In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a...

It is well-known that financial asset returns exhibit fat-tailed distributions and long-term memory. These empirical features are the main objectives of modeling efforts using (i) stochastic processes to quantitatively reproduce these features and (ii) agent-based simulations to understand the...

Because financial crises are characterized by dangerous rare events that occur more frequently than those predicted by models with finite variances, we investigate the underlying stochastic process generating these events. In the 1960s Mandelbrot [Mandelbrot B (1963) J Bus 36:394-419] and Fama...

Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer strategic model we propose a network of bargaining agents who...

We present a dynamic network model of corrupt and noncorrupt employees representing two states in the public and private sector. Corrupt employees are more connected to one another and are less willing to change their attitudes regarding corruption than noncorrupt employees. This behavior...

Financial markets exhibit a complex hierarchy among different processes, e.g. a trading time marks the initiation of a trade, and a trade triggers a price change. High-frequency trading data arrive at random times. By combining stochastic and agent-based approaches, we develop a model for...

We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy stability for the probability density, and hence shows scaling properties (as observed in empirical data); it has the advantage...

We report quantitative relations between corruption level and economic factors, such as country wealth and foreign investment per capita, which are characterized by a power law spanning multiple scales of wealth and investment per capita. These relations hold for diverse countries, and also...