If stock markets are complex, monetary policy and even financial regulation may be useless to prevent bubbles and crashes. Here, we suggest the use of robot traders as an anti-bubble decoy. To make our case, we put forward a new stochastic cellular automata model that generates an emergent stock...

Because sports are stylized combat, sports may follow power laws similar to those found for wars, individual clashes, and acts of terrorism. We show this fact for football (soccer) by adjusting power laws that show a close relationship between rank and points won by the clubs participating in...

Previously we have put forward that the sluggish convergence of truncated Lévy flights to a Gaussian (Phys. Rev. Lett. 73 (1994) 2946) together with the scaling power laws in their probability of return to the origin (Nature 376 (1995) 46) can be explained by autocorrelation in data (Physica A...

Although the economic literature on the optimal management of bank excess reserves is age-old and large, here we suggest a fresh, more practical approach based on queuing theory.

We have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence [2] in data coming from the S&P500 index. We also employ...

Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed....

This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated...

Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices...

The yuan-dollar returns prior to the 2005 revaluation show a Sierpinski triangle in an iterated function system clumpiness test. Yet the fractal vanishes after the revaluation. The Sierpinski commonly emerges in the chaos game, where randomness coexists with deterministic rules (M.F. Barnsley,...

We devise a new asymptotic statistical test to assess independence in bivariate continuous distributions. Our approach is based on the Cramér–von Mises test, in which the empirical process is viewed as the Kullback–Leibler divergence, that is, as the distance between the data under the...