Related papers: Power Law in Firms Bankruptcy
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A…
Power-law tails are ubiquitous in income distributions and in the energy distributions of diluted relativistic gases. We analyze the conceptual link between these two cases. In economic interactions fat tails arise because the richest…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain ranges. The mechanism that has been claimed…
We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws…
We study distributions which have both fractal and non-fractal scale regions by introducing a typical scale into a scale invariant system. As one of models in which distributions follow power law in the large scale region and deviate…
We report empirical studies on the personal income distribution, and clarify that the distribution pattern of the lognormal with power law tail is the universal structure. We analyze the temporal change of Pareto index and Gibrat index to…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
Detailed empirical studies of publicly traded business firms have established that the standard deviation of annual sales growth rates decreases with increasing firm sales as a power law, and that the sales growth distribution is…
We study the work fluctuations of a particle subjected to a deterministic drag force plus a random forcing whose statistics is of the L\'evy type. In the stationary regime, the probability density of the work is found to have ``fat''…
This letter treats of the power-law distribution of the sales of items. We propose a simple stochastic model which expresses a selling process of an item. This model produces a stationary power-law distribution, whose power-law exponent is…
We report an empirical determination of the probability density functions P(r) of the number r of earthquakes in finite space-time windows for the California catalog, over fixed spatial boxes 5 x 5 km^2 and time intervals dt =1, 10, 100 and…
In a convenience store chain, a tail of the cumulative density function of the expenditure of a person during a single shopping trip follows a power law with an exponent of -2.5. The exponent is independent of the location of the store, the…
The size of large cliff failures may be described in several ways, for instance considering the horizontal eroded area at the cliff top and the maximum local retreat of the coastline. Field studies suggest that, for large failures, the…
The size that an epidemic can reach, measured in terms of the number of fatalities, is an extremely relevant quantity. It has been recently claimed [Cirillo & Taleb, Nature Physics 2020] that the size distribution of major epidemics in…
Research activities of Kyoto Econophysics Group is reviewed. Strong emphasis has been placed on real economy. While the initial stage of research was a first high-definition data analysis on personal income, it soon progressed to firm…
We study the distribution of strike size, which we measure as lost person days, for a long period in several countries of Europe and America. When we consider the full samples, the mixtures of two or three lognormals arise as very…
Many man-made and natural phenomena, including the intensity of earthquakes, population of cities and size of international wars, are believed to follow power-law distributions. The accurate identification of power-law patterns has…
We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance generated by (i) a Gaussian or (ii) a truncated L\'{e}vy…