In finance, one usually deals not with prices but with growth rates $R$, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate $\tilde R$, the difference in logarithm between two consecutive values of...

We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order to study the stability of the Zipf distribution of R over time. We find that the Zipf exponent...

We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals with long-range power-law correlations which...

We generalize the scale-free network model of Barab\`asi and Albert [Science 286, 509 (1999)] by proposing a class of stochastic models for scale-free interdependent networks in which interdependent nodes are not randomly connected but rather are connected via preferential attachment (PA). Each...

Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland), national debt should be strictly controlled with respect to national wealth. Also, the problem...

We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time...

In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and quantifying interdependencies among the world's economies,...

According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated. To determine whether this has resulted in an improved...

The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price changes for a given pair of stocks, but it does not measure...

We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law cross-correlations in the absolute values of returns that...