Related papers: Fractal Properties in Economics
We study how idiosyncratic firm-level shocks generate aggregate volatility and tail risk when they propagate through a production network under overlapping adjustment: new productivity draws arrive before the economy reaches the static…
Fluctuation theorems are a class of equalities that express universal properties of the probability distribution of a fluctuating path functional such as heat, work or entropy production over an ensemble of trajectories during a…
Highly nonlinear behavior of a system of discrete sites on a lattice is observed when a specific feedback loop is introduced into models employing coupled map lattices, quantum cellular automata, or the real-valued analogues of the latter.…
Fracton order describes novel quantum phases of matter that host quasiparticles with restricted mobility, and thus lies beyond the existing paradigm of topological order. In particular, excitations that cannot move without creating multiple…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma…
The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation…
Recent confocal experiments on colloidal solids motivate a fuller study of the projection of three-dimensional fluctuations onto a two-dimensional confocal slice. We show that the effective theory of a projected crystal displays several…
A fractal is in essence a hierarchy with cascade structure, which can be described with a set of exponential functions. From these exponential functions, a set of power laws indicative of scaling can be derived. Hierarchy structure and…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
Turbulence exhibits significant velocity fluctuations even if the scale is much larger than the scale of the energy supply. Since any spatial correlation is negligible, these large-scale fluctuations have many degrees of freedom and are…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
Dynamical systems in nature exhibit self-similar fractal space-time fluctuations on all scales indicating long-range correlations and therefore the statistical normal distribution with implicit assumption of independence, fixed mean and…
Human social behavior is organized in stratified, hierarchical networks, with a support group with about 5 members, expanding proportionally at each layer up to a maximum of approximately 150 frequent interactions per individual. This is…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
We introduce a framework to identify Fluctuation Relations for vector-valued observables in physical systems evolving through a stochastic dynamics. These relations arise from the particular structure of a suitable entropic functional and…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…