This work uses the concept of Asymmetric Detrended Fluctuation Analysis (A-DFA) to investigate and characterize the occurrence of trend switching in financial series. A-DFA introduces two new roughness exponents, H+ and H−, which differ from the usual one H by separately taking into account...

In this paper we analyse price fluctuations with the aim of measuring how long the market takes to adjust prices to weak-form efficiency, i.e., how long it takes for prices to adjust to a fractional Brownian motion with a Hurst exponent of 0.5. The Hurst exponent is estimated for different time...

Statistical analyses of long-term records of daily rain suggest that rain phenomena might be a manifestation of self-organized criticality. In this work the essential mechanisms of rain phenomena, the growth of droplets inside a cloud and the subsequent rainfall, are described by an Abelian...

In this work we propose a computational model to investigate the proliferation of cancerous cell by using complex networks. In our model the network represents the structure of available space in the cancer propagation. The computational scheme considers a cancerous cell randomly included in the...

We present a deformed algebra related to the q-exponential and the q-logarithm functions that emerge from nonextensive statistical mechanics. We also develop a q-derivative (and consistently a q-integral) for which the q-exponential is an eigenfunction. The q-derivative and the q-integral have a...

We discuss the non-Boltzmannian nature of quasi-stationary states in the Hamiltonian mean field (HMF) model, a paradigmatic model for long-range interacting classical many-body systems. We present a theorem excluding the Boltzmann–Gibbs exponential weight in Gibbs Γ-space of microscopic...

In this paper we revisit some minority games formed by two different types of agents. There are some games where the differences of power processing among the agents are fundamental for achieving success. In other games, which are characterized by a dynamical phase transition, the results can...

We introduce a variation of the El Farol Game in which the only players who surely know the outcome of the last turn of the game are those who actually attended the bar. Other players may receive this information with reduced probability. This information can be transmitted by another player who...

Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among agents is not straightforward and it is very difficult to predict. Contributing to this debate, this paper shows that...

This paper investigates the topological properties of the Brazilian stock market networks. We build the minimum spanning tree, which is based on the concept of ultrametricity, using the correlation matrix for a variety of stocks of different sectors. Our results suggest that stocks tend to...