相关论文: Power-laws in economy and finance: some ideas from…

In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…

Power-law distributions with various exponents are studied. We first introduce a simple and generic model that reproduces Zipf's law. We can regard this model both as the time evolution of the population of cities and that of the asset…

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…

It is well known that random multiplicative processes generate power-law probability distributions. We study how the spatio-temporal correlation of the multipliers influences the power-law exponent. We investigate two sources of the time…

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…

More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was…

Power law distributions of macroscopic observables are ubiquitous in both the natural and social sciences. They are indicative of correlated, cooperative phenomena between groups of interacting agents at the microscopic level. In this paper…

When the probability of measuring a particular value of some quantity varies inversely as a power of that value, the quantity is said to follow a power law, also known variously as Zipf's law or the Pareto distribution. Power laws appear…

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 introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness…

The power law is ubiquitous in natural and social phenomena, and is considered as a universal relationship between the frequency and its rank for diverse social systems. However, a general model is still lacking to interpret why these…

Power-law distributions are ubiquitous in nature. Random multiplicative processes are a basic model for the generation of power-law distributions. It is known that, for discrete-time systems, the power-law exponent decreases as the…

Following findings by Ormerod and Mounfield, Wright rises the problem whether a power or an exponential law describes the distribution of occurrences of economic recession periods. In order to clarify the controversy a different set of GDP…

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…

Power-law distributions are common, particularly in social physics. Here, we explore whether power-laws might arise as a consequence of a general variational principle for stochastic processes. We describe communities of 'social particles',…

Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…

Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two…

Power-law probability distributions are widely used to model extreme statistical events in complex systems, with applications to a vast array of natural phenomena ranging from earthquakes to stock market crashes to pandemics. We show that…

Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…

Zipf's power-law distribution is a generic empirical statistical regularity found in many complex systems. However, rather than universality with a single power-law exponent (equal to 1 for Zipf's law), there are many reported deviations…