Related papers: Empirical Methods for Dynamic Power Law Distributi…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
Statistical analysis is an important tool to distinguish systematic from chance findings. Current statistical analyses rely on distributional assumptions reflecting the structure of some underlying model, which if not met lead to problems…
We describe a formal approach based on graphical causal models to identify the "root causes" of the change in the probability distribution of variables. After factorizing the joint distribution into conditional distributions of each…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…
By employing exhaustive lists of large firms in European countries, we show that the upper-tail of the distribution of firm size can be fitted with a power-law (Pareto-Zipf law), and that in this region the growth rate of each firm is…
This article is a supplement to my main contribution to the Routledge Handbook of Complexity Economics (2023). On the basis of three recent papers, it presents an unconventional perspective on economic inequality from a statistical physics…
A mechanism is proposed for the appearance of power law distributions in various complex systems. It is shown that in a conservative mechanical system composed of subsystems with different numbers of degrees of freedom a robust power-law…
Statistical models that include random effects are commonly used to analyze longitudinal and correlated data, often with strong and parametric assumptions about the random effects distribution. There is marked disagreement in the literature…
Why are human societies unstable? Theories based on the observation of recurring patterns in historical data indicate that economic inequality, as well as social factors are key drivers. So far, models of this phenomenon are more…
Empirical likelihood approach is one of non-parametric statistical methods, which is applied to the hypothesis testing or construction of confidence regions for pivotal unknown quantities. This method has been applied to the case of…
Using the Generalised Lotka Volterra (GLV) model adapted to deal with muti agent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic…
We introduce a model of proportional growth to explain the distribution $P(g)$ of business firm growth rates. The model predicts that $P(g)$ is Laplace in the central part and depicts an asymptotic power-law behavior in the tails with an…
This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry…
We consider a version of D. Price's model for the growth of a bibliographic network, where in each iteration a constant number of citations is randomly allocated according to a weighted combination of accidental (uniformly distributed) and…
Various multi-agent models of wealth distributions defined by microscopic laws regulating the trades, with or without a saving criterion, are reviewed. We discuss and clarify the equilibrium properties of the model with constant global…
The scaling properties of the roughness of surfaces grown by two different processes randomly alternating in time, are addressed. The duration of each application of the two primary processes is assumed to be independently drawn from given…
We study Sutton's `microcanonical' model for the internal organisation of firms, that leads to non trivial scaling properties for the statistics of growth rates. We show that the growth rates are asymptotically Gaussian in this model, at…
The $\alpha$-stable distributions introduced by L\'evy play an important role in probabilistic theoretical studies and their various applications, e.g., in statistical physics, life sciences, and economics. In the present paper we study…
In panel experiments, we randomly assign units to different interventions, measuring their outcomes, and repeating the procedure in several periods. Using the potential outcomes framework, we define finite population dynamic causal effects…
We study two nonparametric tests of the hypothesis that a sequence of independent observations is identically distributed against the alternative that at a single change point the distribution changes. The tests are based on the Cramer-von…