Random-text models have been proposed as an explanation for the power law relationship between word frequency and rank, the so-called Zipf's law. They are generally regarded as null hypotheses rather than models in the strict sense. In this context, recent theories of language emergence and...

Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic...

Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is 1/f-like: ∝ ω- 3/2 (where ω is the frequency), that the...

The cross-correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different time–scales and then explore the...

We develop a simple Keynesian type business cycle model in which heterogeneous agents are either optimistic or pessimistic. If the majority of the agents are optimistic, then consumption expenditures are high and the economy booms, otherwise consumption expenditures are low and the economy is in...

Recent works by econo-physicists [5,8,15,19] have shown that the probability function of the share returns and the volatility satisfies a power law with an exponent close to 4. On the other hand, we investigated quantitatively the return and the volatility of the daily data of the Nikkei 225...