This paper investigates the statistical properties of within-country gross domestic product (GDP) and industrial production (IP) growth-rate distributions. Many empirical contributions have recently pointed out that cross-section growth rates of firms, industries and countries all follow Laplace...

Starting from the generalized exponential function <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\exp_{\kappa}(x)=(\sqrt{1+\kappa^{2}x^{2}}+\kappa x)^{1/\kappa}$</EquationSource> </InlineEquation>, with exp <Subscript>0</Subscript>(x)=exp (x), proposed in reference [G. Kaniadakis, Physica A <Emphasis Type="Bold">296, 405 (2001)], the survival function P<Subscript></Subscript>(x)=exp <Subscript>κ</Subscript>(-βx<Superscript>α</Superscript>), where x∈R<Superscript>+</Superscript>, α,β0, and <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$\kappa\in[0,1)$</EquationSource>...</equationsource></inlineequation></superscript></superscript></subscript></subscript></emphasis></subscript></equationsource></inlineequation>

We study the volatility of the MIB30–stock–index high–frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end, we compute the index volatility by means of...

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...

The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain circumstances, are not dissociated and...

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...