The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this...

In this communication an adaptive process is introduced into a many-agent model for closed economic system in order to establish general features of income distribution. In this new version agents are able to modify their exchange parameter ωi of resources through an adaptive process. The...

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value fi (or volume) has a finite variance σi for the very large majority of stocks i, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a...

In this study, we first build two empirical cross-correlation matrices in the US stock market by two different methods, namely the Pearson’s correlation coefficient and the detrended cross-correlation coefficient (DCCA coefficient). Then, combining the two matrices with the method of random...

We study the effect of altruism in two simple asset exchange models: the yard sale model (winner gets a random fraction of the poorer player's wealth) and the theft and fraud model (winner gets a random fraction of the loser's wealth). We also introduce in these models the concept of bargaining...

A power law classification scheme (PLCS) of time series correlations is proposed. It is shown that PLCS provides the ability to classify nonlinear correlations and measure their stability. PLCS has been applied to gross domestic product (GDP) per capita of G20 members and their correlations...

Payoffs which depend on the scores of the strategies are introduced into the standard Minority Game (MG). The double-periodicity behavior of the standard model is consequently removed, and stylized facts arise, such as long-range volatility correlations and “fat-tails” of the probability...

We analyze proportional election data to show the influence of parties on the results of this kind of election. The study compiles data from different countries and dates to show that depending on how the candidate’s votes are counted, one can find that these votes have different...

A dynamic herding model with interactions of trading volumes is introduced. At time t, an agent trades with a probability, which depends on the ratio of the total trading volume at time t−1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and...

The main objective of this paper is to investigate the validity of the much-used assumptions that stock market returns follow a random walk and are normally distributed. For this purpose the concepts of chaos theory and fractals are applied. Two independent models are used to examine price...