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An Introduction to Econophysics: Correlations and Complexity in Finance
Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems. Expand
Hierarchical structure in financial markets
I find a hierarchical arrangement of stocks traded in a financial market by investigating the daily time series of the logarithm of stock price. The topological space is a subdominant ultrametricExpand
Scaling behaviour in the dynamics of an economic index
THE large-scale dynamical properties of some physical systems depend on the dynamical evolution of a large number of nonlinearly coupled subsystems. Examples include systems that exhibitExpand
Introduction to Econophysics
This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena,Expand
A tool for filtering information in complex systems.
A technique to filter out complex data sets by extracting a subgraph of representative links that is especially suitable for correlation-based graphs, giving filtered graphs that preserve the hierarchical organization of the minimum spanning tree but containing a larger amount of information in their internal structure. Expand
Long-range correlation properties of coding and noncoding DNA sequences: GenBank analysis.
An open question in computational molecular biology is whether long-range correlations are present in both coding and noncoding DNA or only in the latter, and the near-perfect agreement between the two independent analysis methods, FFT and DFA, increases the confidence in the reliability of the conclusion. Expand
Econophysics: Master curve for price-impact function
This single-curve collapse of the price-impact function suggests that fluctuations from the supply-and-demand equilibrium for many financial assets, differing in economic sectors of activity and market capitalization, are governed by the same statistical rule. Expand
Zipf plots and the size distribution of firms
We use a Zipf plot to demonstrate that the upper tail of the size distribution of firms is too thin relative to the log normal rather than too fat, as had previously been believed.
Market impact and trading profile of hidden orders in stock markets.
It is found that market impact is strongly concave, approximately increasing as the square root of order size, and as a given order is executed, the impact grows in time according to a power law. Expand
Power-law relaxation in a complex system: Omori law after a financial market crash.
  • F. Lillo, R. Mantegna
  • Mathematics, Physics
  • Physical review. E, Statistical, nonlinear, and…
  • 14 November 2001
The empirical observation of a power law evolution of the number of events exceeding the selected threshold is consistent with the simultaneous occurrence of a return probability density function characterized by aPower law asymptotic behavior and a power-law relaxation decay of its typical scale. Expand