Related papers: Market laws
Over the last few decades power law distributions have been suggested as forming generative mechanisms in a variety of disparate fields, such as, astrophysics, criminology and database curation. However, fitting these heavy tailed…
In this article we discuss the distribution of asset price movements by the market potential function. From the principle of free energy minimization we analyze two different kinds of market potentials. We obtain a U-shaped potential when…
Power-law distributions are typical macroscopic features occurring in almost all complex systems observable in nature. As a result, researchers in quantitative analyses must often generate random synthetic variates obeying power-law…
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…
Over the last decades, impressive progresses have been made in many experimental domains, e.g. microscopic techniques such as single-particle tracking, leading to plethoric amounts of data. In a large variety of systems, from natural to…
There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
We present the data on wealth and income distributions in the United Kingdom, as well as on the income distributions in the individual states of the USA. In all of these data, we find that the great majority of population is described by an…
The power law distribution is usually used to fit data in the upper tail of the distribution. However, commonly it is not valid to model data in all the range. In this paper, we present a new family of distributions, the so-called…
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange…
Following findings by Ormerod and Mounfield, Wright rises the problem whether a power or an exponential law describes the distribution of occurrences of economic recession periods. In order to clarify the controversy a different set of GDP…
We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in relationship with stochastic volatility models.
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and…
Power laws pervade statistical physics and complex systems, but, traditionally, researchers in these fields have paid little attention to properly fit these distributions. Who has not seen (or even shown) a log-log plot of a completely…
Nowadays there is an increasing interest of physicists in finding regularities related to social phenomena. This interest is clearly motivated by applications that a statistical mechanical description of the human behavior may have in our…
It is well known that random multiplicative processes generate power-law probability distributions. We study how the spatio-temporal correlation of the multipliers influences the power-law exponent. We investigate two sources of the time…
Although cumulative family name distributions in many countries exhibit power-law forms, there also exist counterexamples. The origin of different family name distributions across countries is discussed analytically in the framework of a…
We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise…
It is generally recognized that economical systems, and more in general complex systems, are characterized by power law distributions. Sometime, these distributions show a changing of the slope in the tail so that, more appropriately, they…
Many objects studied in astronomy follow a power law distribution function, for example the masses of stars or star clusters. A still used method by which such data is analysed is to generate a histogram and fit a straight line to it. The…