We study the annual growth rates of six macroeconomic variables: public debt, public health expenditures, exports of goods, government consumption expenditures, total exports of goods and services, and total imports of goods and services. For each variable, we find (i) that the distribution of...

We investigate how simultaneously recorded long-range power-law correlated multivariate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals with long-range power-law correlations which...

We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage...

Financial markets exhibit a complex hierarchy among different processes, e.g. a trading time marks the initiation of a trade, and a trade triggers a price change. High-frequency trading data arrive at random times. By combining stochastic and agent-based approaches, we develop a model for...

We model the time series of the S&P500 index by a combined process, the AR+GARCH process, where AR denotes the autoregressive process which we use to account for the short-range correlations in the index changes and GARCH denotes the generalized autoregressive conditional heteroskedastic process...

We report quantitative relations between corruption level and economic factors, such as country wealth and foreign investment per capita, which are characterized by a power law spanning multiple scales of wealth and investment per capita. These relations hold for diverse countries, and also...

Various studies have reported that many economic systems have been exhibiting an increase in the correlation between different market sectors, a factor that exacerbates the level of systemic risk. We measure this systemic risk of three major world shipping markets, (i) the new ship market, (ii)...

Employing detrended fluctuation analysis (DFA) and detrended cross-correlations analysis (DCCA), we analyze auto-correlations in the absolute returns for each of 30 Dow Jones Industrial Average (DJIA) constituents, Si, and cross-correlations in the absolute returns between the DJIA and each Si....

We model the power-law stability in distribution of returns for S&P500 index by the GARCH process which we use to account for the long memory in the variance correlations. Precisely, we analyze the distributions corresponding to temporal aggregation of the GARCH process, i.e., the sum of n GARCH...