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The emergence of different tail exponents in the distributions of firm size variables

Ishikawa, Atushi; Fujimoto, Shouji; Watanabe, Tsutomu; … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 9, pp. 2104-2113

We discuss a mechanism through which inversion symmetry (i.e., invariance of a joint probability density function under the exchange of variables) and Gibrat’s law generate power-law distributions with different tail exponents. Using a dataset of firm size variables, that is, tangible fixed...

Persistent link: https://www.econbiz.de/10011064033

Power laws in market capitalization during the dot-com and Shanghai bubble periods

Mizuno, Takayuki; Ohnishi, Takaaki; Watanabe, Tsutomu - In: Evolutionary and institutional economics review 13 (2016) 2, pp. 445-454

Persistent link: https://www.econbiz.de/10011581493

Bankruptcy as an exit mechanism for systems with a variable number of components

Delli Gatti, Domenico; Di Guilmi, Corrado; Gaffeo, Edoardo - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 8-13

Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are at odds with the available evidence. We discuss a recently proposed...

Persistent link: https://www.econbiz.de/10010873293

Distributions of region size and GDP and their relation

Sen, Hu; Chunxia, Yang; Xueshuai, Zhu; Zhilai, Zheng; … - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 46-56

We first analyze the distribution of metropolitan (city) size, the distribution of metropolitan (city) GDP and the relation of both distributions. It is found that (1) the tails of distributions of size and GDP both obey Pareto Law with the Pareto exponent 1; (2) compared with Pareto exponent in...

Persistent link: https://www.econbiz.de/10011264587

Power laws in real estate prices during bubble periods

Ohnishi, Takaaki; Mizuno, Takayuki; Shimizu, Chihiro; … - Center for Interfirm Network, Institute of Economic Research - 2011

How can we detect real estate bubbles? In this paper, we propose making use of information on the cross-sectional dispersion of real estate prices. During bubble periods, prices tend to go up considerably for some properties, but less so for others, so that price inequality across properties...

Persistent link: https://www.econbiz.de/10009393164

Short-term market reaction after trading halts in Chinese stock market

Xu, Hai-Chuan; Zhang, Wei; Liu, Yi-Fang - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 103-111

In this paper, we study the dynamics of absolute return, trading volume and bid–ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks...

Persistent link: https://www.econbiz.de/10010753605

Inflation and deflation in financial markets

Kaizoji, Taisei - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 662-668

The aim of this paper is to show new empirical results on the statistical properties of absolute log returns, defined as the absolute value of the log return, in a stock market. We used the daily data of the Nikkei 225 index of the 28-year period from January of 1975 to December of 2002, and...

Persistent link: https://www.econbiz.de/10010871649

From microscopic taxation and redistribution models to macroscopic income distributions

Bertotti, Maria Letizia; Modanese, Giovanni - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 21, pp. 3782-3793

We present here a general framework, expressed by a system of nonlinear differential equations, suitable for the modeling of taxation and redistribution in a closed society. This framework allows one to describe the evolution of income distribution over the population and to explain the...

Persistent link: https://www.econbiz.de/10010872385

Some Relevant Econophysics’ Moments of History, Definitions, Methods, Models and New Trends

Săvoiu, Gheorghe; Ion Iorga–Simăn - In: Romanian Economic Business Review 3 (2008) 3, pp. 29-41

New models result from a new way of thinking or from the trans-disciplinary methods used in new domains. Econophysics … science Econophysics means either a new domain for physicists or new methods and ways of thinking for economists in the modern … background of the last three decades, a new section is defining what Econophysics is, and others underline significant methods …

Persistent link: https://www.econbiz.de/10005685946

Fitting the empirical distribution of intertrade durations

Politi, Mauro; Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 2025-2034

Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the...

Persistent link: https://www.econbiz.de/10010588879

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