Related papers: Market laws
Power law distributions are widely observed in chemical physics, geophysics, biology, and beyond. The independent variable x of these distributions has an obligatory lower bound and in many cases also an upper bound. Estimating these bounds…
The power law is ubiquitous in natural and social phenomena, and is considered as a universal relationship between the frequency and its rank for diverse social systems. However, a general model is still lacking to interpret why these…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions.…
This paper is concerned with the asymptotic behavior of sums of terms which are a test function f evaluated at successive increments of a discretely sampled semimartingale. Typically the test function is a power function (when the power is…
Consensus about the universality of the power law feature in complex networks is experiencing profound challenges. To shine fresh light on this controversy, we propose a generic theoretical framework in order to examine the power law…
In this paper we quantitatively investigate the statistical properties of an ensemble of {\it stock prices}. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading…
The power law is useful in describing count phenomena such as network degrees and word frequencies. With a single parameter, it captures the main feature that the frequencies are linear on the log-log scale. Nevertheless, there have been…
We review briefly the concepts underlying complex systems and probability distributions. The later are often taken as the first quantitative characteristics of complex systems, allowing one to detect the possible occurrence of regularities…
Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must…
We bring rigor to the vibrant activity of detecting power laws in empirical degree distributions in real-world networks. We first provide a rigorous definition of power-law distributions, equivalent to the definition of regularly varying…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…
In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each…
Models in econophysics, i.e., the emerging field of statistical physics that applies the main concepts of traditional physics to economics, typically consist of large systems of economic agents who are characterized by the amount of money…
A generic communication model of a boolean network with transmission errors is proposed to explore the power-law scaling of states' evolution in small-world networks. In the model, the power spectrum of the population difference between…
The different between the inverse power function and the negative exponential function is significant. The former suggests a complex distribution, while the latter indicates a simple distribution. However, the association of the power-law…
The distribution of impact factors has been modeled in the recent informetric literature using two-exponent law proposed by Mansilla et al. (2007). This paper shows that two distributions widely-used in economics, namely the Dagum and…
Power-law distributions are essential in computational and statistical investigations of extreme events and complex systems. The usual technique to generate power-law distributed data is to first infer the scale exponent $\alpha$ using the…
We investigate the mechanisms behind the power-law distribution of stock returns using artificial market simulations. While traditional financial theory assumes Gaussian price fluctuations, empirical studies consistently show that the tails…
Pareto distributions, and power laws in general, have demonstrated to be very useful models to describe very different phenomena, from physics to finance. In recent years, the econophysical literature has proposed a large amount of papers…