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 2009

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    Podobnik B., Horvatic D., Petersen A.M. & Stanley H.E., Cross-correlations between volume change and price change, Proceedings of the National Academy of Sciences of the United States of America 106, 22079-22084 (2009)

    Huffner F., Komusiewicz C., Moser H. & Niedermeier R., Isolation concepts for clique enumeration: Comparison and computational experiments, Theoretical Computer Science 410, 5384-5397 (2009)

    Yakovenko V.M. & Rosser J.B., Colloquium: Statistical mechanics of money, wealth & income, Reviews of Modern Physics 81, - (2009)

    Kitt R., Sakki M. & Kalda J., Probability of large movements in financial markets, Physica A 388, 4838-4844 (2009)

    Venkatasubramanian V., What is fair pay for executives? An information theoretic analysis of wage distributions, Entropy 11, 766-781 (2009)

    Lopez-Ruiz R., Sanudo J. & Calbet X., Equiprobability, entropy, gamma distributions and Other geometrical questions in multi-agent systems, Entropy 11, 959-971 (2009)

    Batten J.A. & Hamada M., The compass rose pattern in electricity prices, Chaos 19, 043106 (2009)

    Franke R., Applying the method of simulated moments to estimate a small agent-based asset pricing model, Journal of Empirical Finance 16, 804-815 (2009)

    Takaishi T., Bayesian inference of stochastic volatility model by hybrid Monte Carlo, Journal of Circuits, Systems and Computers 18, 1381-1396 (2009)

    Shapira Y., Kenett D.Y. & Ben-Jacob E., The Index cohesive effect on stock market correlations, European Physical Journal B 72, 657-669 (2009)

    Annila A. & Salthe S., Economies evolve by energy dispersal, Entropy 11, 606-633 (2009)

    Shadkhoo S. & Jafari G.R., Multifractal detrended cross-correlation analysis of temporal and spatial seismic data, European Physical Journal B 72, 679-683 (2009)

    Moro E., Vicente J., Moyano L.G., Gerig A., Farmer J.D., Vaglica G., Lillo F. & Mantegna R.N., Market impact and trading profile of hidden orders in stock markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 066102 (2009)

    Cristescu C.P., Stan C. & Scarlat E.I., The dynamics of exchange rate time series and the chaos game, Physica A 388, 4845-4855 (2009)

    Pellizzari P. & Westerhoff F., Some effects of transaction taxes under different microstructures, Journal of Economic Behavior and Organization 72, 850-863 (2009)

    Gu G.-F. & Zhou W.-X., Emergence of long memory in stock volatility from a modified Mike-Farmer model, EPL 86, 48002 (2009)

    Shen J. & Zheng B., Cross-correlation in financial dynamics, EPL 86, 48005 (2009)

    Garas A. & Argyrakis P., Filtering of complex systems using overlapping tree networks, EPL 86, 28005 (2009)

    Alfi V., Pietronero L. & Zaccaria A., Self-organization for the stylized facts and finite-size effects in a financial-market model, EPL 86, 58003 (2009)

    Chakraborti A. & Patriarca M., Variational principle for the pareto power law, Physical Review Letters 103, 228701 (2009)

    Watanabe K., Takayasu H. & Takayasu M., Random walker in temporally deforming higher-order potential forces observed in a financial crisis, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 056110 (2009)

    Harris R.J. & Touchette H., Current fluctuations in stochastic systems with long-range memory, Journal of Physics A 42, 342001 (2009)

    Fu X.-J. & Szeto K.Y., Competition of multi-agent systems: Analysis of a three-company econophysics model, Chinese Physics Letters 26, 098901 (2009)

    Shirazi A.H., Jafari G.R., Davoudi J., Peinke J., Rahimi Tabar M.R. & Sahimi M., Mapping stochastic processes onto complex networks, Journal of Statistical Mechanics 2009, P07046 (2009)

    Ren F., Gu G.-F. & Zhou W.-X., Scaling and memory in the return intervals of realized volatility, Physica A 388, 4787-4796 (2009)

    Malo P., Modeling electricity spot and futures price dependence: A multifrequency approach, Physica A 388, 4763-4779 (2009)

    Eom C., Jung W.-S., Kaizoji T. & Kim S., Effect of changing data size on eigenvalues in the Korean and Japanese stock markets, Physica A 388, 4780-4786 (2009)

    Helbing D., Managing complexity in socio-economic systems, European Review 17, 423-438 (2009)

    Zaitsev S., Zaitsev A., Leonidov A. & Trainin V., Market mill dependence pattern in the stock market: Multiscale conditional dynamics, Physica A 388, 4624-4634 (2009)

    Herrmann K., Non-extensitivity vs. informative moments for financial models - A unifying framework and empirical results, Europhysics Letters 88, 30007 (2009)

    Jiang Z.-Q., Zhou W.-X. & Tan Q.-Z., Online-offline activities and game-playing behaviors of avatars in a massive multiplayer online role-playing game, Europhysics Letters 88, 48007 (2009)

    Andriani P. & McKelvey B., From gaussian to paretian thinking: Causes and implications of power laws in organizations, Organization Science 20, 1053-1071 (2009)

    Schinckus C., Economic uncertainty and econophysics, Physica A 388, 4415-4423 (2009)

    Yang Y., Wang J., Yang H. & Mang J., Visibility graph approach to exchange rate series, Physica A 388, 4431-4437 (2009)

    Xu C., Hui P.M., Yu Y.-Y. & Gu G.-Q., Self-organized cooperative behavior and critical penalty in an evolving population, Physica A 388, 4445-4452 (2009)

    Ni X.-H., Jiang Z.-Q. & Zhou W.-X., Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks, Physics Letters, Section A 373, 3822-3826 (2009)

    Fenn D.J., Porter M.A., McDonald M., Williams S., Johnson N.F. & Jones N.S., Dynamic communities in multichannel data: An application to the foreign exchange market during the 2007-2008 credit crisis, Chaos 19, 033119 (2009)

    Liu C., Jiang Z.-Q., Ren F. & Zhou W.-X., Scaling and memory in the return intervals of energy dissipation rate in three-dimensional fully developed turbulence, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 046304 (2009)

    Malmgren R.D., Stouffer D.B., Campanharo A.S.L.O. & Amaral L.A.N., On universality in human correspondence activity, Science 325, 1696-1700 (2009)

    Muchnik L., Bunde A. & Havlin S., Long term memory in extreme returns of financial time series, Physica A 388, 4145-4150 (2009)

    Araripe L.E. & Costa Filho R.N., Role of parties in the vote distribution of proportional elections, Physica A 388, 4167-4170 (2009)

    Chakrabarti A.S. & Chakrabarti B.K., Microeconomics of the ideal gas like market models, Physica A 388, 4151-4158 (2009)

    Zhou W.-X., The components of empirical multifractality in financial returns, Europhysics Letters 88, 28004 (2009)

    Jones B.D., Baumgartner F.R., Breunig C., Wlezien C., Soroka S., Foucault M., Francois A., Green-Pedersen C., Koski C., John P., Mortensen P.B., Varone F. & Walgrave S., A general empirical law of public budgets: A comparative analysis, American Journal of Political Science 53, 855-873 (2009)

    Gao X. & Guan J., Characteristics of the network of scientific journals pertaining to Chinese patents, Physica A 388, 4267-4272 (2009)

    Raafat R.M., Chater N. & Frith C., Herding in humans, Trends in Cognitive Sciences 13, 420-428 (2009)

    Orrell D. & McSharry P., System economics: Overcoming the pitfalls of forecasting models via a multidisciplinary approach, International Journal of Forecasting 25, 734-743 (2009)

    Kuznetsov D.V., 1-to-1 personalized consumer-product marketing in real-life environment with critical word-of-mouth (WOM) impacts, Model Assisted Statistics and Applications 4, 159-169 (2009)

    Shen J., Zheng B., Lin H. & Qiu T., Dynamic relaxation of financial indices, Modern Physics Letters B 23, 2889-2897 (2009)

    Petelczyc M., Zebrowski J.J. & Baranowski R., Kramers-Moyal coefficients in the analysis and modeling of heart rate variability, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 031127 (2009)

    Materassi D. & Innocenti G., Unveiling the connectivity structure of financial networks via high-frequency analysis, Physica A 388, 3866-3878 (2009)

    Vahabi M. & Jafari G.R., Investigation of privatization by level crossing approach, Physica A 388, 3859-3865 (2009)

    Lee C.-Y., Characteristics of the volatility in the Korea composite stock price index, Physica A 388, 3837-3850 (2009)

    Lim G., Kim S., Kim J., Kim P., Kang Y., Park S., Park I., Park S.-B. & Kim K., Structure of a financial cross-correlation matrix under attack, Physica A 388, 3851-3858 (2009)

    Krawiecki A., Microscopic spin model for the stock market with attractor bubbling on scale-free networks, Journal of Economic Interaction and Coordination 4, 213-220 (2009)

    Redelico F.O., Proto A.N. & Ausloos M., Hierarchical structures in the Gross Domestic Product per capita fluctuation in Latin American countries, Physica A 388, 3527-3535 (2009)

    Gonzalez-Estevez J., Cosenza M.G., Alvarez-Llamoza O. & Lopez-Ruiz R., Transition from Pareto to Boltzmann-Gibbs behavior in a deterministic economic model, Physica A 388, 3521-3526 (2009)

    Zhdanov V.P., Coarse-grained model of long-term supply of oil, European Physical Journal B 71, 289-292 (2009)

    Stavroyiannis S., Makris I. & Nikolaidis V., On the closed form solutions for non-extensive Value at Risk, Physica A 388, 3536-3542 (2009)

    Kocisova J., Horvath D. & Brutovsky B., The efficiency of individual optimization in the conditions of competitive growth, Physica A 388, 3585-3592 (2009)

    Belhaj M., Guerin P., Zaim M.E. & Abdeljalil L., Influence of the frequential identification tests on the induction machine modelling, EPJ Applied Physics 47, ap08275 (2009)

    Bogachev M.I. & Bunde A., Improved risk estimation in multifractal records: Application to the value at risk in finance, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 026131 (2009)

    Podobnik B., Horvatic D., Petersen A.M. & Stanley H.E., Quantitative relations between risk, return and firm size, EPL 85, 50003 (2009)

    Nielsen S.N. & Muller F., Understanding the functional principles of nature-Proposing another type of ecosystem services, Ecological Modelling 220, 1913-1925 (2009)

    Pellicer-Lostao C. & Lopez-Ruiz R., Economic models with chaotic money exchange, Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) 5544 LNCS, 43-52 (2009)

    Szybisz M.A. & Szybisz L., Finite-time singularities in the dynamics of hyperinflation in an economy, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 026116 (2009)

    Zukovic M. & Hristopulos D.T., Classification of missing values in spatial data using spin models, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 011116 (2009)

    Ponzi A., Lillo F. & Mantegna R.N., Market reaction to a bid-ask spread change: A power-law relaxation dynamics, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 80, 016112 (2009)

    Rybski D., Buldyrev S.V., Havlin S., Liljeros F. & Makse H.A., Scaling laws of human interaction activity, Proceedings of the National Academy of Sciences of the United States of America 106, 12640-12645 (2009)

    Ausloos M. & Miskiewicz J., Introducing the q-Theil index, Brazilian Journal of Physics 39, 388-395 (2009)

    Tabak B.M., Cajueiro D.O. & Serra T.R., Topological properties of bank networks: The case of Brazil, International Journal of Modern Physics C 20, 1121-1143 (2009)

    Eisler Z., Kertesz J., Lillo F. & Mantegna R.N., Diffusive behavior and the modeling of characteristic times in limit order executions, Quantitative Finance 9, 547-563 (2009)

    Zhao Z., Kirou A., Ruszczycki B. & Johnson N.F., Dynamical clustering as a generator of complex system dynamics, Mathematical Models and Methods in Applied Sciences 19, 1539-1565 (2009)

    Magdziarz M., Black-scholes formula in subdiffusive regime, Journal of Statistical Physics 136, 553-564 (2009)

    Stang J.B., Rezakhani A.T. & Sanders B.C., Correlation effects in a discrete quantum random walk, Journal of Physics A 42, 175304 (2009)

    Zunino L., Zanin M., Tabak B.M., Perez D.G. & Rosso O.A., Forbidden patterns, permutation entropy and stock market inefficiency, Physica A 388, 2854-2864 (2009)

    Serrano E. & Figliola A., Wavelet Leaders: A new method to estimate the multifractal singularity spectra, Physica A 388, 2793-2805 (2009)

    Zhou W.-X. & Sornette D., Numerical investigations of discrete scale invariance in fractals and multifractal measures, Physica A 388, 2623-2639 (2009)

    Mommer M.S. & Lebiedz D., Modeling subdiffusion using reaction diffusion systems, SIAM Journal on Applied Mathematics 70, 112-132 (2009)

    Helbing D. & Mazloumian A., Operation regimes and slower-is-faster effect in the controlof traffic intersections, European Physical Journal B 70, 257-274 (2009)

    Preis T., Virnau P., Paul W. & Schneider J.J., GPU accelerated Monte Carlo simulation of the 2D and 3D Ising model, Journal of Computational Physics 228, 4468-4477 (2009)

    Meerschaert M.M. & Stoev S.A., Extremal limit theorems for observations separated by random power law waiting times, Journal of Statistical Planning and Inference 139, 2175-2188 (2009)

    Helbing D., Derivation of a fundamental diagram for urban traffic flow, European Physical Journal B 70, 229-241 (2009)

    Johnson N.F., Xu C., Zhao Z., Ducheneaut N., Yee N., Tita G. & Hui P.M., Human group formation in online guilds and offline gangs driven by a common team dynamic, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 79, 066117 (2009)

    Song D.-M., Jiang Z.-Q. & Zhou W.-X., Statistical properties of world investment networks, Physica A 388, 2450-2460 (2009)

    Qiu T., Zhong L.X., Chen G. & Wu X.R., Statistical properties of trading volume of Chinese stocks, Physica A 388, 2427-2434 (2009)

    Jiang Z.-Q. & Zhou W.-X., Direct evidence for inversion formula in multifractal financial volatility measure, Chinese Physics Letters 26, 028901 (2009)

    Vaz Martins T., Araujo T., Augusta Santos M. & St Aubyn M., Network effects in a human capital based economic growth model, Physica A 388, 2207-2214 (2009)

    Smith R.D., The spread of the credit crisis: View from a stock correlation network, Journal of the Korean Physical Society 54, 2460-2463 (2009)

    Canessa E., Stock market and motion of a variable mass spring, Physica A 388, 2168-2172 (2009)

    Lee K.E. & Lee J.W., Avalanches of Bak-Sneppen coevolution model on directed scale-free network, Fractals 17, 233-237 (2009)

    Mariani M.C., Libbin J.D., Martin K.J., Ncheuguim E., Varela M.P.B., Mani V.K., Erickson C.A. & Valles-Rosales D.J., Levy models and long correlations applied to the study of exchange traded funds, International Journal of Computer Mathematics 86, 1040-1053 (2009)

    Bagarello F., Simplified stock markets described by number operators, Reports on Mathematical Physics 63, 381-398 (2009)

    Serletis A. & Rosenberg A.A., Mean reversion in the US stock market, Chaos, Solitons and Fractals 40, 2007-2015 (2009)

    Wang W., Chen Y. & Huang J., Heterogeneous preferences, decision-making capacity & phase transitions in a complex adaptive system, Proceedings of the National Academy of Sciences of the United States of America 106, 8423-8428 (2009)

    Zhu M., Chiarella C., He X.-Z. & Wang D., Does the market maker stabilize the market?, Physica A 388, 3164-3180 (2009)

    Ahn S., Lim G., Kim S. & Kim K., Grafting of higher-order correlations of real financial markets into herding models, Physica A 388, 3195-3201 (2009)

    Wang F., Shieh S.-J., Havlin S. & Stanley H.E., Statistical analysis of the overnight and daytime return, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 79, 056109 (2009)

    Yamada K., Takayasu H., Ito T. & Takayasu M., Solvable stochastic dealer models for financial markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 79, 051120 (2009)

    Zhang J., Chen Q. & Wang Y., Zipf distribution in top Chinese firms and an economic explanation, Physica A 388, 2020-2024 (2009)

    Radszuweit M., Block M., Hengstler J.G., Scholl E. & Drasdo D., Comparing the growth kinetics of cell populations in two and three dimensions, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 79, 051907 (2009)

    Alfi V., Cristelli M., Pietronero L. & Zaccaria A., Mechanisms of self-organization and finite size effects in a minimal agent based model, Journal of Statistical Mechanics 2009, P03016 (2009)

    Kimiagar S., Sadegh Movahed M., Khorram S., Sobhanian S. & Reza Rahimi Tabar M., Fractal analysis of discharge current fluctuations, Journal of Statistical Mechanics 2009, P03020 (2009)

    Zukovic M. & Hristopulos D.T., Multilevel discretized random field models with 'spin' correlations for the simulation of environmental spatial data, Journal of Statistical Mechanics 2009, P02023 (2009)

    Medo M., Breakdown of the mean-field approximation in a wealth distribution model, Journal of Statistical Mechanics 2009, P02014 (2009)

    Jiang J., Li W., Cai X. & Wang Q.A., Empirical study of recent Chinese stock market, Physica A 388, 1893-1907 (2009)

    Meerschaert M.M., Nane E. & Xiao Y., Correlated continuous time random walks, Statistics and Probability Letters 79, 1194-1202 (2009)

    Brida J.G., Gomez D.M. & Risso W.A., Symbolic hierarchical analysis in currency markets: An application to contagion in currency crises, Expert Systems with Applications 36, 7721-7728 (2009)

    Eryigit M., Cukur S. & Eryigit R., Tail distribution of index fluctuations in World markets, Physica A 388, 1879-1886 (2009)

    De Sanctis L. & Galla T., Effects of noise and confidence thresholds in nominal and metric Axelrod dynamics of social influence, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 79, 046108 (2009)

    Giffin A., From physics to economics: An econometric example using maximum relative entropy, Physica A 388, 1610-1620 (2009)

    Sornette D., Woodard R. & Zhou W.-X., The 2006-2008 oil bubble: Evidence of speculation & prediction, Physica A 388, 1571-1576 (2009)

    Kumar S. & Deo N., Multifractal properties of the Indian financial market, Physica A 388, 1593-1602 (2009)

    Cajueiro D.O., Tabak B.M. & Werneck F.K., Can we predict crashes? The case of the Brazilian stock market, Physica A 388, 1603-1609 (2009)

    Mariani M.C., Florescu I., Beccar Varela M.P. & Ncheuguim E., Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data, Physica A 388, 1659-1664 (2009)

    Sieczka P. & Holyst J.A., Correlations in commodity markets, Physica A 388, 1621-1630 (2009)

    Chiang T.C., Yu H.-C. & Wu M.-C., Statistical properties, dynamic conditional correlation and scaling analysis: Evidence from Dow Jones and Nasdaq high-frequency data, Physica A 388, 1555-1570 (2009)

    Kirchler M. & Huber J., An exploration of commonly observed stylized facts with data from experimental asset markets, Physica A 388, 1631-1658 (2009)

    Rybski D. & Bunde A., On the detection of trends in long-term correlated records, Physica A 388, 1687-1695 (2009)

    Samal A. & Meyer-Ortmanns H., Preferential attachment renders an evolving network of populations robust against crashes, Physica A 388, 1535-1545 (2009)

    Mandel I. & Kuznetsov D.V., Statistical and physical paradigms in the social sciences, Model Assisted Statistics and Applications 4, 39-62 (2009)

    Castellano C., Fortunato S. & Loreto V., Statistical physics of social dynamics, Reviews of Modern Physics 81, 591-646 (2009)

    Tabak B.M., Serra T.R. & Cajueiro D.O., The expectation hypothesis of interest rates and network theory: The case of Brazil, Physica A 388, 1137-1149 (2009)

    Zapart C.A., On entropy, financial markets and minority games, Physica A 388, 1157-1172 (2009)

    Su Z.-Y. & Wang Y.-T., An investigation into the multifractal characteristics of the TAIEX stock exchange Index in Taiwan, Journal of the Korean Physical Society 54, 1385-1394 (2009)

    Wang Y. & Stanley H.E., Statistical approach to partial equilibrium analysis, Physica A 388, 1173-1180 (2009)

    Lim G., Kim S.Y., Chang K.-H., Kim K. & Ha D.-H., Structure of correlations with partially surrogated price fluctuations, Journal of the Korean Physical Society 54, 1422-1426 (2009)

    Maslov V.P., Threshold levels in economics and time series, Mathematical Notes 85, 305-321 (2009)

    Benguigui L. & Blumenfeld-Lieberthal E., The temporal evolution of the city size distribution, Physica A 388, 1187-1195 (2009)

    Su Z.-Y., Wang Y.-T. & Huang H.-Y., A multifractal detrended fluctuation analysis of taiwan's stock exchange, Journal of the Korean Physical Society 54, 1395-1402 (2009)

    Ren F., Guo L. & Zhou W.-X., Statistical properties of volatility return intervals of Chinese stocks, Physica A 388, 881-890 (2009)

    Zhou W.-X. & Sornette D., A case study of speculative financial bubbles in the South African stock market 2003-2006, Physica A 388, 869-880 (2009)

    Hong B.H., Lee K.E., Hwang J.K. & Lee J.W., Fluctuations of trading volume in a stock market, Physica A 388, 863-868 (2009)

    Eom C., Oh G., Jung W.-S., Jeong H. & Kim S., Topological properties of stock networks based on minimal spanning tree and random matrix theory in financial time series, Physica A 388, 900-906 (2009)

    Micciche S., Modeling long-range memory with stationary Markovian processes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 79, 031116 (2009)

    Fagiolo G., Reyes J. & Schiavo S., World-trade web: Topological properties, dynamics & evolution, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 79, 036115 (2009)

    Gans F., Schumann A.Y., Kantelhardt J.W., Penzel T. & Fietze I., Cross-modulated amplitudes and frequencies characterize interacting components in complex systems, Physical Review Letters 102, 098701 (2009)

    Takahashi T., Tsallis' non-extensive free energy as a subjective value of an uncertain reward, Physica A 388, 715-719 (2009)

    Ali Saif M. & Gade P.M., Effects of introduction of new resources and fragmentation of existing resources on limiting wealth distribution in asset exchange models, Physica A 388, 697-704 (2009)

    Conlon T., Ruskin H.J. & Crane M., Cross-correlation dynamics in financial time series, Physica A 388, 705-714 (2009)

    Zhong L.-X., Qiu T., Chen B.-H. & Liu C.-F., Effects of dynamic response time in an evolving market, Physica A 388, 673-681 (2009)

    Mu G.-H., Chen W., Kertesz J. & Zhou W.-X., Preferred numbers and the distributions of trade sizes and trading volumes in the Chinese stock market, European Physical Journal B 68, 145-152 (2009)

    Kim S.Y., Lim G., Chang K.-H., Kim K.L., Lee S.Y., Park I.H., Lee D.I., You C.-H. & Kim K., Multifractal behaviors in foreign exchange markets, Fractals 17, 15-21 (2009)

    Ayadi O.F., Williams J. & Hyman L.M., Fractional dynamic behavior in Forcados Oil Price Series: An application of detrended fluctuation analysis, Energy for Sustainable Development 13, 11-17 (2009)

    Olemskoi A.I., Ostrik V.I. & Kokhan S.V., Complexity of hierarchical ensembles, Physica A 388, 609-620 (2009)

    Yoon S.-M. & Kang S.H., Weather effects on returns: Evidence from the Korean stock market, Physica A 388, 682-690 (2009)

    Wang Y.-H., The impact of jump dynamics on the predictive power of option-implied densities, Journal of Derivatives 16, 9-22 (2009)

    Jiang Z.-Q., Chen W. & Zhou W.-X., Detrended fluctuation analysis of intertrade durations, Physica A 388, 433-440 (2009)

    Ataullah A., Davidson I. & Tippett M., A wave function for stock market returns, Physica A 388, 455-461 (2009)

    Onnela J.-P., Toyli J. & Kaski K., Tick size and stock returns, Physica A 388, 441-454 (2009)

    Choustova O., Quantum probability and financial market, Information Sciences 179, 478-484 (2009)

    Ni X.-H. & Zhou W.-X., Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese a-share stocks, Journal of the Korean Physical Society 54, 786-791 (2009)

    Gu G.-F. & Zhou W.-X., On the probability distribution of stock returns in the Mike-Farmer model, European Physical Journal B 67, 585-592 (2009)

    Chatterjee A., Kinetic models for wealth exchange on directed networks, European Physical Journal B 67, 593-598 (2009)

    Alfi V., Cristelli M., Pietronero L. & Zaccaria A., Minimal agent based model for financial markets I : Origin and self-organization of stylized facts, European Physical Journal B 67, 385-397 (2009)

    Alfi V., Cristelli M., Pietronero L. & Zaccaria A., Minimal agent based model for financial markets II : Statistical properties of the linear and multiplicative dynamics, European Physical Journal B 67, 399-417 (2009)

    Majumder S.R., Diermeier D., Rietz T.A. & Nunes Amaral L.A., Price dynamics in political prediction markets, Proceedings of the National Academy of Sciences of the United States of America 106, 679-684 (2009)

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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