Related papers: Fractal Properties in Economics
Urbanization is a phenomenon of concern for planning and public health: projections are difficult because of policy changes and natural events, and indicators are multiple. There are previous studies of development that used fractals, but…
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades $N$,…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over…
We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power…
This contribution presents a review of our present theoretical as well as experimental knowledge of different fluctuation observables relevant to nuclear multifragmentation. The possible connection between the presence of a fluctuation peak…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…
Precise analyses of the statistical and scaling properties of galaxy distribution are essential to elucidate the large-scale structure of the universe. Given the ongoing debate on its statistical features, the development of statistical…
The growth of business firms is an example of a system of complex interacting units that resembles complex interacting systems in nature such as earthquakes. Remarkably, work in econophysics has provided evidence that the statistical…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
Several simple growth and decay models use concepts and measures from fractal geometry. Kinetic models relevant to condensed matter observations arerecalled. They should be specifically adapted with appropriate degrees of freedom in order…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
In this perspective we consider how modern statistical mechanics and response theory can be applied to understand the response of polar molecules to an applied electric field and the fluctuations in these systems. Results that are…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
The notion of the abundance of fractals is critically re-examined in light of surprising data regarding the scaling range in empirical reports on fractality.