The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The...

The study of behavioural and social phenomena has experienced a surge of interest over the last decade. One reason for this great attention is the huge amount of high quality data made available by the internet technologies. The many studies spanning concepts and problems belonging to economics,...

We performed a theoretical study of the specific heat C(T) as a function of the temperature for double-strand quasiperiodic sequences. To mimic DNA molecules, the sequences are made up from the nucleotides guanine G, adenine A, cytosine C and thymine T, arranged according to the Fibonacci and...

The probability P<Subscript>success</Subscript>(α, N) that stochastic greedy algorithms successfully solve the random SATisfiability problem is studied as a function of the ratio α of constraints per variable and the number N of variables. These algorithms assign variables according to the unit-propagation (UP)...</subscript>

In this paper, firstly, we study analytically the topological features of a family of hierarchical lattices (HLs) from the view point of complex networks. We derive some basic properties of HLs controlled by a parameter q: scale-free degree distribution with exponent γ=2+ln 2/(ln q), null...

We investigate numerically the Self Organized Criticality (SOC) properties of the dissipative Olami-Feder-Christensen model on small-world and scale-free networks. We find that the small-world OFC model exhibits self-organized criticality. Indeed, in this case we observe power law behavior of...

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold q for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on...

A globally driven self-organized critical model of earthquakes with conservative dynamics has been studied. An open but moving boundary condition has been used so that the origin (epicenter) of every avalanche (earthquake) is at the center of the boundary. As a result, all avalanches grow in...

Statistical regularities at the top end of the wealth distribution in the United States are examined using the Forbes 400 lists of richest Americans, published between 1988 and 2003. It is found that the wealths are distributed according to a power-law (Pareto) distribution. This result is...