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 2007

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    Figueiredo A., Matsushita R., daSilva S., Serva M., Viswanathan G.M., Nascimento C. & Gleria I., The Levy sections theorem: An application to econophysics, Physica A 386, 756-759 (2007)

    Baldovin F. & Stella A.L., Scaling and efficiency determine the irreversible evolution of a market, Proceedings of the National Academy of Sciences of the United States of America 104, 19741-19744 (2007)

    Bogachev M.I., Eichner J.F. & Bunde A., Effect of nonlinear correlations on the statistics of return intervals in multifractal data sets, Physical Review Letters 99, 240601 (2007)

    Takahashi T., A probabilistic choice model based on Tsallis' statistics, Physica A 386, 335-338 (2007)

    Fernandez V., A postcard from the past: The behavior of U.S. stock markets during 1871-1938, Physica A 386, 267-282 (2007)

    Leonidov A., Trainin V., Zaitsev A. & Zaitsev S., Market mill dependence pattern in the stock market: Modeling of predictability and asymmetry via multi-component conditional distribution, Physica A 386, 240-252 (2007)

    Schmidt J.C., Knowledge Politics of Interdisciplinarity: Specifying the type of interdisciplinarity in the NSF's NBIC scenario, Innovation 20, 313-328 (2007)

    Andriani P. & McKelvey B., Beyond Gaussian averages: Redirecting international business and management research toward extreme events and power laws, Journal of International Business Studies 38, 1212-1230 (2007)

    Eliazar I., Lorenzian analysis of infinite Poissonian populations and the phenomena of Paretian ubiquity, Physica A 386, 318-334 (2007)

    Cortines A.A.G., Riera R. & Anteneodo C., From short to fat tails in financial markets: A unified description, European Physical Journal B 60, 385-389 (2007)

    Lim G., Yong Kim S., Kim K., Lee D.-I. & Park S.-B., Dynamical mechanism of two-phase phenomena in financial markets, Physica A 386, 253-258 (2007)

    Bagarello F., Stock markets and quantum dynamics: A second quantized description, Physica A 386, 283-302 (2007)

    Balankin A.S., Dynamic scaling approach to study time series fluctuations, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 056120 (2007)

    Lucheroni C., Resonating models for the electric power market, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 056116 (2007)

    Takahashi T., A comparison of intertemporal choices for oneself versus someone else based on Tsallis' statistics, Physica A 385, 637-644 (2007)

    Farahpour F., Eskandari Z., Bahraminasab A., Jafari G.R., Ghasemi F., Sahimi M. & Reza Rahimi Tabar M., A Langevin equation for the rates of currency exchange based on the Markov analysis, Physica A 385, 601-608 (2007)

    Kang S.H. & Yoon S.-M., Long memory properties in return and volatility: Evidence from the Korean stock market, Physica A 385, 591-600 (2007)

    Serletis A. & Uritskaya O.Y., Detecting signatures of stochastic self-organization in US money and velocity measures, Physica A 385, 281-291 (2007)

    Chatterjee A. & Chakrabarti B.K., Kinetic exchange models for income and wealth distributions, European Physical Journal B 60, 135-149 (2007)

    Garibaldi U., Scalas E. & Viarengo P., Statistical equilibrium in simple exchange games II. the redistribution game, European Physical Journal B 60, 241-246 (2007)

    Kulkarni V. & Deo N., Correlation and volatility in an Indian stock market: A random matrix approach, European Physical Journal B 60, 101-109 (2007)

    O'Doherty D.P., The question of theoretical excess: Folly and fall in theorizing organization, Organization 14, 837-867 (2007)

    Brida J.G. & Risso W.A., Dynamics and structure of the main Italian companies, International Journal of Modern Physics C 18, 1783-1793 (2007)

    Werner B.T. & McNamara D.E., Dynamics of coupled human-landscape systems, Geomorphology 91, 393-407 (2007)

    Bierbrauer M., Menn C., Rachev S.T. & Truck S., Spot and derivative pricing in the EEX power market, Journal of Banking and Finance 31, 3462-3485 (2007)

    Varga-Haszonits I. & Kondor I., Noise sensitivity of portfolio selection in constant conditional correlation GARCH models, Physica A 385, 307-318 (2007)

    Queiros S.M.D., Are all highly liquid securities within the same class?, European Physical Journal B 60, 265-269 (2007)

    Duarte Queiros S.M., On a generalised model for time-dependent variance with long-term memory, EPL 80, 30005 (2007)

    Pan R.K. & Sinha S., Collective behavior of stock price movements in an emerging market, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 046116 (2007)

    Ali Saif M. & Gade P.M., Emergence of power-law in a market with mixed models, Physica A 384, 448-456 (2007)

    Urbanowicz K., Richmond P. & Holyst J.A., Risk evaluation with enhanced covariance matrix, Physica A 384, 468-474 (2007)

    Beecham J.A. & Engelhard G.H., Ideal free distribution or dynamic game? An agent-based simulation study of trawling strategies with varying information, Physica A 384, 628-646 (2007)

    During B. & Toscani G., Hydrodynamics from kinetic models of conservative economies, Physica A 384, 493-506 (2007)

    Plerou V. & Stanley H.E., Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 046109 (2007)

    Perc M., Flights towards defection in economic transactions, Economics Letters 97, 58-63 (2007)

    Mayzelis Z.A., Apostolov S.S., Melnyk S.S., Usatenko O.V. & Yampol'skii V.A., Additive N-step Markov chains as prototype model of symbolic stochastic dynamical systems with long-range correlations, Chaos, Solitons and Fractals 34, 112-128 (2007)

    Pluchino A., Rapisarda A. & Tsallis C., Nonergodicity and central-limit behavior for long-range Hamiltonians, EPL 80, 26002 (2007)

    Holman E.W., Schulze C., Stauffer D. & Wichmann S., On the relation between structural diversity and geographical distance among languages: Observations and computer simulations, Linguistic Typology 11, 393-421 (2007)

    Fortunato S. & Castellano C., Scaling and universality in proportional elections, Physical Review Letters 99, 138701 (2007)

    Tumminello M., Lillo F. & Mantegna R.N., Kullback-Leibler distance as a measure of the information filtered from multivariate data, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 031123 (2007)

    Gu G.-F. & Zhou W.-X., Statistical properties of daily ensemble variables in the Chinese stock markets, Physica A 383, 497-506 (2007)

    Fujita Y., Toward a new modeling of international economics: An attempt to reformulate an international trade model based on real option theory, Physica A 383, 507-512 (2007)

    Schafer R., Sjolin M., Sundin A., Wolanski M. & Guhr T., Credit risk-A structural model with jumps and correlations, Physica A 383, 533-569 (2007)

    Guevara Hidalgo E., Quantum games entropy, Physica A 383, 797-804 (2007)

    Perello J., Downside Risk analysis applied to the Hedge Funds universe, Physica A 383, 480-496 (2007)

    LaViolette R.A., Ellebracht L.A. & Gieseler C.J., Limits on relief through constrained exchange on random graphs, Physica A 383, 671-676 (2007)

    Kleinert H. & Chen X.J., Boltzmann distribution and market temperature, Physica A 383, 513-518 (2007)

    Lee K.E. & Lee J.W., Probability distribution function and multiscaling properties in the Korean stock market, Physica A 383, 65-70 (2007)

    Politi M. & Scalas E., Activity spectrum from waiting-time distribution, Physica A 383, 43-48 (2007)

    Ueno H., Mizuno T. & Takayasu M., Analysis of Japanese banks' historical tree diagram, Physica A 383, 164-168 (2007)

    Eom C., Oh G. & Kim S., Deterministic factors of stock networks based on cross-correlation in financial market, Physica A 383, 139-146 (2007)

    Nakamura T. & Small M., Correlation structures in short-term variabilities of stock indices and exchange rates, Physica A 383, 96-101 (2007)

    Ishikawa A., The uniqueness of firm size distribution function from tent-shaped growth rate distribution, Physica A 383, 79-84 (2007)

    Mazzitello K.I., Candia J. & Dossetti V., Effects of mass media and cultural drift in a model for social influence, International Journal of Modern Physics C 18, 1475-1482 (2007)

    Watanabe K., Takayasu H. & Takayasu M., A mathematical definition of the financial bubbles and crashes, Physica A 383, 120-124 (2007)

    Sazuka N. & Inoue J.-i., Fluctuations in time intervals of financial data from the view point of the Gini index, Physica A 383, 49-53 (2007)

    Hayashi K., Kaizoji T. & Pichl L., Correlation patterns of NIKKEI index constituents. Towards a mean-field model, Physica A 383, 16-21 (2007)

    Eggenhoffner R., Celasco E. & Celasco M., Avalanche correlation in power spectra with wide peaks, Fluctuation and Noise Letters 7, - (2007)

    Gandolfi G., Sabatini A. & Rossolini M., PID feedback controller used as a tactical asset allocation technique: The G.A.M. model, Physica A 383, 71-78 (2007)

    Duarte Queiros S.M. & Moyano L.G., Yet on statistical properties of traded volume: Correlation and mutual information at different value magnitudes, Physica A 383, 10-15 (2007)

    Tanaka-Yamawaki M. & Tokuoka S., Adaptive use of technical indicators for the prediction of intra-day stock prices, Physica A 383, 125-133 (2007)

    Matsushita R., Gleria I., Figueiredo A. & Da Silva S., Are pound and euro the same currency?, Physics Letters, Section A 368, 173-180 (2007)

    Inoue J.-I. & Sazuka N., Crossover between Levy and Gaussian regimes in first-passage processes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 021111 (2007)

    Sun L.-J. & Gao Z.-Y., An equilibrium model for urban transit assignment based on game theory, European Journal of Operational Research 181, 305-314 (2007)

    Ataullah A. & Tippett M., Equity prices as a simple harmonic oscillator with noise, Physica A 382, 557-564 (2007)

    Lim G., Kim S., Scalas E. & Kim K., Volatilities, traded volumes & the hypothesis of price increments in derivative securities, Physica A 382, 577-585 (2007)

    Ben-Naim E. & Hengartner N.W., Efficiency of competitions, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 026106 (2007)

    Borghesi C., Marsili M. & Micciche S., Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 026104 (2007)

    Dobson I., Carreras B.A., Lynch V.E. & Newman D.E., Complex systems analysis of series of blackouts: Cascading failure, critical points & self-organization, Chaos 17, 026103 (2007)

    Carbone A., Kaniadakis G. & Scarfone A.M., Where do we stand on econophysics?, Physica A 382, - (2007)

    Scarfone A.M., A mechanism to derive multi-power law functions: An application in the econophysics framework, Physica A 382, 271-277 (2007)

    Defilla S., A natural value unit-Econophysics as arbiter between finance and economics, Physica A 382, 42-51 (2007)

    Gabaix X., Gopikrishnan P., Plerou V. & Stanley H.E., A unified econophysics explanation for the power-law exponents of stock market activity, Physica A 382, 81-88 (2007)

    Ikeda Y., Aoyama H., Iyetomi H., Fujiwara Y., Souma W. & Kaizoji T., Response of firm agent network to exogenous shock, Physica A 382, 138-148 (2007)

    Villarroel J., Stochastic model for market stocks with floors, Physica A 382, 321-329 (2007)

    Eisler Z. & Kertesz J., The dynamics of traded value revisited, Physica A 382, 66-72 (2007)

    Ausloos M. & Lambiotte R., Clusters or networks of economies? A macroeconomy study through Gross Domestic Product, Physica A 382, 16-21 (2007)

    Ao P., Boltzmann-Gibbs distribution of fortune and broken time reversible symmetry in econodynamics, Communications in Nonlinear Science and Numerical Simulation 12, 619-626 (2007)

    Valenti D., Spagnolo B. & Bonanno G., Hitting time distributions in financial markets, Physica A 382, 311-320 (2007)

    Horvath D. & Kuscsik Z., Structurally dynamic spin market networks, International Journal of Modern Physics C 18, 1361-1374 (2007)

    Healy J.V., Dixon M., Read B.J. & Cai F.F., Non-parametric extraction of implied asset price distributions, Physica A 382, 121-128 (2007)

    Maskawa J.-i., Stock price fluctuations and the mimetic behaviors of traders, Physica A 382, 172-178 (2007)

    Piotrowski E.W. & Sladkowski J., Geometry of financial markets-Towards information theory model of markets, Physica A 382, 228-234 (2007)

    Miskiewicz J. & Ausloos M., Delayed information flow effect in economy systems. An ACP model study, Physica A 382, 179-186 (2007)

    Nawroth A.P. & Peinke J., Medium and small-scale analysis of financial data, Physica A 382, 193-198 (2007)

    Naylor M.J., Rose L.C. & Moyle B.J., Topology of foreign exchange markets using hierarchical structure methods, Physica A 382, 199-208 (2007)

    Chatterjee A. & Chakrabarti B.K., Ideal-gas-like market models with savings: Quenched and annealed cases, Physica A 382, 36-41 (2007)

    Stanley H.E., Gabaix X., Gopikrishnan P. & Plerou V., Economic fluctuations and statistical physics: Quantifying extremely rare and less rare events in finance, Physica A 382, 286-301 (2007)

    Watanabe K., Takayasu H. & Takayasu M., Extracting the exponential behaviors in the market data, Physica A 382, 336-339 (2007)

    Mizuno T., Takayasu H. & Takayasu M., Analysis of price diffusion in financial markets using PUCK model, Physica A 382, 187-192 (2007)

    Sato A.-H., Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach, Physica A 382, 258-270 (2007)

    Drozdz S., Gorski A.Z. & Kwapien J., World currency exchange rate cross-correlations, European Physical Journal B 58, 499-502 (2007)

    Gaffeo E., Catalano M., Clementi F., Delli Gatti D., Gallegati M. & Russo A., Reflections on modern macroeconomics: Can we travel along a safer road?, Physica A 382, 89-97 (2007)

    Arianos S. & Carbone A., Detrending moving average algorithm: A closed-form approximation of the scaling law, Physica A 382, 9-15 (2007)

    Jones B.D. & Breunig C., Noah and Joseph effects in government budgets: Analyzing long-term memory, Policy Studies Journal 35, 329-348 (2007)

    Yamada K., Takayasu H. & Takayasu M., Characterization of foreign exchange market using the threshold-dealer-model, Physica A 382, 340-346 (2007)

    Alfi V., De Martino A., Pietronero L. & Tedeschi A., Detecting the traders' strategies in minority-majority games and real stock-prices, Physica A 382, 1-8 (2007)

    Manchanda P., Kumar J. & Siddiqi A.H., Mathematical methods for modelling price fluctuations of financial times series, Journal of the Franklin Institute 344, 613-636 (2007)

    Challet D., The demise of constant price impact functions and single-time step models of speculation, Physica A 382, 29-35 (2007)

    Dibeh G., Contagion effects in a chartist-fundamentalist model with time delays, Physica A 382, 52-57 (2007)

    Choustova O., Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach, Theoretical and Mathematical Physics 152, 1213-1222 (2007)

    Oh G., Kim S. & Eom C., Market efficiency in foreign exchange markets, Physica A 382, 209-212 (2007)

    Jagric T., Strasek S., Spes N. & Jagric V., Is there a random character in a stock market? Some evidence from a small emerging market, International Journal of Management and Enterprise Development 4, 652-673 (2007)

    Preis T., Golke S., Paul W. & Schneider J.J., Statistical analysis of financial returns for a multiagent order book model of asset trading, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 76, 016108 (2007)

    Takahashi T., Oono H. & Radford M.H.B., Empirical estimation of consistency parameter in intertemporal choice based on Tsallis' statistics, Physica A 381, 338-342 (2007)

    Suzuki T., Ikeguchi T. & Suzuki M., Algorithms for generating surrogate data for sparsely quantized time series, Physica D 231, 108-115 (2007)

    Jiang Z.-Q. & Zhou W.-X., Scale invariant distribution and multifractality of volatility multipliers in stock markets, Physica A 381, 343-350 (2007)

    Govindan T.E., Ibarra-Valdez C. & Ruiz de Chavez J., A dynamical stochastic coupled model for financial markets, Physica A 381, 317-328 (2007)

    Bhattacharyya P., Chatterjee A. & Chakrabarti B.K., A common mode of origin of power laws in models of market and earthquake, Physica A 381, 377-382 (2007)

    Mariani M.C. & Liu Y., A new analysis of the effects of the Asian crisis of 1997 on emergent markets, Physica A 380, 307-316 (2007)

    Garas A. & Argyrakis P., Correlation study of the Athens Stock Exchange, Physica A 380, 399-410 (2007)

    Hegyi G., Neda Z. & Augusta Santos M., Wealth distribution and Pareto's law in the Hungarian medieval society, Physica A 380, 271-277 (2007)

    Coronel-Brizio H.F., Hernandez-Montoya A.R., Huerta-Quintanilla R. & Rodriguez-Achach M., Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations, Physica A 380, 391-398 (2007)

    Vicente R., Pereira C.d.B., Leite V.B.P. & Caticha N., Long term economic relationships from cointegration maps, Physica A 380, 317-324 (2007)

    Ma J.-L. & Ma F.-T., Solitary wave solutions of nonlinear financial markets: Data-modeling-concept-practicing, Frontiers of Physics in China 2, 368-374 (2007)

    Bartolozzi M., Mellen C., Di Matteo T. & Aste T., Multi-scale correlations in different futures markets, European Physical Journal B 58, 207-220 (2007)

    Dibeh G. & Harmanani H.M., Option pricing during post-crash relaxation times, Physica A 380, 357-365 (2007)

    Scarlat E.I., Stan C. & Cristescu C.P., Chaotic features in Romanian transition economy as reflected onto the currency exchange rate, Chaos, Solitons and Fractals 33, 396-404 (2007)

    Tumminello M., Coronnello C., Lillo F., Micciche S. & Mantegna R.N., Spanning trees and bootstrap reliability estimation in correlation-based networks, International Journal of Bifurcation and Chaos 17, 2319-2329 (2007)

    Chandra A.K., Hajra K.B., Das P.K. & Sen P., Modeling temporal and spatial features of collaboration network, International Journal of Modern Physics C 18, 1157-1172 (2007)

    Moriconi L., Delta hedged option valuation with underlying non-Gaussian returns, Physica A 380, 343-350 (2007)

    McCauley J.L., Gunaratne G.H. & Bassler K.E., Martingale option pricing, Physica A 380, 351-356 (2007)

    Grigoriu M., Linear systems with fractional Brownian motion and Gaussian noise, Probabilistic Engineering Mechanics 22, 276-284 (2007)

    Alvarez-Ramirez J., Rodriguez E. & Dagdug L., Time-correlations in marathon arrival sequences, Physica A 380, 447-454 (2007)

    Tuncay C., A new model for competition between many languages, International Journal of Modern Physics C 18, 1203-1208 (2007)

    Dong L., Volatilities and desires of the agent clusters drive together markets, Physica A 380, 512-518 (2007)

    Zeng L., Bao R. & Xu B., Effects of Levy noise in aperiodic stochastic resonance, Journal of Physics A 40, 005 (2007)

    Labra F.A., Marquet P.A. & Bozinovic F., Scaling metabolic rate fluctuations, Proceedings of the National Academy of Sciences of the United States of America 104, 10900-10903 (2007)

    Bianco S., Ignaccolo M., Rider M.S., Ross M.J., Winsor P. & Grigolini P., Brain, music & non-Poisson renewal processes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 061911 (2007)

    Ghasemi F., Sahimi M., Peinke J., Friedrich R., Jafari G.R. & Tabar M.R.R., Markov analysis and Kramers-Moyal expansion of nonstationary stochastic processes with application to the fluctuations in the oil price, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 060102 (2007)

    Basalto N., Bellotti R., De Carlo F., Facchi P., Pantaleo E. & Pascazio S., Hausdorff clustering of financial time series, Physica A 379, 635-644 (2007)

    Park J.B., Won Lee J., Yang J.-S., Jo H.-H. & Moon H.-T., Complexity analysis of the stock market, Physica A 379, 179-187 (2007)

    Svorencik A. & Slanina F., Interacting gaps model, dynamics of order book & stock-market fluctuations, European Physical Journal B 57, 453-462 (2007)

    Jamdee S. & Los C.A., Long memory options: LM evidence and simulations, Research in International Business and Finance 21, 260-280 (2007)

    Jiang Z.-Q., Guo L. & Zhou W.-X., Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market, European Physical Journal B 57, 347-355 (2007)

    Figueiredo A., Gleria I., Matsushita R. & Da Silva S., The Levy sections theorem revisited, Journal of Physics A 40, 002 (2007)

    Bartolozzi M., Scale-free avalanches in the multifractal random walk, European Physical Journal B 57, 337-345 (2007)

    Mendes R.S., Malacarne L.C. & Anteneodo C., Statistics of football dynamics, European Physical Journal B 57, 357-363 (2007)

    Scarlat E.I., Stan C. & Cristescu C.P., Self-similar characteristics of the currency exchange rate in an economy in transition, Physica A 379, 188-198 (2007)

    Bittner E., Nussbaumer A., Janke W. & Weigel M., Self-affirmation model for football goal distributions, Europhysics Letters 78, 58002 (2007)

    Bittner E., Nussbaumer A., Janke W. & Weigel M., Self-affirmation model for football goal distributions, EPL 78, 58002 (2007)

    Bianchi S. & Pianese A., Modelling stock price movements: Multifractality or multifractionality?, Quantitative Finance 7, 301-319 (2007)

    Buchbinder G.L. & Chistilin K.M., Multiple time scales and the empirical models for stochastic volatility, Physica A 379, 168-178 (2007)

    McCauley J.L., Gunaratne G.H. & Bassler K.E., Hurst exponents, Markov processes & fractional Brownian motion, Physica A 379, 1-9 (2007)

    Onody R.N., Favaro G.M. & Cazaroto E.R., A new estimator method for GARCH models, European Physical Journal B 57, 487-493 (2007)

    Kirchler M. & Huber J., Fat tails and volatility clustering in experimental asset markets, Journal of Economic Dynamics and Control 31, 1844-1874 (2007)

    Nilantha K.G.D.R., Ranasinghe & Malmini P.K.C., Eigenvalue density of cross-correlations in Sri Lankan financial market, Physica A 378, 345-356 (2007)

    Fan Y., Li M., Zhang P., Wu J. & Di Z., The effect of weight on community structure of networks, Physica A 378, 583-590 (2007)

    Li P. & Wang B.-H., Extracting hidden fluctuation patterns of Hang Seng stock index from network topologies, Physica A 378, 519-526 (2007)

    Jiang J., Ma K. & Cai X., Non-linear characteristics and long-range correlations in Asian stock markets, Physica A 378, 399-407 (2007)

    Kondor I., Pafka S. & Nagy G., Noise sensitivity of portfolio selection under various risk measures, Journal of Banking and Finance 31, 1545-1573 (2007)

    Ciliberti S. & Mezard M., Risk minimization through portfolio replication, European Physical Journal B 57, 175-180 (2007)

    Cross R., Grinfeld M., Lamba H. & Seaman T., Stylized facts from a threshold-based heterogeneous agent model, European Physical Journal B 57, 213-218 (2007)

    Wyart M. & Bouchaud J.-P., Self-referential behaviour, overreaction and conventions in financial markets, Journal of Economic Behavior and Organization 63, 1-24 (2007)

    Simonsen I., Ahlgren P.T.H., Jensen M.H., Donangelo R. & Sneppen K., Fear and its implications for stock markets, European Physical Journal B 57, 153-158 (2007)

    Sakata A., Hisakado M. & Mori S., Infectious default model with recovery and continuous limits, Journal of the Physical Society of Japan 76, 054801 (2007)

    Patriarca M., Chakraborti A., Heinsalu E. & Germano G., Relaxation in statistical many-agent economy models, European Physical Journal B 57, 219-224 (2007)

    Choustova O., Toward quantum-like modeling of financial processes, Journal of Physics 70, 012006 (2007)

    Qiu G., Kandhai D. & Sloot P.M.A., Understanding the complex dynamics of stock markets through cellular automata, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 046116 (2007)

    Eliazar I. & Klafter J., Fractal Levy correlation cascades, Journal of Physics A 40, - (2007)

    Mariani M.C. & Liu Y., Normalized truncated Levy walks applied to the study of financial indices, Physica A 377, 590-598 (2007)

    Nakamura T. & Small M., Tests of the random walk hypothesis for financial data, Physica A 377, 599-615 (2007)

    Hong B.H., Eun Lee K. & Lee J.W., Power law of quiet time distribution in the Korean stock-market, Physica A 377, 576-582 (2007)

    Fernandez V., Extreme-value dependence: An application to exchange rate markets, Physica A 377, 583-589 (2007)

    Quan H. & Deng G., Effect of imitation in a competing and evolving population in different situations, Physica A 377, 625-632 (2007)

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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