Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...

We investigate for evidence of complex-deterministic dynamics in financial returns time series. By combining the Surrogate Data Analysis inferential framework with the MG-GARCH (Kyrtsou and Terraza, 2003) modelling approach, we examine whether the sequences are characterized by aperiodic and...

This paper analyzes a financial market with noise trading and momentum trading, and shows how momentum trading affects the market equilibrium. When momentum traders dominate the market, whether trend-chasing or contrarian, the private information owned by informed trader is not incorporated into...

Markets for digital information goods provide the possibility of exploring new and more complex pricing schemes, due to information goods' flexibility and negligible marginal cost. In this paper we compare the dynamic performance of price schedules of varying complexity under two different...

The paper studies empirically and analytically growth and fluctuation of firm size distribution. An empirical analysis is carried out on several data sets on firm size, with emphasis on one-time distribution as well as growth-rate probability distribution. Two well-known scaling laws, Pareto's...

The purpose of this paper is to investigate the evolutionary process of imitation and innovation as a process of searching in a given neighbourhood of firms. Networks are the main source of information for firms willing to actively search and upgrade and which define the reachable neighbourhood...

The formation of complex patterns in physical or biological systems is often caused by the interaction of many low (Kolmogorov) complexity systems, leading to emergent collective effects. In this contribution, we demonstrate how complex processing of acoustic signals by the peripheral auditory...

I present a model of industry dynamics resulting from competition between forward looking, heterogeneous firms that face three simultaneous challenges: learning in the process of production, competing against new entrants able to imitate best practice (albeit imperfectly), and enduring...

We investigate a simple nonlinear model of economics to which strong multiplicative noise is added, and find two distinct generic control regimes. In the regime of noisy behavior, the application of the control is able to reduce noise only if the underlying periodicity is correctly taken into...