In recent years, physicists have started applying concepts and methods of statistical physics to study economic problems. The word “Econophysics” is sometimes used to refer to this work. Much recent work is focused on understanding the statistical properties of financial time series. One...

A method for constructing the model or virtual space of economic events when economic objects can be considered as material ones is suggested. We describe change of share rates in time at stock markets as the potential difference of attracted bodies in time in this virtual space. Each share of...

It is shown that a natural self-averaging phenomenon can transform the initially (on a microscopic level) lognormal distribution into bi-lognormal one. Comparison with Hong Kong stock market (Hang Seng index) is used to show that this mechanism is working for different time lags and, therefore,...

The so-called Pareto–Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of stock markets indexes worldwide. The selection of the threshold parameter from empirical data and consequently, the determination of the...

We address the problem of the foundation of generalized ensembles in statistical physics. The approach is based on Boltzmann's concept of orthodes. These are the statistical ensembles that satisfy the heat theorem, according to which the heat exchanged divided by the temperature is an exact...

The concept of the long tail has recently been used to explain the phenomenon in e-commerce where the total volume of sales of the items in the tail is comparable to that of the most popular items. In the case of online book sales, the proportion of tail sales has been estimated using regression...

We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy...