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...

We present new results in a model of technological evolution which displays different macroscopic behaviors based on very simple microscopic rules of local interaction. The main features are criticality and self-organization. We give information about new scaling relation and study the roughness...

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...

A link in a supplier–customer network is usually a creditor–debtor relationship. If a firm goes into a state of financial insolvency or bankruptcy, then firms on its upstream are affected secondarily along the links. By using 10-year data from recent data on bankruptcy in Japan, we show that...

Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical visualization of so-called minimum spanning trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of...

In this paper, starting from Jaynes' MaxEnt methodology [10, 11], we follow the original idea of Aoki [1] to implement a canonical MaxEnt inference model for the replication of industrial firms' dynamics over a space of economic states. We develop an aggregate model to infer the distributions of...