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A new method for measuring tail exponents of firm size distributions

Fujimoto, Shouji; Ishikawa, Atushi; Mizuno, Takayuki; … - In: Economics - The Open-Access, Open-Assessment E-Journal 5 (2011), pp. 1-20

The authors propose a new method for estimating the power-law exponents of firm size variables. Their focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. On the one hand, as is well known a firm size variable follows a power-law...

Persistent link: https://www.econbiz.de/10009370680

Information-theoretic approach to quantifying currency risk

Fiedor, Paweł; Hołda, Artur - In: The Journal of Risk Finance 17 (2016) 1, pp. 93-109

Purpose – This paper aims to present a framework enriching currency risk analyses based on information theory. Design/methodology/approach – Information-theoretic measures of predictability (entropy rate) and co-dependence (mutual information) are used to enhance existing methods of...

Persistent link: https://www.econbiz.de/10014901895

Econophysics and companies : statistical life and death in complex business networks

Aoyama, Hideaki (contributor) - 2010

Persistent link: https://www.econbiz.de/10004958973

Complexities of production and interacting human behaviour

Aruka, Yūji (contributor) - 2011

Persistent link: https://www.econbiz.de/10009006612

Random processes in physics and finance

Lax, Melvin; Cai, Wei - 2006

Persistent link: https://www.econbiz.de/10010189746

Statistical correlation properties of the SHIBOR interbank lending market

Luo, Yong; Xiong, Jie; Dong, Lie Gang; Tang, Yong - In: China Finance Review International 5 (2015) 2, pp. 91-102

econophysics methods of correlation analysis, RMT and MST. …

Persistent link: https://www.econbiz.de/10014694664

Foundations and applications of complexity economics

Rosser, John Barkley - 2021

discuss the relationship between entropy, econophysics, evolution, and economic complexity, respectively, with applications in … Economics -- Chapter 3: The Complex Dynamics of Social Interactions -- Chapter 4: Econophysics, Entropy, and Complexity … -- Chapter 5: Econophysics and Entropy in Dynamically Complex Urban/Regional Systems -- Chapter 6: Complex Ecological …

Persistent link: https://www.econbiz.de/10012495767

Patterns of speculation : a study in observational econophysics

Roehner, Bertrand M. - 2002 - 1. publ.

Cover -- Half-title -- Title -- Copyright -- Contents -- Preface -- Part I Econophysics -- 1 Why econophysics? -- 1 … comparative analysis -- 2 The beginnings of econophysics -- 1 Pre-econophysics -- 1.1 Pre-econophysicists -- 1.1.1 Quételet (1796 ….2 Assessment of pre-econophysics -- 2 Institutional econophysics -- 2.1 Idiosyncrasies of economic journals -- 2.2 The beginnings …

Persistent link: https://www.econbiz.de/10012681273

An introduction to econophysics : correlations and complexity in finance

Mantegna, Rosario Nunzio - 2000

This book concerns the use of concepts from statistical physics in the description of financial systems. These concepts are applied to financial time series to gain an understanding of the behavior of financial markets. The book will be of interest to physicists and economists and professionals...

Persistent link: https://www.econbiz.de/10012672582

Stochastic calculus and differential equations for physics and finance

McCauley, Joseph L. - 2013 - Online-Ausg.

Machine generated contents note: 1. Random variables and probability distributions; 2. Martingales, Markov, and nonstationarity; 3. Stochastic calculus; 4. Ito processes and Fokker-Planck equations; 5. Selfsimilar Ito processes; 6. Fractional Brownian motion; 7. Kolmogorov's PDEs and...

Persistent link: https://www.econbiz.de/10012683307