We present cross and time series analysis of price fluctuations in the US Treasury fixed income market. Bonds have been classified according to a suitable metric based on the correlation among them. The classification shows how the correlation among fixed income securities depends strongly on...

We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. Bonds have been classified according to a suitable metric based on the correlation among them. The classification shows how the correlation among fixed income securities depends strongly on...

The article tries to summarize the common traits in most of the morning lectures of this meeting in La̧dek Zdrój.

Network systems evolving by preferential attachment of new vertices and by link loading are considered. The probability of node attaching is assumed to depend linearly on degrees of existing nodes to which new ones are connected. The rule of the network loading allows both deterministic and...

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...