We empirically quantify the relation between trading activity—measured by the number of transactions N—and the price change G(t) for a given stock, over a time interval [t,t+Δt]. We relate the time-dependent standard deviation of price changes—volatility—to two microscopic quantities:...

In this opening talk, we discuss some of the similarities between work being done by economists, and by physicists seeking to contribute to economics. We also mention some of the differences in the approaches taken, and justify these different approaches by developing the argument that by...

The unique scaling behavior of financial time series have attracted the research interest of physicists. Variables such as stock returns, share volume, and number of trades have been found to display distributions that are consistent with a power-law tail. We present an overview of recent...

We survey a theory (first sketched in Nature in 2003, then fleshed out in the Quarterly Journal of Economics in 2006) of the economic underpinnings of the fat-tailed distributions of a number of financial variables, such as returns and trading volume. Our theory posits that they have a common...

Recent empirical research has uncovered regularities in financial fluctuations. Those are: (i) the cubic law of returns: returns follow a power law distribution with exponent 3; (ii) the half cubic law of volumes: volumes follow a power law distribution with exponent 32; (iii) Approximate cubic law...

This manuscript is a brief summary of a talk designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena—scale invariance and universality—can be useful in guiding research on interpreting empirical data on economic fluctuations....

One challenge of economics is that the systems treated by these sciences have no perfect metronome in time and no perfect spatial architecture—crystalline or otherwise. Nonetheless, as if by magic, out of nothing but randomness one finds remarkably fine-tuned processes in time. We present an...