The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similar to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling...

This paper investigates the statistical behaviour of high-frequency index data from the Athens Stock Exchange. We find that 1min observations on the General Index of the Main Market for the three month period from 1 June 1998 to 10 September 1998 are characterised by very short run persistence...

This paper investigates the statistical behaviour of daily gold price data from 1971 to 2002. We find that the observations are characterised by short run persistence and scaling with a break point of 15 days, i.e., three working weeks. Daily returns are highly leptokurtic, with multi-period...

Large populations of oscillatory units distributed densely and uniformly in a diffusive medium exhibit turbulence with multi-scaling properties similar to fully developed fluid turbulence. Unlike the latter, however, the scaling exponents are parameter-dependent, and there exists a critical...

It is well documented that strong intraday seasonalities may induce distortions in the estimation of volatility models. These seasonalities are also the dominant source for the underlying misspecifications of the various volatility models. Therefore, an obvious route is to filter out the...

The Cont–Bouchaud percolation model is one of the simplest microsimulation models yet able to account for the main stylized fact of financial markets, e.g. fat tails of the histogram of log-returns. In the present paper we show that for a certain range of the parameters it is possible to...

We use a simple model where traders submit limit orders which are cleared in a double auction market. The limit prices are set by traders randomly, for buyers around a long-term trend and for sellers in a narrow band around their purchase price. Orders which are not filled within a specific time...

In this paper, we investigate the scaling properties of foreign exchange volatility. Our methodology is based on a wavelet multi-scaling approach which decomposes the variance of a time series and the covariance between two time series on a scale by scale basis through the application of a...

A variety of scale-free networks have been created since the pioneer work by Barabási and Albert [Science 286 (1999) 509]. Most of these models are homogeneous since they are composed of the same kind of nodes. In the realistic world, however, elements (nodes or vertices) in the network may...

The author argues that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be built on biology, and, in particular, on neuroscience. In contrast, macroeconomics could benefit from rationalizations of aggregate economic phenomena by non-equilibrium statistical...