The existence of stylized facts suggests that there might be `universal' mechanism which drives price evolution on financial markets in general. Based on empirical estimates of 10 major indices, we propose a stylized model of endogenous price formation on an aggregate level whose key issue is...

The present paper expands on recent attempts at estimating the parameters of simple interacting-agent models of financial markets [S. Alfarano, T. Lux, F. Wagner, Computational Economics <Emphasis Type="Bold">26, 19 (2005); S. Alfarano, T. Lux, F. Wagner, in Funktionsfähigkeit und Stabilität von...</emphasis>

We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval...

World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the...

We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the...

We propose a simple stochastic exchange game mimicking taxation and redistribution. There are g agents and n coins; taxation is modeled by randomly extracting some coins; then, these coins are redistributed to agents following Polya's scheme. The individual wealth equilibrium distribution for...

We present a preferential attachment growth model to obtain the distribution P(K) of number of units K in the classes which may represent business firms or other socio-economic entities. We found that P(K) is described in its central part by a power law with an exponent ϕ=2+b/(1-b) which...

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...