The relationship between the size and the variance of firm growth rates is known to follow an approximate power-law behavior $\sigma(S) \sim S^{-\beta(S)}$ where $S$ is the firm size and $\beta(S)\approx 0.2$ is an exponent weakly dependent on $S$. Here we show how a model of proportional growth...

We analyze a database comprising quarterly sales of 55624 pharmaceutical products commercialized by 3939 pharmaceutical firms in the period 1992--2001. We study the probability density function (PDF) of growth in firms and product sales and find that the width of the PDF of growth decays with...

We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and perform a new estimation of market impact that accounts...

Scale-free distributions and correlation functions found in financial data are reminiscent of the scale invariance of physical observables in the vicinity of a critical point. Here, we present empirical evidence for a transition phenomenon, accompanied by a symmetry breaking, in the investors'...

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori...

We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686...

Classic studies of the probability density of price fluctuations $g$ for stocks and foreign exchanges of several highly developed economies have been interpreted using a {\it power-law} probability density function $P(g) \sim g^{-(\alpha+1)}$ with exponent values $\alpha 2$, which are outside...

We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $\tau$, which are time intervals between volatilities above a given threshold $q$. We explore the probability density function of $\tau$,...

We study the return interval $\tau$ between price volatilities that are above a certain threshold $q$ for 31 intraday datasets, including the Standard & Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index. For different threshold $q$, the probability density function...

We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal features for all four cases. To observe the effect of the Asian currency...