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The technique of Pad\'e Approximants, introduced in a previous work, is applied to extended recent data on the distribution of variations of interest rates compiled by the Federal Reserve System in the US. It is shown that new power laws…

Condensed Matter · Physics 2015-06-24 Thomas Alderweireld , Jean Nuyts

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \simeq R^{-\beta}$…

Statistical Mechanics · Physics 2015-06-24 Kyungsik Kim , Seong-Min Yoon , J. S. Choi , Hideki Takayasu

Gambling is one of the basic economic activities that humans indulge in. An investigation of gambling activities provides deep insights into the economic actions of people and sheds lights on the study of econophysics. In this paper we…

Physics and Society · Physics 2009-11-11 Takashi Ichinomiya

I show that house prices can be modeled using machine learning (kNN and tree-bagging) and a small dataset composed of macro-economic factors (MEF), including an inflation metric (CPI), US treasury rates (10-yr), Gross Domestic Product…

Statistical Finance · Quantitative Finance 2025-05-16 Nicolas Houlié

Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an…

Computational Finance · Quantitative Finance 2020-04-17 Kirill S. Glavatskiy , Mikhail Prokopenko , Adrian Carro , Paul Ormerod , Michael Harre

In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are considered. Maximizing their expected utility, home owners make…

Trading and Market Microstructure · Quantitative Finance 2009-07-13 Hazer Inaltekin , Robert Jarrow , Mehmet Saglam , Yildiray Yildirim

Large language models with a huge number of parameters, when trained on near internet-sized number of tokens, have been empirically shown to obey neural scaling laws: specifically, their performance behaves predictably as a power law in…

Machine Learning · Computer Science 2022-11-01 Alexander Maloney , Daniel A. Roberts , James Sully

In this paper we address the question of the size distribution of firms. To this aim, we use the Bloomberg database comprising multinational firms within the years 1995-2003, and analyze the data of the sales and the total assets of the…

Physics and Society · Physics 2013-09-11 Taisei Kaizoji , Hiroshi Iyetomi , Yuichi Ikeda

The spatial distribution of people exhibits clustering across a wide range of scales, from household ($\sim 10^{-2}$ km) to continental ($\sim 10^4$ km) scales. Empirical data indicates simple power-law scalings for the size distribution of…

Physics and Society · Physics 2016-03-23 Henry W. Lin , Abraham Loeb

We investigate relationship between annual electric power consumption per capita and gross domestic production (GDP) per capita for 131 countries. We found that the relationship can be fitted with a power-law function. We examine the…

General Finance · Quantitative Finance 2012-10-16 Aki-Hiro Sato , Ken Umeno

The distribution of property is established through various mechanisms. In this paper we study the acreage distribution of land plots owned by natural persons in the Zl\'{\i}n Region of the Czech Republic. We show that the data are…

Physics and Society · Physics 2019-12-10 Pavel Exner , Petr Šeba , Daniel Vašata

Detrended fluctuation analysis is used to investigate power law relationship between the monthly averages of the maximum daily temperatures for different locations in the western US. On the map created by the power law exponents, we can…

Statistical Mechanics · Physics 2007-05-23 M. L. Kurnaz

Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…

Trading and Market Microstructure · Quantitative Finance 2015-05-20 Carmen Pellicer-Lostao , Ricardo Lopez-Ruiz

This study explores the time-varying structure of market efficiency in the prewar and wartime Japanese stock market using a new market capitalization-weighted stock price index, the equity performance index. We examine whether the adaptive…

Statistical Finance · Quantitative Finance 2024-05-17 Kenichi Hirayama , Akihiko Noda

We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at…

Other Condensed Matter · Physics 2008-12-02 Kyungsik Kim , Seong-Min Yoon , C. Christopher Lee , Myung-Kul Yum

Following the work of Okuyama, Takayasu and Takayasu [Okuyama, Takayasu and Takayasu 1999] we analyze huge databases of Japanese companies' financial figures and confirm that the Zipf's law, a power law distribution with the exponent -1,…

Statistical Mechanics · Physics 2008-12-02 Takayuki Mizuno , Makoto Katori , Hideki Takayasu , Misako Takayasu

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…

Statistical Finance · Quantitative Finance 2015-06-03 Vladimir Filimonov , Didier Sornette

Urban land growth presents a major sustainability challenge, yet its growth patterns and dynamics remain unclear. We quantified urban land evolution by analyzing its statistical distribution in 14 regions and countries over 29 years. The…

Publicly traded companies are fundamental units of contemporary economies and markets and are important mechanisms through which humans interact with their environments. Understanding the general properties that underlie the processes of…

Physics and Society · Physics 2022-07-07 Jiang Zhang , Christopher P. Kempes , Marcus J. Hamilton , Ruyi Tao , Geoffrey B. West

We analyze empirical data from the internet auction site Aukro.cz. The time series of activity shows truncated fractal structure on scales from about 1 minute to about 1 day. The distribution of waiting times as well as the distribution of…

Statistical Finance · Quantitative Finance 2014-01-14 Frantisek Slanina
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