This paper examines the shape of the firm size distribution over time and across sectors, using a longitudinal data set of manufacturing firms in the Netherlands in 1978-1998. Although the size distribution is highly skewed and resembles the Pareto law, a variety of patterns emerge across...

The Zipf analysis of n-words in random sequences and financial data series like the stock prices of a company has been performed. The bias as well as the resulting staircase structure of the Zipf plots are taken into account in the subsequent analysis. It is found that correlations for the sign...

We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...