shapes the image of tourist centres. At the II International Scientific and Practical Conference ’Information Technologies in the Preservation and Promotion of Cultural Heritage,’ researchers discussed who controls algorithmic solutions and in what ways, and whether authentic traditions get lost in them.
October 12, 2026
Road Injuries Leading Cause of Death Among Men Aged 10 to 39
Worldwide, road injuries are the leading cause of death among males aged 10–39. An international team of researchers reached this conclusion as part of the Global Burden of Disease Study 2023, analysing data from 204 countries between 1990 and 2023. Their findings have been published in The Lancet Public Health, with HSE University Professor Vasily Vlassov listed among the collaborators.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

A Simple Econophysics Model of the Stock Market as a Nonequilibrium Open System

P. 237–243.
Dmitriev A., Silchev V., Dmitriev V.

Mathematical modeling of a stock market functioning is one of the actual and at the same time complex task of the modern theoretical economics. From our point of view, building such mathematical models “ab initio”, by using analogy between the stock market and a certain physical system (in our work, laser), is the most promising approach. This paper proposes a simple econophysical model of stock market as an open nonequilibrium system in form of Lorenz–Haken equation. In this system, variation of ask price, variation of bid price, and instantaneous difference between numbers of agents in active and passive state are intensity of external information flow is a control parameter. This model explains the impossibility of existence of an equilibrium state of the market and shows the presence of deterministic chaos in a stock market.

Language: English
Full text
DOI
Text on another site
Keywords: deterministic chaosask pricebid pricestock marketLorenz–Haken equation

In book

Lecture Notes in Electrical Engineering
Lecture Notes in Electrical Engineering
Vol. 489: Applied Physics, System Science and Computers II. , Springer, 2019.
Similar publications
Применение методов кластеризации для формирования оптимального инвестиционного портфеля на российском фондовом рынке
Lysenok N., Маркова Ю. Е., Финансовый журнал 2026 Т. 18 № 4 С. 45–63
The article discusses the application of clustering methods to form an optimal investment portfolio that allows the investor to achieve an effective risk-reward ratio. Three popular clustering methods, K-Means, MeanShift, and DBSCAN, are examined. The article focuses on the DBSCAN clustering method and highlights its advantages over other clustering methods in the context of financial data analysis. DBSCAN is ...
Added: August 27, 2026
Применение моделей машинного обучения для многомерного среднесрочного прогнозирования стоимости акций
Sizykh N., Кудрявцева Н. С., Управление большими системами: сборник трудов 2025 № 118 С. 250–285
Numerous studies in the field of forecasting securities prices, particularly stock prices, are aimed at finding more accurate and effective models. However, attention to multivariate forecasting, which allows for more accurate forecasts, remains underappreciated, as its implementation requires a significant increase in computing resources. Therefore, the selection of more simplified yet effective models is relevant. ...
Added: February 3, 2026
A Clustering Model for Stocks that Considers Hidden Dynamics and Price Trajectory
Morychev G., Sizykh D., Sizykh N., IEEE Access 2025 Vol. 13 P. 213194–213210
One of the main tools for analyzing large volumes of financial data is the use of clustering methods and models, which allow the identification of various patterns. This study examines the problem of clustering time series that reflect the behavior of prices, yields, modes, trends, and a number of related stock indicators. The relevance and ...
Added: February 3, 2026
СОВРЕМЕННЫЕ ТЕНДЕНЦИИ И РИСКИ РАЗВИТИЯ МЕЖДУНАРОДНОГО ФИНАНСОВОГО РЫНКА
Kosov M., Вестник экономической безопасности 2023 № 6 С. 213–221
The basis of the international financial market is foreign exchange flows arising from the functioning of the world economy. The main task of financial flows is to exchange the results of the activities of world economies. Therefore, the essence of the international financial market is to support the movement of foreign currency flows between financial ...
Added: October 22, 2025
Российские розничные инвесторы в цифровом пространстве: характеристики группы
Iudin I., Социологические исследования 2025 № 4 С. 140–146
The notion of market devices when applied to digital investment technologies suggests that they not only construct the stock market, but influence individuals’ behaviors as well. Current article aims to outline the types the types of Russian retail investors (lay participants of the stock market) based on the digital technologies and tools they use, as ...
Added: May 12, 2025
Выявление манипуляций на российском фондовом рынке с использованием методов искусственного интеллекта
Khaziev G., Финансы и бизнес 2024 Т. 20 № 4 С. 57–78
This paper examines the the eff ectiveness of artifi cial intelligence models to detect manipulation of Russian stocks based on the authors’ sample of 866 manipulation cases over the period from 2012 to 2024. We build four artifi cial intelligence classifi cation models to fi nd the most eff ective method for manipulation detection: Logistic ...
Added: February 8, 2025
Model for Assessing the Liquidity of a Stock Market Trading Instrument
Sizykh D., Tregub K., Belyakov B. et al., , in: 2024 17th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2024. P. 1–5.
Currently, a large number of studies are being conducted to improve the accuracy of the developed forecasting methods for the stock market. At the same time, multivariate models based on machine learning methods are increasingly used. Since liquidity indicators have a significant impact on asset pricing, taking them into account can improve the accuracy of ...
Added: January 15, 2025
Цена на нефть и российский фондовый индекс: анализ причинной связи
Свиридов О. И., Skorobogatov A., Прикладная эконометрика 2025 Т. 77 С. 5–24
Paper analyzes a causal link between oil price and the Russian stock market. One of the findings is that only price shocks related to economic activity or future oil supply expectations have persistent impacts on the stock market, while the effects of supply-related oil shocks are insignificant. In addition, jumps in oil price volatility have ...
Added: November 21, 2024
Simulation Modeling of Information Transfer Between Stock Exchanges Based on a Multi-Agent Model
Lukianchenko P., Интеллектуальные системы в производстве 2023 Т. 21 № 4 С. 88–94
. ...
Added: March 5, 2024
Социально-демографический портрет и ценностные установки пользователей инвестиционных приложений в России
Iudin I., Экономическая социология 2024 Т. 25 № 2 С. 58–87
The past decade saw a rapid increase in the number of retail investors. The number of people holding brokerage accounts in Russia increased from 1 million in 2012 up to 23 million in 2022. This was mostly due to the lower market entry barriers and the widespread adoption of mobile investment apps. This paper examines ...
Added: January 12, 2024
Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors
Bossman A., Gubareva M., Teplova T., Eurasian Economic Review 2023 Vol. 13 P. 321–372
The purpose of this study is to investigate the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and market sentiment (VIX) on European Union (EU) stocks by sectors of economic activity. The design and methodological approach of our research are rooted in parametric and nonparametric quantile-based techniques. We employ monthly data covering eleven sectors of economic activity ...
Added: January 8, 2024
Index Fund Portfolios Efficiency on the Stock Markets of the Russia, USA, Germany and China for 2012-2022
Sizykh N., Natalia Dendeberova, Sizykh D., , in: 16th International Conference Management of large-scale system development (MLSD).: IEEE, 2023. P. 1–5.
An analysis of the performance indicators of index investment portfolios of the Russian Federation, the USA, Germany and China stock markets for 2012-2022 was carried out. The most effective methods for optimizing index portfolios have been identified. An analysis and comparison of factors influencing the efficiency of index portfolios of various stock markets was carried ...
Added: December 22, 2023
Сентимент инвесторов и аномалии в поведении биржевых характеристик инвестиционных активов
Teplova T., Sokolova T., Fayzulin M. et al., М.: ИНФРА-М, 2022.
Монография научных сотрудников Центра финансовых исследований и анализа данных (ЦФИАнД) факультета экономических наук (ФЭН) НИУ ВШЭ впервые обобщает описанные в академической литературе эмпирические результаты тестирования различных гипотез о поведении инвестиционных активов под влиянием метрик инвестиционного внимания и сентимента, а также демонстрирует авторские приемы анализа текстовых сообщений в различных каналах коммуникаций. Представлен большой статистический материал по участию розничных инвесторов ...
Added: January 16, 2023
Инвестиционный режим иностранных ценных бумаг: правовые аспекты
Lapteva A., Скворцов О. Ю., Российский юридический журнал 2022 № 4 С. 110–120
The paper is devoted to the analysis of the investment regime of foreign securities admitted to the Russian stock market. The analysis is based on the postulate that domestic legislation regulates investment activity sector-by-sector or point-by-point. This also applies to such an area as the admission of Russian investors to purchase securities issued by foreign ...
Added: December 3, 2022
Управление риском активных портфельных стратегий в условиях финансового кризиса: мониторинг аномалий биржевого спроса и предложения
Петров С. С., Kashina O., Ошарина Н. Н., Аудит и финансовый анализ 2016 № 3 С. 210–219
На основе подхода Вальраса к ценообразованию финансовых активов в работе исследуются аномалии спроса и предложения, ранее обнаруженные авторами при изучении фондового кризиса 2008-2009 гг. в России. Онлайн-анализ лимитных заявок показывает, что в преддверии кризиса иногда наблюдается регулярная склонность крупных инвесторов к покупке различных акций на фоне начавшегося нисходящего тренда их цены. Показано, что это явление можно ...
Added: February 1, 2022
Диагностика рыночного оценивания фондовых активов с использованием моделей фундаментального анализа
Петров С. С., Бархатова Д. А., Kashina O. et al., Аудит и финансовый анализ 2015 № 6 С. 324–331
We have developed in the paper the method that allows to reveal stockholder’s expectations about stock prices growth. The procedure is based on the analysis of stock price and dividend payments time series; it was tested for a number of American and Russian securities. The attributes of “speculative” securities, securities with pessimistic forecasts and securities ...
Added: February 1, 2022
Влияние новостей на стоимость и объемы торгов акциями фармацевтических компаний США
Volodin S., Зуева Е. С., Вестник Московского университета. Серия 6: Экономика 2020 № 5 С. 217–237
Intensive development of the global pharmaceutical industry has led to a significant increase in its attractiveness to market investors. At the same time, there is a clear lack of academic work in world financial science that would reveal the specifics of the shares pricing for pharmaceutical companies, including the nature of the influence of various ...
Added: September 29, 2021
ВЛИЯНИЕ РЕЗУЛЬТАТОВ АУДИТА НА СТОИМОСТЬ АКЦИЙ РОССИЙСКИХ КОМПАНИЙ
Nazarova V., Федорова А. А., Вестник Московского университета. Серия 6: Экономика 2020 № 2 С. 78–105
The aim of this study is to assess the impact of audit reports issuance on the value of public corporations’ shares on the Russian stock market. The practical significance and relevance are due to the increasing role of audit in the financial market and the lack of such studies in the domestic literature. The study ...
Added: October 31, 2020
О вейвлет-преобразованиях при моделировании цен акций нечеткими системами
Бричикова А. П., Mogilevich E., Shvedov A. S., Экономический журнал Высшей школы экономики 2019 Т. 23 № 3 С. 444–464
Models for time series are very important for the stock market. Fuzzy Takagi – Sugeno models (functional fuzzy systems) are a promising and already common approach, in which different regression dependencies are used for different areas of variation of certain parameters, and soft switching is performed using the fuzzy logic rules. This is the advantage ...
Added: February 18, 2020
The Reaction of Russian Public Companies’ Stock Prices to Sanctions Against Russia
Naidenova I. N., Новикова А. К., Journal of Corporate Finance Research 2018 Vol. 12 No. 3 P. 27–38
The imposition of sanctions by foreign countries against Russia since 2014 and their prolongation for the following several years resulted in significant changes in Russian economics. In the first instance, economic sanctions were aimed towards the weakening of companies by banning exports and imports of certain goods, closeout or suspension of joint venture projects, as well as ...
Added: December 10, 2018
Spectral Properties of Financial Correlation Matrices
Kazakov M., Kalyagin V. A., , in: Models, Algorithms and Technologies for Network Analysis, Springer Proceedings in Mathematics & StatisticsVol. 156.: Switzerland: Springer, 2016. P. 135–156.
Random matrix theory (RMT) is applied to investigate the cross-correlation matrix of a financial time series in four different stock markets: Russian, American, German, and Chinese. The deviations of distribution of eigenvalues of market correlation matrix from RMT global regime are investigated. Specific properties of each market are observed and discussed. ...
Added: October 14, 2018
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit