Related papers: Power Law in Firms Bankruptcy
It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of securities, on various markets, and on…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
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…
The probability distribution P(k) of the sizes k of critical trees (branching ratio m=1) is well known to show a power-law behavior k^(-3/2). Such behavior corresponds to the mean-field approximation for many critical and self-organized…
We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of…
A microscopic model of aggregation and fragmentation is introduced to investigate the size distribution of businesses. In the model, businesses are constrained to comply with the market price, as expected by the customers, while customers…
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with…
Consensus about the universality of the power law feature in complex networks is experiencing profound challenges. To shine fresh light on this controversy, we propose a generic theoretical framework in order to examine the power law…
A statistical model of fragmentation of aggregates is proposed, based on the stochastic propagation of cracks through the body. The propagation rules are formulated on a lattice and mimic two important features of the process -- a crack…
The distribution of the magnitudes of damage avalanches during a failure process typically follows a power law. When these avalanches are recorded close to the point at which the system fails catastrophically, we find that the power law has…
We review briefly the concepts underlying complex systems and probability distributions. The later are often taken as the first quantitative characteristics of complex systems, allowing one to detect the possible occurrence of regularities…
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…
The personal income distribution (PID) above the Pareto threshold is studied and modeled. A microeconomic model is proposed to simulate the PID and its evolution below and above the Pareto income threshold. The model balances processes of…
We analyze annual revenues and earnings data for the 500 largest-revenue U.S. companies during the period 1954-2007. We find that mean year profits are proportional to mean year revenues, exception made for few anomalous years, from which…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
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…
In this paper we tackle the problem of estimating the power-law tail exponent of income distributions by using the Hill's estimator. A subsample semi-parametric bootstrap procedure minimising the mean squared error is used to choose the…
Zipf's law is one the most conspicuous empirical facts for cities, however, there is no convincing explanation for the scaling relation between rank and size and its scaling exponent. Based on the idea from general fractals and scaling,…
We study how Chapter 11 bankruptcies affect local legal labor markets. We document that bankruptcy shocks increase county legal employment and corroborate this finding by exploiting a stipulation of the law known as Forum Shopping during…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…