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 2010

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    Preis T., Reith D. & Stanley H.E., Complex dynamics of our economic life on different scales: Insights from search engine query data, Philosophical Transactions of the Royal Society A 368, 5707-5719 (2010)

    Zhang C. & Huang L., A quantum model for the stock market, Physica A 389, 5769-5775 (2010)

    Gunduz G. & Gunduz Y., Viscoelastic behavior of stock indices, Physica A 389, 5776-5784 (2010)

    Suhadolnik N., Galimberti J. & Da Silva S., Robot traders can prevent extreme events in complex stock markets, Physica A 389, 5182-5192 (2010)

    Cassidy D.T., Hamp M.J. & Ouyed R., Pricing European options with a log Student's t-distribution: A Gosset formula, Physica A 389, 5736-5748 (2010)

    Lei C., Jia J., Wu T. & Wang L., Coevolution with weights of names in structured language games, Physica A 389, 5628-5634 (2010)

    Shapoval A., Prediction problem for target events based on the inter-event waiting time, Physica A 389, 5145-5154 (2010)

    Wang Y., Wei Y. & Wu C., Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective, Physica A 389, 5759-5768 (2010)

    Balogh E., Simonsen I., Nagy B.Z. & Neda Z., Persistent collective trend in stock markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 066113 (2010)

    Liu C. & Zhou W.-X., Superfamily classification of nonstationary time series based on DFA scaling exponents, Journal of Physics A 43, 495005 (2010)

    Mu G.-H. & Zhou W.-X., Tests of nonuniversality of the stock return distributions in an emerging market, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 066103 (2010)

    Guo Y., Shi Y., Moncur J.E.T., Lee Y.T., Kim K.W. & Kim A.S., Analysis of full-scale membrane filtration processes using econophysics and econometrics, Journal of Membrane Science 365, 170-179 (2010)

    Da Silva R., Zembrzuski M., Correa F.C. & Lamb L.C., Stock markets and criticality in the current economic crisis, Physica A 389, 5460-5467 (2010)

    Huerta-Quintanilla R., Canto-Lugo E. & RodrIguez-Achach M., A model for brand competition within a social network, International Journal of Modern Physics C 21, 1457-1467 (2010)

    Fezzi C. & Bunn D., Structural Analysis of Electricity Demand and Supply Interactions, Oxford Bulletin of Economics and Statistics 72, 827-856 (2010)

    Kenett D.Y., Tumminello M., Madi A., Gur-Gershgoren G., Mantegna R.N. & Ben-Jacob E., Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market, PLoS ONE 5, e15032 (2010)

    Barton C.M., Ullah I.I. & Bergin S., Land use, water and Mediterranean landscapes: Modelling long-term dynamics of complex socio-ecological systems, Philosophical Transactions of the Royal Society A 368, 5275-5297 (2010)

    Chatterjee A. & Sen P., Agent dynamics in kinetic models of wealth exchange, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 056117 (2010)

    Lallouache M., Chakrabarti A.S., Chakraborti A. & Chakrabarti B.K., Opinion formation in kinetic exchange models: Spontaneous symmetry-breaking transition, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 056112 (2010)

    Jiang Z.-Q. & Zhou W.-X., Complex stock trading network among investors, Physica A 389, 4929-4941 (2010)

    Goncalves R., Ferreira H., Stollenwerk N. & Pinto A.A., Universal fluctuations of the AEX index, Physica A 389, 4776-4784 (2010)

    Chen A.-P. & Hsu Y.-C., Dynamic physical behavior analysis for financial trading decision support, IEEE Computational Intelligence Magazine 5, 13 (2010)

    Bormetti G., Cazzola V. & Delpini D., Option pricing under ornstein-uhlenbeck stochastic volatility: A linear model, International Journal of Theoretical and Applied Finance 13, 1047-1063 (2010)

    Liu L.-Z., Qian X.-Y. & Lu H.-Y., Cross-sample entropy of foreign exchange time series, Physica A 389, 4785-4792 (2010)

    Speth J., Drozdz S. & Grummer F., Complex systems: from nuclear physics to financial markets, Nuclear Physics A 844, - (2010)

    Tsoumanis A.C., Siettos C.I., Bafas G.V. & Kevrekidis I.G., Equation-free multiscale computations in social networks: From agent-based modeling to coarse-grained stability and bifurcation analysis, International Journal of Bifurcation and Chaos 20, 3673-3688 (2010)

    Emmert-Streib F. & Dehmer M., Influence of the time scale on the construction of financial networks, PLoS ONE 5, e12884 (2010)

    Binner J.M., Tino P., Tepper J., Anderson R., Jones B. & Kendall G., Does money matter in inflation forecasting?, Physica A 389, 4793-4808 (2010)

    Bartolozzi M., A multi agent model for the limit order book dynamics, European Physical Journal B 78, 265-273 (2010)

    Hajian S. & Movahed M.S., Multifractal Detrended Cross-Correlation Analysis of sunspot numbers and river flow fluctuations, Physica A 389, 4942-4957 (2010)

    Barunik J. & Vacha L., Monte Carlo-based tail exponent estimator, Physica A 389, 4863-4874 (2010)

    Ding F. & Liu Y., Modeling opinion interactions in a BBS community, European Physical Journal B 78, 245-252 (2010)

    Kang S.H., Cheong C. & Yoon S.-M., Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market, Physica A 389, 4844-4854 (2010)

    Gubiec T. & Kutner R., Backward jump continuous-time random walk: An application to market trading, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 046119 (2010)

    Podobnik B., Horvatic D., Petersen A.M., Urosevic B. & Stanley H.E., Bankruptcy risk model and empirical tests, Proceedings of the National Academy of Sciences of the United States of America 107, 18325-18330 (2010)

    Kim Y., Han B. & Yook S.-H., Morphology of technological levels in an innovation propagation model, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 046110 (2010)

    Tenenbaum J., Horvatic D., Bajic S.C., Pehlivanovic B., Podobnik B. & Stanley H.E., Comparison between response dynamics in transition economies and developed economies, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 046104 (2010)

    Lei C., Wu T., Wang L. & Jia J.-Y., Fast convergence in language games induced by majority rule, Physica A 389, 4046-4051 (2010)

    Maslov V.P., Number theory, dimension theory & the crisis of overproduction, Mathematical Notes 88, 402-413 (2010)

    Bolgorian M., Inverse statistics and asset allocation efficiency, International Journal of Modern Physics C 21, 1297-1308 (2010)

    Sun X.-Y., Jiang R., Hao Q.-Y. & Wang B.-H., Phase transition in random walks coupled with evolutionary game, EPL 92, 18003 (2010)

    Petersen A.M., Wang F., Havlin S. & Stanley H.E., Market dynamics immediately before and after financial shocks: Quantifying the Omori, productivity & Bath laws, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 036114 (2010)

    Manchaldore J., Palit I. & Soloviev O., Wavelet decomposition for intra-day volume dynamics, Quantitative Finance 10, 917-930 (2010)

    Schinckus C., Is econophysics a new discipline? the neopositivist argument, Physica A 389, 3814-3821 (2010)

    Xie W.-J., Gu G.-F. & Zhou W.-X., On the growth of primary industry and population of China's counties, Physica A 389, 3876-3882 (2010)

    Hernndez-Prez R., An analogy of the size distribution of business firms with Bose-Einstein statistics, Physica A 389, 3837-3843 (2010)

    Schafer R. & Guhr T., Local normalization: Uncovering correlations in non-stationary financial time series, Physica A 389, 3856-3865 (2010)

    Bolgorian M. & Raei R., Convergence of fundamentalists and chartists' expectations: An alarm for stock market crash, Physica A 389, 3822-3827 (2010)

    Bertotti M.L., Modelling taxation and redistribution: A discrete active particle kinetic approach, Applied Mathematics and Computation 217, 752-762 (2010)

    Si X.-M., Liu Y., Xiong F., Zhang Y.-C., Ding F. & Cheng H., Effects of selective attention on continuous opinions and discrete decisions, Physica A 389, 3711-3719 (2010)

    Takahashi T., A social discounting model based on Tsallis' statistics, Physica A 389, 3600-3603 (2010)

    Maharaj E.A. & D'Urso P., A coherence-based approach for the pattern recognition of time series, Physica A 389, 3516-3537 (2010)

    Song F.-T. & Zhou W.-X., Analyzing the prices of the most expensive sheet iron all over the world: Modeling, prediction and regime change, Physica A 389, 3538-3545 (2010)

    Lan B.L., Yeoh E.V. & Ng J.A., Distribution of detrended stock market data, Fluctuation and Noise Letters 9, 245-257 (2010)

    Duarte F.B., Tenreiro MacHado J.A. & Monteiro Duarte G., Dynamics of the Dow Jones and the NASDAQ stock indexes, Nonlinear Dynamics 61, 691-705 (2010)

    Chattopadhyay A.K., Ackland G.J. & Mallick S.K., Income and poverty in a developing economy, EPL 91, 58003 (2010)

    Emmert-Streib F. & Dehmer M., Identifying critical financial networks of the DJIA: Toward a network-based index, Complexity 16, 24-33 (2010)

    Lamba H., A queueing theory description of fat-tailed price returns in imperfect financial markets, European Physical Journal B 77, 297-304 (2010)

    Hawkins R.J., Aoki M. & Roy Frieden B., Asymmetric information and macroeconomic dynamics, Physica A 389, 3565-3571 (2010)

    Erlwein C., Benth F.E. & Mamon R., HMM filtering and parameter estimation of an electricity spot price model, Energy Economics 32, 1034-1043 (2010)

    La Cognata A., Valenti D., Spagnolo B. & Dubkov A.A., Two competing species in super-diffusive dynamical regimes, European Physical Journal B 77, 273-279 (2010)

    Derman E., Park K.S. & Whitt W., A stochastic-difference-equation model for hedge-fund returns, Quantitative Finance 10, 701-733 (2010)

    Tabak B.M., Serra T.R. & Cajueiro D.O., Topological properties of stock market networks: The case of Brazil, Physica A 389, 3240-3249 (2010)

    Lisewski A.M. & Lichtarge O., Untangling complex networks: Risk minimization in financial markets through accessible spin glass ground states, Physica A 389, 3250-3253 (2010)

    Slanina F., A contribution to the systematics of stochastic volatility models, Physica A 389, 3230-3239 (2010)

    Li H., Cao S.-N. & Wang Y., The properties and mechanism of long-term memory in nonparametric volatility, Physica A 389, 3254-3259 (2010)

    Gorban A.N., Smirnova E.V. & Tyukina T.A., Correlations, risk and crisis: From physiology to finance, Physica A 389, 3193-3217 (2010)

    Lo C.F., Dynamics of Fokker-Planck equation with logarithmic coefficients and its application in econophysics, Chinese Physics Letters 27, 080503 (2010)

    Podobnik B., Horvatic D., Petersen A.M., Njavro M. & Stanley H.E., Common scaling behavior in finance and macroeconomics, European Physical Journal B 76, 487-490 (2010)

    Cheong C.W., Self-similarity in financial markets: A fractionally integrated approach, Mathematical and Computer Modelling 52, 459-471 (2010)

    Kasprzak A., Kutner R., Perello J. & Masoliver J., Higher-order phase transitions on financial markets, European Physical Journal B 76, 513-527 (2010)

    Mizuno T. & Watanabe T., A statistical analysis of product prices in online markets, European Physical Journal B 76, 501-505 (2010)

    Windt K., Philipp T., Bose F. & Becker T., Application of a three-component evaluation system for autonomous control in logistics, Proceedings of the Institution of Mechanical Engineers, Part B 224, 1267-1276 (2010)

    Konig M.D., Tessone C.J. & Zenou Y., From assortative to dissortative networks: The role of capacity constraints, Advances in Complex Systems 13, 483-499 (2010)

    Gu G.-F. & Zhou W.-X., Detrending moving average algorithm for multifractals, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 011136 (2010)

    Ren F., Zheng B. & Chen P., Modeling interactions of trading volumes in financial dynamics, Physica A 389, 2744-2750 (2010)

    Ni X.-H., Jiang Z.-Q., Gu G.-F., Ren F., Chen W. & Zhou W.-X., Scaling and memory in the non-Poisson process of limit order cancelation, Physica A 389, 2751-2761 (2010)

    Sato A.-H., Nishimura M. & Holyst J.A., Fluctuation scaling of quotation activities in the foreign exchange market, Physica A 389, 2793-2804 (2010)

    Siqueira Jr. E.L., Stosic T., Bejan L. & Stosic B., Correlations and cross-correlations in the Brazilian agrarian commodities and stocks, Physica A 389, 2739-2743 (2010)

    Witte B.-C., Temporal information gaps and market efficiency: A dynamic behavioural analysis, Applied Financial Economics 20, 1057-1070 (2010)

    Micciche S., Role of conditional probability in multiscale stationary Markovian processes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 82, 011104 (2010)

    Rosser J.B., Is a transdisciplinary perspective on economic complexity possible?, Journal of Economic Behavior and Organization 75, 3-11 (2010)

    Kim M.J., Lee J.E., Kim S.Y. & Kim K., Two-phase phenomenon in linear and non-linear financial instruments, Physica A 389, 2580-2585 (2010)

    Caram L.F., Caiafa C.F., Proto A.N. & Ausloos M., Dynamic peer-to-peer competition, Physica A 389, 2628-2636 (2010)

    Lubashevsky I. & Kanemoto S., Scale-free memory model for multiagent reinforcement learning. Mean field approximation and rock-paper-scissors dynamics, European Physical Journal B 76, 69-85 (2010)

    Akemann G., Fischmann J. & Vivo P., Universal correlations and power-law tails in financial covariance matrices, Physica A 389, 2566-2579 (2010)

    Cockshott P. & Zachariah D., Credit crunch: Origins and orientation, Science and Society 74, 343-361 (2010)

    Bormetti G., Cazzola V., Delpini D. & Livan G., Accounting for risk of non linear portfolios : A novel Fourier approach, European Physical Journal B 76, 157-165 (2010)

    Beaudreau B.C. & Pokrovskii V.N., On the energy content of a money unit, Physica A 389, 2597-2606 (2010)

    Xu Y., Guo L.-P., Ding N. & Wang Y.-G., Evidence of scaling in Chinese income distribution, Chinese Physics Letters 27, 078901 (2010)

    Petersen A.M., Wang F., Havlin S. & Stanley H.E., Quantitative law describing market dynamics before and after interest-rate change, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 066121 (2010)

    Bassetti F. & Toscani G., Explicit equilibria in a kinetic model of gambling, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 066115 (2010)

    Fronczak A. & Fronczak P., Origins of Taylor's power law for fluctuation scaling in complex systems, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 066112 (2010)

    Guseo R. & Guidolin M., Cellular Automata with network incubation in information technology diffusion, Physica A 389, 2422-2433 (2010)

    Dadras S. & Momeni H.R., Control of a fractional-order economical system via sliding mode, Physica A 389, 2434-2442 (2010)

    Jo H.-H., Lee H.K. & Park H., Collective helping and bystander effects in coevolving helping networks, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 066108 (2010)

    Kolesnikov A.V. & Ruhl T., Ergodicity of financial indices, EPL 90, 30004 (2010)

    Ren F. & Zhou W.-X., Recurrence interval analysis of trading volumes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 066107 (2010)

    Zhang J. & Wang J., Modeling and simulation of the market fluctuations by the finite range contact systems, Simulation Modelling Practice and Theory 18, 910-925 (2010)

    Bertram W.K., Analytic solutions for optimal statistical arbitrage trading, Physica A 389, 2234-2243 (2010)

    Jiang Z.-Q., Zhou W.-X., Sornette D., Woodard R., Bastiaensen K. & Cauwels P., Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles, Journal of Economic Behavior and Organization 74, 149-162 (2010)

    Fagiolo G., Alessi L., Barigozzi M. & Capasso M., On the distributional properties of household consumption expenditures: The case of Italy, Empirical Economics 38, 717-741 (2010)

    Zaccaria A., Cristelli M., Alfi V., Ciulla F. & Pietronero L., Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 066101 (2010)

    Collet F., Pra P.D. & Sartori E., A simple mean field model for social interactions: Dynamics, fluctuations, criticality, Journal of Statistical Physics 139, 820-858 (2010)

    Ribeiro H.V., Mendes R.S., Malacarne L.C., Picoli Jr. S. & Santoro P.A., Dynamics of tournaments: The soccer case a random walk approach modeling soccer leagues, European Physical Journal B 75, 327-334 (2010)

    Kumaresan M. & Krejic N., A model for optimal execution of atomic orders, Computational Optimization and Applications 46, 369-389 (2010)

    Borghesi C. & Bouchaud J.-P., Spatial correlations in vote statistics: A diffusive field model for decision-making, European Physical Journal B 75, 395-404 (2010)

    Maslov V.P., Tropical mathematics and the financial catastrophe of the 17th century. Thermoeconomics of Russia in the early 20th century, Russian Journal of Mathematical Physics 17, 126-140 (2010)

    Arenas Z.G. & Barci D.G., Functional integral approach for multiplicative stochastic processes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 051113 (2010)

    Pellicer-Lostao C. & Lopez-Ruiz R., A chaotic gas-like model for trading markets, Journal of Computational Science 1, 24-32 (2010)

    Bai M.-Y. & Zhu H.-B., Power law and multiscaling properties of the Chinese stock market, Physica A 389, 1883-1890 (2010)

    Zunino L., Zanin M., Tabak B.M., Perez D.G. & Rosso O.A., Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency, Physica A 389, 1891-1901 (2010)

    Murphy A. & Izzeldin M., Recovering the moments of information flow and the normality of asset returns, Applied Financial Economics 20, 761-769 (2010)

    Brida J.G. & Risso W.A., Hierarchical structure of the German stock market, Expert Systems with Applications 37, 3846-3852 (2010)

    Mimkes J., Stokes integral of economic growth. Calculus and the Solow model, Physica A 389, 1665-1676 (2010)

    Eom C., Kwon O., Jung W.-S. & Kim S., The effect of a market factor on information flow between stocks using the minimal spanning tree, Physica A 389, 1643-1652 (2010)

    Tseng J.-J., Lin C.-H., Lin C.-T., Wang S.-C. & Li S.-P., Statistical properties of agent-based models in markets with continuous double auction mechanism, Physica A 389, 1699-1707 (2010)

    Miskiewicz J., Entropy correlation distance method. The Euro introduction effect on the Consumer Price Index, Physica A 389, 1677-1687 (2010)

    Lavicka H., Lin L. & Novotny J., Employment, Production and Consumption model: Patterns of phase transitions, Physica A 389, 1708-1720 (2010)

    Aquaro V., Bardoscia M., Bellotti R., Consiglio A., De Carlo F. & Ferri G., A Bayesian Networks approach to Operational Risk, Physica A 389, 1721-1728 (2010)

    Mariani M.C., Florescu I., Beccar Varela M.P. & Ncheuguim E., Study of memory effects in international market indices, Physica A 389, 1653-1664 (2010)

    Ding F., Liu Y., Shen B. & Si X.-M., An evolutionary game theory model of binary opinion formation, Physica A 389, 1745-1752 (2010)

    Barigozzi M., Fagiolo G. & Garlaschelli D., Multinetwork of international trade: A commodity-specific analysis, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 046104 (2010)

    Aoyama H., Yoshikawa H., Iyetomi H. & Fujiwara Y., Productivity dispersion: Facts, theory & implications, Journal of Economic Interaction and Coordination 5, 27-54 (2010)

    Schinckus C., Econophysics and economics: Sister disciplines?, American Journal of Physics 78, 006004AJP (2010)

    Vazquez-Montejo J., Huerta-Quintanilla R. & Rodriguez-Achach M., Wealth condensation in a Barabasi-Albert network, Physica A 389, 1464-1470 (2010)

    Plikynas D., A virtual field-based conceptual framework for the simulation of complex social systems, Journal of Systems Science and Complexity 23, 232-248 (2010)

    Kang S.H., Cheong C. & Yoon S.-M., Long memory volatility in Chinese stock markets, Physica A 389, 1425-1433 (2010)

    Feng X. & Wang X., Evolutionary topology of a currency network in asia, International Journal of Modern Physics C 21, 471-480 (2010)

    Chen S.-P. & He L.-Y., Multifractal spectrum analysis of nonlinear dynamical mechanisms in China's agricultural futures markets, Physica A 389, 1434-1444 (2010)

    Mainzer K., The Emergence of Temporal Structures in Dynamical Systems, Foundations of Physics 40, 1638-1650 (2010)

    Petersen A.M., Wang F. & Stanley H.E., Methods for measuring the citations and productivity of scientists across time and discipline, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 036114 (2010)

    Oh G., Kim S. & Eom C., Multifractal analysis of the Korean stock market, Journal of the Korean Physical Society 56, 982-985 (2010)

    Jeon W., Moon H.-T., Gabjin O.H., Yang J.-S. & Jung W.-S., Return intervals analysis of the Korean stock market, Journal of the Korean Physical Society 56, 922-925 (2010)

    Cha M.-Y., Maeng S.E., Bang Y.S. & Lee J.W., Persistent and survival properties in a stock market index, Journal of the Korean Physical Society 56, 940-942 (2010)

    Kaltwasser P.R., Uncertainty about fundamentals and herding behavior in the FOREX market, Physica A 389, 1215-1222 (2010)

    Yamamoto R., Asymmetric volatility, volatility clustering & herding agents with a borrowing constraint, Physica A 389, 1208-1214 (2010)

    Sherrington D., Physics and complexity, Philosophical Transactions of the Royal Society A 368, 1175-1189 (2010)

    Yanagita T. & Onozaki T., Dynamics of market structure driven by the degree of consumer's rationality, Physica A 389, 1041-1054 (2010)

    Tabak B.M., Serra T.R. & Cajueiro D.O., Topological properties of commodities networks, European Physical Journal B 74, 243-249 (2010)

    He L.-Y. & Zheng F., Detecting fractal/multifractal and asymmetric properties in an artificial quote-driven financial market, Fractals 18, 87-99 (2010)

    Hu H., Han D. & Wang X., Individual popularity and activity in online social systems, Physica A 389, 1065-1070 (2010)

    Cai S.-M., Zhou Y.-B., Zhou T. & Zhou P.-L., Hierarchical organization and disassortative mixing of correlation-based weighted financial networks, International Journal of Modern Physics C 21, 433-441 (2010)

    Miskiewicz J. & Ausloos M., Has the world economy reached its globalization limit?, Physica A 389, 797-806 (2010)

    Devreese J.P.A., Lemmens D. & Tempere J., Path integral approach to Asian options in the Black-Scholes model, Physica A 389, 780-788 (2010)

    Jiang Z.-Q., Ren F., Gu G.-F., Tan Q.-Z. & Zhou W.-X., Statistical properties of online avatar numbers in a massive multiplayer online role-playing game, Physica A 389, 807-814 (2010)

    Wang X.-T., Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black-Scholes model, Physica A 389, 789-796 (2010)

    Bormetti G., Cazzola V., Livan G., Montagna G. & Nicrosini O., A generalized Fourier transform approach to risk measures, Journal of Statistical Mechanics 2010, P01005 (2010)

    Preis T. & Stanley H.E., Switching phenomena in a system with no switches, Journal of Statistical Physics 138, 431-446 (2010)

    Galam S. & Walliser B., Ising model versus normal form game, Physica A 389, 481-489 (2010)

    Ausloos M. & Mikiewicz J., Entropy correlation distance method applied to study correlations between the gross domestic product of rich countries, International Journal of Bifurcation and Chaos 20, 381-389 (2010)

    Inoue J.-I. & Sazukaz N., Queueing theoretical analysis of foreign currency exchange rates, Quantitative Finance 10, 121-130 (2010)

    Hassani H., Dionisio A. & Ghodsi M., The effect of noise reduction in measuring the linear and nonlinear dependency of financial markets, Nonlinear Analysis 11, 492-502 (2010)

    Gianfreda A., Volatility and Volume Effects in European Electricity Spot Markets, Economic Notes 39, 47-63 (2010)

    Zhou Y. & Jiao F., Existence of mild solutions for fractional neutral evolution equations, Computers and Mathematics with Applications 59, 1063-1077 (2010)

    Fortunato S., Community detection in graphs, Physics Reports 486, 75-174 (2010)

    McKelvey B. & Andriani P., Avoiding extreme risk before it occurs: A complexity science approach to incubation, Risk Management 12, 54-82 (2010)

    Chakraborty A. & Manna S.S., Weighted trade network in a model of preferential bipartite transactions, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 81, 016111 (2010)

    Gu G.-F., Ren F., Ni X.-H., Chen W. & Zhou W.-X., Empirical regularities of opening call auction in Chinese stock market, Physica A 389, 278-286 (2010)

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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