In this article we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this...

We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$S_{q}=k\frac{1-\sum_{i=1}^{W} p_{i} ^{q}}{1-q}\, (q\in \Re) \left(S_{1} \equiv...</equationsource></inlineequation>

Open dynamic behaviour of financial markets with internal interactions between agents and with external “fields” from other systems are investigated using the approach of Grossman and Stiglitz for inefficient markets, and Keynes for interference of the market using physics of finance...

Using the recent work of Hartelman, van der Maas, and Wagenmakers, we demonstrate the use of invariant stochastic catastrophe models in finance for modeling net flows (the difference between purchases and redemptions of fund shares) of U.S. mutual funds. We validate Goetzmann et al. and others'...

We study a dynamical Ising-like model of agents' opinions (buy or sell) with learning, in which the coupling coefficients are re-assessed continuously in time according to how past external news (time-varying magnetic field) have explained realized market returns. By combining herding, the...

We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the relaxation process depends on the parameters of the system, in...