Tobias Preis
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Wild fluctuations in the stock prices and currency exchange rates of every country around the globe in the last few years have thrust econophysics into the limelight. But does a field that involves the application of statistical physics to economics have anything important to contribute to the discussions about the current economic crisis? Yes, absolutely, because finding laws describing fluctuations is the essence of statistical physics.

Research Highlights in Econophysics

  • Complex dynamics of our economic life on different scales: insights from search engine query data

    Tobias Preis, Daniel Reith, and H. Eugene Stanley
    Philosophical Transactions of the Royal Society A 368, 5707-5719 (2010) — We study weekly search volume data for various search terms from 2004 to 2010 that are offered by the search engine Google for scientific use. We ask the question whether there is a link between search volume data and financial market fluctuations on a weekly time scale. We find clear evidence that weekly transaction volumes of S&P 500 companies are correlated with weekly search volume of corresponding company names.


  • Switching Phenomena in a System with No Switches

    Tobias Preis and H. Eugene Stanley
    Journal of Statistical Physics 138, 431-446 (2010) — Analysis of trend switching processes in financial markets. Such switching occurs on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for a few seconds. We find striking scale-free behavior of the volume and inter-trade times after each switching occurs.


  • Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets

    Tobias Preis, Peter Virnau, Wolfgang Paul, and Johannes J. Schneider
    New Journal of Physics 11, 093024 (2009) — The compute unified device architecture is a programming approach for managing computations on a graphics processing unit (GPU). We apply this technology to methods of fluctuation analysis, which includes determination of the scaling behavior of a stochastic process, the equilibrium autocorrelation function, and the pattern formation conformity. Results are obtained up to 84 times faster than on a central processing unit core.


  • Fluctuation patterns in high-frequency financial asset returns

    Tobias Preis, Wolfgang Paul, and Johannes J. Schneider
    Europhysics Letters 82, 68005 (2008) — We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales.


  • Statistical analysis of financial returns for a multiagent order book model of asset trading

    Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider
    Physical Review E 76, 016108 (2007) — We analyze the Order Bool Model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our Order Book Model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails.


  • Multi-agent-based Order Book Model of financial markets

    Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider
    Europhysics Letters 75, 510-516 (2006) — We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to "fat-tailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our Order Book Model.


    Selected Publications in Econophysics and Interdisciplinary Physics in 2004

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    Mattedi A.P., Ramos F.M., Rosa R.R. & Mantegna R.N., Value-at-risk and Tsallis statistics: Risk analysis of the aerospace sector, Physica A 344, 554-561 (2004)

    Duarte Queiros S.M., On the connection between ARCH time series and non-extensive statistical mechanics, Physica A 344, 619-625 (2004)

    Kisiel J., Kowalski S., Popiel E., Ratuszna A., Kozusznik B. & Mielimaka S., Licentiate studies in econophysics at the University of Silesia, Physica A 344, 340-343 (2004)

    Kaizoji T. & Kaizoji M., Power law for ensembles of stock prices, Physica A 344, 240-243 (2004)

    Kaizoji T. & Kaizoji M., A mechanism leading from bubbles to crashes: The case of Japan's land market, Physica A 344, 138-141 (2004)

    Ausloos M., Clippe P., Miskiewicz J. & Pekalski A., A (reactive) lattice-gas approach to economic cycles, Physica A 344, 1-7 (2004)

    Mizuno T., Nakano T., Takayasu M. & Takayasu H., Traders' strategy with price feedbacks in financial market, Physica A 344, 330-334 (2004)

    Aiba Y. & Hatano N., Triangular arbitrage in the foreign exchange market, Physica A 344, 174-177 (2004)

    Mart T. & Surya Y., Statistical properties of the Indonesian Stock Exchange Index, Physica A 344, 198-202 (2004)

    Sabatelli L. & Richmond P., A consensus-based dynamics for market volumes, Physica A 344, 62-66 (2004)

    Gatti D.D., Di Guilmi C., Gaffeo E. & Gallegati M., Bankruptcy as an exit mechanism for systems with a variable number of components, Physica A 344, 8-13 (2004)

    Wichard J.D., Merkwirth C. & Ogorzalek M., Detecting correlation in stock market, Physica A 344, 308-311 (2004)

    Petroni F. & Serva M., Real prices from spot foreign exchange market, Physica A 344, 194-197 (2004)

    Fujiwara Y., Aoyama H., Di Guilmi C., Souma W. & Gallegati M., Gibrat and pareto-zipf revisited with european firms, Physica A 344, 112-116 (2004)

    Gnacinski P. & Makowiec D., Another type of log-periodic oscillations on Polish stock market, Physica A 344, 322-325 (2004)

    Remer R. & Mahnke R., Application of Heston model and its solution to German DAX data, Physica A 344, 236-239 (2004)

    Silva A.C., Prange R.E. & Yakovenko V.M., Exponential distribution of financial returns at mesoscopic time lags: A new stylized fact, Physica A 344, 227-235 (2004)

    Queiros S.M.D., On anomalous distributions in intra-day financial time series and non-extensive statistical mechanics, Physica A 344, 279-283 (2004)

    Repetowicz P. & Richmond P., Modeling share price evolution as a continuous time random walk (CTRW) with non-independent price changes and waiting times, Physica A 344, 108-111 (2004)

    Remer R. & Mahnke R., Stochastic volatility models and their application to german dax data, Fluctuation and Noise Letters 4, - (2004)

    Budaev V.P., Turbulence in magnetized plasmas and financial markets: Comparative study of multifractal statistics, Physica A 344, 299-307 (2004)

    Kim K. & Yoon S.-M., Multifractal features of financial markets, Physica A 344, 272-278 (2004)

    Challet D., Minority mechanisms in models of agents learning collectively a resource level, Physica A 344, 24-29 (2004)

    Ohnishi T., Mizuno T., Aihara K., Takayasu M. & Takayasu H., Statistical properties of the moving average price in dollar-yen exchange rates, Physica A 344, 207-210 (2004)

    Richards G.R., A fractal forecasting model for financial time series, Journal of Forecasting 23, 587-602 (2004)

    McCauley J.L. & Kuffner C.M., Economic system dynamics, Discrete Dynamics in Nature and Society 2004, 213-220 (2004)

    Orlowski A., Struzik Z.R., Syczewska E. & Zaluska-Kotur M.A., Fluctuation dynamics of exchange rates on polish financial market, Physica A 344, 184-189 (2004)

    Rawal S. & Rodgers G.J., Growth and coagulation in a herding model, Physica A 344, 50-55 (2004)

    Urbanowicz K. & Holyst J.A., Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy, Physica A 344, 284-288 (2004)

    Helbing D., Lammer S., Seidel T., Seba P. & Platkowski T., Physics, stability & dynamics of supply networks, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 066116 (2004)

    Cleuren B. & Van Den Broeck C., Optimizing strategies in the primary Parrondo paradox, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 067104 (2004)

    Podobnik B., Ivanov P.Ch., Grosse I., Matia K. & Stanley H.E., ARCH-GARCH approaches to modeling high-frequency financial data, Physica A 344, 216-220 (2004)

    Makowiec D., On modeling of inefficient market, Physica A 344, 36-40 (2004)

    Carbone A., Castelli G. & Stanley H.E., Time-dependent Hurst exponent in financial time series, Physica A 344, 267-271 (2004)

    Burda Z. & Jurkiewicz J., Signal and noise in financial correlation matrices, Physica A 344, 67-72 (2004)

    Skornik-Pokarowska U. & Orlowski A., Application of the ultrametric distance to portfolio taxonomy. Critical approach and comparison with other methods, Physica A 344, 81-86 (2004)

    Westerhoff F.H., Greed, fear and stock market dynamics, Physica A 343, 635-642 (2004)

    Gontis V. & Kaulakys B., Multiplicative point process as a model of trading activity, Physica A 343, 505-514 (2004)

    Ishikawa A. & Suzuki T., Relations between a typical scale and averages in the breaking of fractal distribution, Physica A 343, 376-392 (2004)

    Kaizoji T., Inflation and deflation in financial markets, Physica A 343, 662-668 (2004)

    Repetowicz P. & Richmond P., Modeling of waiting times and price changes in currency exchange data, Physica A 343, 677-693 (2004)

    Miekisz J., Stochastic stability in spatial three-player games, Physica A 343, 175-184 (2004)

    Eisler Z. & Kertesz J., Multifractal model of asset returns with leverage effect, Physica A 343, 603-622 (2004)

    Burda Z., Jurkiewicz J., Nowak M.A., Papp G. & Zahed T., Free Levy matrices and financial correlations, Physica A 343, 694-700 (2004)

    Burda Z., Gorlich A., Jarosz A. & Jurkiewicz J., Signal and noise in correlation matrix, Physica A 343, 295-310 (2004)

    Zheng B., Ren F., Trimper S. & Zheng D.F., A generalized dynamic herding model with feed-back interactions, Physica A 343, 653-661 (2004)

    Matos J.A.O., Gama S.M.A., Ruskin H.J. & Duarte J.A.M.S., An econophysics approach to the Portuguese Stock Index - PSI-20, Physica A 342, 665-676 (2004)

    Klonowski W., Olejarczyk E. & Stepien R., 'Epileptic seizures' in economic organism, Physica A 342, 701-707 (2004)

    Leonidov A., Long memory in stock trading, International Journal of Theoretical and Applied Finance 7, 879-885 (2004)

    Darooneh A.H., Non-life insurance pricing: Multi-agent model, European Physical Journal B 42, 119-122 (2004)

    Karpinska J., Malarz K. & Kulakowski K., How pairs of partners emerge in an initially fully connected society, International Journal of Modern Physics C 15, 1227-1233 (2004)

    Montero M., Partial derivative approach for option pricing in a simple stochastic volatility model, European Physical Journal B 42, 141-153 (2004)

    Sinha S. & Raghavendra S., Hollywood blockbusters and long-tailed distributions: An empirical study of the popularity of movies, European Physical Journal B 42, 293-296 (2004)

    Lo T.S., Chan H.Y., Hui P.M. & Johnson N.F., Theory of networked minority games based on strategy pattern dynamics, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 056102 (2004)

    Goldenberg J., Libai B., Louzoun Y., Mazursky D. & Solomon S., Inevitably reborn: The reawakening of extinct innovations, Technological Forecasting and Social Change 71, 881-896 (2004)

    Field T., Harder U. & Harrison P., Network traffic behaviour in switched Ethernet systems, Performance Evaluation 58, 243-260 (2004)

    Boitout N. & Ureche-Rangau L., Towards a multifractal paradigm of stochastic volatility?, International Journal of Theoretical and Applied Finance 7, 823-851 (2004)

    Kimura M., Saito K. & Ueda N., Modeling share dynamics by extracting competition structure, Physica D 198, 51-73 (2004)

    Miekisz J., Statistical mechanics of spatial evolutionary games, Journal of Physics A 37, 9891-9906 (2004)

    Gleria I., Figueiredo A., Matsushita R., Rathie P. & Da Silva S., Exponentially damped Levy flights, multiscaling and slow convergence in stockmarkets, Physica A 342, 200-206 (2004)

    Iglesias J.R., Goncalves S., Abramson G. & Vega J.L., Correlation between risk aversion and wealth distribution, Physica A 342, 186-192 (2004)

    Pianegonda S. & Iglesias J.R., Inequalities of wealth distribution in a conservative economy, Physica A 342, 193-199 (2004)

    Bertram W.K., An empirical investigation of Australian Stock Exchange data, Physica A 341, 533-546 (2004)

    Miekisz J., Stochastic stability in spatial games, Journal of Statistical Physics 117, 99-110 (2004)

    Kim K., Yoon S.-M. & Kim Y., Herd behaviors in the stock and foreign exchange markets, Physica A 341, 526-532 (2004)

    Hatamian S.T., Diagrammatic computation of the random flight motion, Physica A 341, 401-432 (2004)

    Jensen M.H., Johansen A., Petroni F. & Simonsen I., Inverse statistics in the foreign exchange market, Physica A 340, 678-684 (2004)

    Ruttor A., Reents G. & Kinzel W., Synchronization of random walks with reflecting boundaries, Journal of Physics A 37, 8609-8618 (2004)

    Gligor M., An empirical study on the statistical properties of Romanian emerging stock market RASDAQ, International Journal of Theoretical and Applied Finance 7, 723-739 (2004)

    Westerhoff F.H., Market depth and price dynamics: A note, International Journal of Modern Physics C 15, 1005-1012 (2004)

    Han D.-D., Liu J.-G., Ma Y.-G., Cai X.-Z. & Shen W.-Q., Scale-free download network for publications, Chinese Physics Letters 21, 1855-1857 (2004)

    Patriarca M., Chakraborti A. & Kaski K., Gibbs versus non-Gibbs distributions in money dynamics, Physica A 340, 334-339 (2004)

    Amaya M., Sosa E., Romero J.M., Alvarez-Ramirez J., Meraz M. & Puebla H., Multifractality in an electrochemical noise signal by a biocorrosion system, Fractals 12, 347-354 (2004)

    Pan C.P., Zheng B., Wu Y.Z., Wang Y. & Tang X.W., Detrended fluctuation analysis of human brain electroencephalogram, Physics Letters, Section A 329, 130-135 (2004)

    Ausloos M., Miskiewicz J. & Sanglier M., The durations of recession and prosperity: Does their distribution follow a power or an exponential law?, Physica A 339, 548-558 (2004)

    Caridi I. & Ceva H., The minority game with interactions, Physica A 339, 574-582 (2004)

    Inaoka H., Takayasu H., Shimizu T., Ninomiya T. & Taniguchi K., Self-similarity of banking network, Physica A 339, 621-634 (2004)

    Dubovikov M.M., Starchenko N.V. & Dubovikov M.S., Dimension of the minimal cover and fractal analysis of time series, Physica A 339, 591-608 (2004)

    Argollo De Menezes M. & Barabasi A.-L., Separating internal and external dynamics of complex systems, Physical Review Letters 93, 068701 (2004)

    Metzler R. & Klafter J., The restaurant at the end of the random walk: Recent developments in the description of anomalous transport by fractional dynamics, Journal of Physics A 37, - (2004)

    Maslov V.P., Integral equations and phase transitions in stochastic games. An analogy with statistical physics, Theory of Probability and its Applications 48, 359-367 (2004)

    Di Matteo T., Aste T. & Mantegna R.N., An interest rates cluster analysis, Physica A 339, 181-188 (2004)

    Di Matteo T., Airoldi M. & Scalas E., On pricing of interest rate derivatives, Physica A 339, 189-196 (2004)

    Boguna M. & Masoliver J., Conditional dynamics driving financial markets, European Physical Journal B 40, 347-352 (2004)

    Farmer J.D., Gillemot L., Lillo F., Mike S. & Sen A., What really causes large price changes?, Quantitative Finance 4, 383-397 (2004)

    De Martino A., Giardina I., Tedeschi A. & Marsili M., Generalized minority games with adaptive trend-followers and contrarians, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 025104 (2004)

    Ma W.-J., Hu C.-K. & Amritkar R.E., Stochastic dynamical model for stock-stock correlations, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 026101 (2004)

    Singh R. & Raj B., Classification in likelihood spaces, Technometrics 46, 318-329 (2004)

    Field A.J., Harder U. & Harrison P.G., Measurement and modelling of self-similar traffic in computer networks, IEE Proceedings 151, 355-363 (2004)

    Utsugi A., Ino K. & Oshikawa M., Random matrix theory analysis of cross correlations in financial markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 026110 (2004)

    Mills T.C., Statistical analysis of daily gold price data, Physica A 338, 559-566 (2004)

    Clark A., Evidence of log-periodicity in corporate bond spreads, Physica A 338, 585-595 (2004)

    Bernabe A., Martina E., Alvarez-Ramirez J. & Ibarra-Valdez C., A multi-model approach for describing crude oil price dynamics, Physica A 338, 567-584 (2004)

    Morelli M.J., Montagna G., Nicrosini O., Treccani M., Farina M. & Amato P., Pricing financial derivatives with neural networks, Physica A 338, 160-165 (2004)

    Garlaschelli D. & Loffredo M.I., Wealth dynamics on complex networks, Physica A 338, 113-118 (2004)

    Lillo F. & Mantegna R.N., Dynamics of a financial market index after a crash, Physica A 338, 125-134 (2004)

    Quan H.-J., Hui P.M., Xu C. & Yip K.F., Evolutionary minority game wtih multiple options, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 016119 (2004)

    Hod S. & Keshet U., Phase transition in random walks with long-range correlations, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 70, 015104 (2004)

    Palma W. & Zevallos M., Analysis of the correlation structure of square time series, Journal of Time Series Analysis 25, 529-550 (2004)

    Chen Q., Wang Y., Liu J.-T. & Wang K.-L., N-player quantum minority game, Physics Letters, Section A 327, 98-102 (2004)

    Gzyl H. & Villasana M., A perturbative approach for reconstructing diffusion coefficients, Applied Mathematics and Computation 154, 1-15 (2004)

    Scafetta N., Picozzi S. & West B.J., A trade-investment model for distribution of wealth, Physica D 193, 338-352 (2004)

    Zhou W.-X. & Sornette D., Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000, Physica A 337, 586-608 (2004)

    Niwa H.-S., Space-irrelevant scaling law for fish school sizes, Journal of Theoretical Biology 228, 347-357 (2004)

    Ramirez-Rojas A., Pavia-Miller C.G. & Angulo-Brown F., Statistical behavior of the spectral exponent and the correlation time of electric self-potential time series associated to the Ms=7.4 September 14, 1995 earthquake in Mexico, Physics and Chemistry of the Earth 29, 305-312 (2004)

    Maslov V.P., Nonlinear financial averaging, the evolution process & laws of econophysics, Theory of Probability and its Applications 49, 221-244 (2004)

    Fujiwara Y., Zipf law in firms bankruptcy, Physica A 337, 219-230 (2004)

    Ausloos M., Clippe P. & Pekalski A., Model of macroeconomic evolution in stable regionally dependent economic fields, Physica A 337, 269-287 (2004)

    Suzuki T., Ikeguchi T. & Suzuki M., A model of complex behavior of interbank exchange markets, Physica A 337, 196-218 (2004)

    Zhou W.-X. & Sornette D., Antibubble and prediction of China's stock market and real-estate, Physica A 337, 243-268 (2004)

    Hod S. & Nakar E., Evolutionary minority game: The roles of response time and mutation threshold, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 69, 066122 (2004)

    Toyli J., Sysi-Aho M. & Kaski K., Models of asset returns: Changes of pattern from high to low event frequency, Quantitative Finance 4, 373-382 (2004)

    Delli Gatti D., Di Guilmi C., Gaffeo E., Giulioni G., Gallegati M. & Palestrini A., Business cycle fluctuations and firms' size distribution dynamics, Advances in Complex Systems 7, 223-240 (2004)

    Bartiromo R., Dynamics of stock prices, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 69, 067108 (2004)

    Figueiredo A., Gleria I., Matsushita R. & Da Silva S., Autocorrelation and the sum of stochastic variables, Physics Letters, Section A 326, 166-170 (2004)

    Kaizoji T. & Kaizoji M., Power law for the calm-time interval of price changes, Physica A 336, 563-570 (2004)

    Ausloos M., Ivanova K. & Siwy Z., Searching for self-similarity in switching time and turbulent cascades in ion transport through a biochannel. A time delay asymmetry, Physica A 336, 319-333 (2004)

    Cajueiro D.O. & Tabak B.M., The Hurst exponent over time: Testing the assertion that emerging markets are becoming more efficient, Physica A 336, 521-537 (2004)

    Pushkin D.O. & Aref H., Bank mergers as scale-free coagulation, Physica A 336, 571-584 (2004)

    Sokolov I.M., Chechkin A.V. & Klafter J., Fractional diffusion equation for a power-law-truncated Levy process, Physica A 336, 245-251 (2004)

    Parish L.M., Worrell G.A., Cranstoun S.D., Stead S.M., Pennell P. & Litt B., Long-range temporal correlations in epileptogenic and non-epileptogenic human hippocampus, Neuroscience 125, 1069-1076 (2004)

    Stauffer D., Introduction to statistical physics outside physics, Physica A 336, 1-5 (2004)

    Grech D. & Mazur Z., Can one make any crash prediction in finance using the local Hurst exponent idea?, Physica A 336, 133-145 (2004)

    Miskiewicz J. & Ausloos M., A logistic map approach to economic cycles. (I). The best adapted companies, Physica A 336, 206-214 (2004)

    Weron R., Bierbrauer M. & Truck S., Modeling electricity prices: Jump diffusion and regime switching, Physica A 336, 39-48 (2004)

    Broszkiewicz-Suwaj E., Makagon A., Weron R. & Wylomanska A., On detecting and modeling periodic correlation in financial data, Physica A 336, 196-205 (2004)

    Ohtsuki T., Fujihara A. & Yamamoto H., Effects of randomness on power law tails in multiplicatively interacting stochastic processes, Physics Letters, Section A 324, 378-382 (2004)

    Anazawa M., Ishikawa A., Suzuki T. & Tomoyose M., Fractal structure with a typical scale, Physica A 335, 616-628 (2004)

    Sharifi S., Crane M., Shamaie A. & Ruskin H., Random matrix theory for portfolio optimization: A stability approach, Physica A 335, 629-643 (2004)

    Fujiwara Y., Di Guilmi C., Aoyama H., Gallegati M. & Souma W., Do Pareto-Zipf and Gibrat laws hold true? An analysis with European firms, Physica A 335, 197-216 (2004)

    Chatterjee A., Chakrabarti B.K. & Manna S.S., Pareto law in a kinetic model of market with random saving propensity, Physica A 335, 155-163 (2004)

    Li Y. & Savit R., Toward a theory of local resource competition: The minority game with private information, Physica A 335, 217-239 (2004)

    Kaizoji T., Intermittent chaos in a model of financial markets with heterogeneous agents, Chaos, Solitons and Fractals 20, 323-327 (2004)

    Bouchaud J.-P., Gefen Y., Potters M. & Wyart M., Fluctuations and response in financial markets: The subtle nature of 'random' price changes, Quantitative Finance 4, 176-190 (2004)

    Chen H., Sun X., Wu Z. & Wang B., Enlightenment from various conditional probabilities about Hang Seng index in Hong Kong stock market, Physica A 335, 183-196 (2004)

    Volman V., Baruchi I., Persi E. & Ben-Jacob E., Generative modelling of regulated dynamical behavior in cultured neuronal networks, Physica A 335, 249-278 (2004)

    Lehnert T. & Wolff C.C.P., Scale-consistent Value-at-Risk, Finance Research Letters 1, 127-134 (2004)

    Wang H. & Pandey R.B., Momentum analysis of DJI stocks near sharp rise, crash & consolidation, Physica A 334, 524-530 (2004)

    Borges E.P., Empirical nonextensive laws for the county distribution of total personal income and gross domestic product, Physica A 334, 255-266 (2004)

    Bonanno G., Caldarelli G., Lillo F., Micciche S., Vandewalle N. & Mantegna R.N., Networks of equities in financial markets, European Physical Journal B 38, 363-371 (2004)

    Di Guilmi C., Gallegati M. & Ormerod P., Scaling invariant distributions of firms' exit in OECD countries, Physica A 334, 267-273 (2004)

    Battiston S. & Catanzaro M., Statistical properties of corporate board and director networks, European Physical Journal B 38, 345-352 (2004)

    Banavar J.R., De Los Rios P., Flammini A., Holter N.S. & Maritan A., Scale-free behavior and universality in random fragmentation and aggregation, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 69, 036123 (2004)

    Barabasi A.-L., De Menezes M.A., Balensiefer S. & Brockman J., Hot spots and universality in network dynamics, European Physical Journal B 38, 169-175 (2004)

    Tadic B., Thurner S. & Rodgers G.J., Traffic on complex networks: Towards understanding global statistical properties from microscopic density fluctuations, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 69, 036102 (2004)

    Parrondo J.M.R. & Dinis L., Brownian motion and gambling: From ratchets to paradoxical games, Contemporary Physics 45, 147-157 (2004)

    Krause A., Predicting crashes in a model of evolving networks, Complexity 9, 24-30 (2004)

    Perello J., Masoliver J. & Bouchaud J.-P., Multiple time scales in volatility and leverage correlations: A stochastic volatility model, Applied Mathematical Finance 11, 27-50 (2004)

    Balankin A.S., Matamoros O.M., Ernesto G.M. & Alfonso P.A., Crossover from antipersistent to persistent behavior in time series possessing the generalyzed dynamic scaling law, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 69, 036121 (2004)

    Hawkins R.J. & Frieden B.R., Fisher information and equilibrium distributions in econophysics, Physics Letters, Section A 322, 126-130 (2004)

    Liu X., Liang X. & Tang B., Minority game and anomalies in financial markets, Physica A 333, 343-352 (2004)

    Razdan A., Wavelet correlation coefficient of 'strongly correlated' time series, Physica A 333, 335-342 (2004)

    Zhuang X.-T., Huang X.-Y. & Sha Y.-L., Research on the fractal structure in the Chinese stock market, Physica A 333, 293-305 (2004)

    Di Guilmi C., Gaffeo E. & Gallegati M., Empirical results on the size distribution of business cycle phases, Physica A 333, 325-334 (2004)

    Selcuk F., Financial earthquakes, aftershocks and scaling in emerging stock markets, Physica A 333, 306-316 (2004)

    Matsushita R., Gleria I., Figueiredo A., Rathie P. & Da Silva S., Exponentially damped Levy flights, multiscaling & exchange rates, Physica A 333, 353-369 (2004)

    Takahashi H., Ehrenfest model with large jumps in finance, Physica D 189, 61-69 (2004)

    Trimper S. & Zabrocki K., Delay-controlled reactions, Physics Letters, Section A 321, 205-215 (2004)

    Mizuno T., Takayasu M. & Takayasu H., The mean-field approximation model of company's income growth, Physica A 332, 403-411 (2004)

    Ausloos M., Clippe P. & Pekalski A., Evolution of economic entities under heterogeneous political/environmental conditions within a Bak-Sneppen-like dynamics, Physica A 332, 394-402 (2004)

    Kamimura A., Guerra S.M.G. & Sauer I.L., Looking for non-linear relation evidences between Brazilian gross domestic product (GDP) and fixed capital stock (K), Physica A 332, 461-468 (2004)

    Chau H.F., Chow F.K. & Ho K.H., Minority game with peer pressure, Physica A 332, 483-495 (2004)

    Challet D., Marsili M. & Ottino G., Shedding light on El Farol, Physica A 332, 469-482 (2004)

    Ho D.-S., Lee C.-K., Wang C.-C. & Chuang M., Scaling characteristics in the Taiwan stock market, Physica A 332, 448-460 (2004)

    Malevergne Y. & Sornette D., Collective origin of the coexistence of apparent random matrix theory noise and of factors in large sample correlation matrices, Physica A 331, 660-668 (2004)

    Wang H. & Pandey R.B., A momentum trading approach to technical analysis of Dow Jones industrials, Physica A 331, 639-650 (2004)

    Antoniou I., Ivanov Vi.V., Ivanov Va.V. & Zrelov P.V., On the log-normal distribution of stock market data, Physica A 331, 617-638 (2004)

    Eliazar I., Doubling an investment, Physica A 331, 240-252 (2004)

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  • Contact Addresses:
    — Center for Polymer Studies, Department of Physics, Boston University, 590 Commonwealth Avenue, Boston, MA 02215, USA —
    — ETH Zurich, Chair of Sociology, in particular of Modeling and Simulation, CLU E 5, Clausiusstr. 50, 8092 Zurich, Switzerland —
    — Artemis Capital Asset Management GmbH, Gartenstr. 14, D-65558 Holzheim, Germany —
    Last update on 24 June 2011