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

[1999] [2000] [2001] [2002] [2003] [2004] [2005] [2006] [2007] [2008] [2009] [2010] [2011]

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)

Cortines A.A.G. & Riera R., Non-extensive behavior of a stock market index at microscopic time scales, Physica A 377, 181-192 (2007)

Fernandez-Anaya G., Alvarez-Ramirez J. & Ibarra-Valdez C., On feedback and stable price adjustment mechanisms, Physica A 377, 211-226 (2007)

Zhang J.W., Zhang Y. & Kleinert H., Power tails of index distributions in chinese stock market, Physica A 377, 166-172 (2007)

Santos M.A., Coelho R., Hegyi G., Neda Z. & Ramasco J., Wealth distribution in modern and medieval societies, European Physical Journal 143, 81-85 (2007)

Caon G.M., Goncalves S. & Iglesias J.R., The unfair consequences of equal opportunities: Comparing exchange models of wealth distribution, European Physical Journal 143, 69-74 (2007)

Kuznetsov D.V. & Mandel I., Statistical physics of media processes: Mediaphysics, Physica A 377, 253-268 (2007)

Reimann S., Price dynamics from a simple multiplicative random process model : Stylized facts and beyond?, European Physical Journal B 56, 381-394 (2007)

Huang Z.-G., Chen Y., Zhang Y. & Wang Y.-H., Description of dynamics of stock prices by a Langevin approach, Chinese Physics 16, 019 (2007)

Yuqing H., Income distribution: Boltzmann analysis and its extension, Physica A 377, 230-240 (2007)

Buldyrev S.V., Growiec J., Pammolli F., Riccaboni M. & Stanley H.E., The growth of business firms: Facts and theory, Journal of the European Economic Association 5, 574-584 (2007)

Jafari G.R., Pedram P. & Hedayatifar L., Long-range correlation and multifractality in Bach's Inventions pitches, Journal of Statistical Mechanics , P04012 (2007)

Chattopadhyay A.K. & Mallick S.K., Income distribution dependence of poverty measure: A theoretical analysis, Physica A 377, 241-252 (2007)

Nadarajah S., Colombi-type Pareto models for income, Nuovo Cimento della Societa Italiana di Fisica B 122, 425-446 (2007)

Livina V., Kizner Z., Braun P., Molnar T., Bunde A. & Havlin S., Temporal scaling comparison of real hydrological data and model runoff records, Journal of Hydrology 336, 186-198 (2007)

Frank T.D., Exact solutions and Monte Carlo simulations of self-consistent Langevin equations: A case study for the collective dynamics of stock prices, International Journal of Modern Physics B 21, 1099-1112 (2007)

Bormetti G., Cisana E., Montagna G. & Nicrosini O., A non-Gaussian approach to risk measures, Physica A 376, 532-542 (2007)

Strozzi F., Zaldivar J.M. & Zbilut J.P., Recurrence quantification analysis and state space divergence reconstruction for financial time series analysis, Physica A 376, 487-499 (2007)

Greco A., Carbone V. & Sorriso-Valvo L., Non-Poisson intermittent events in price formation in a Ising spin model of market, Physica A 376, 480-486 (2007)

Coelho R., Gilmore C.G., Lucey B., Richmond P. & Hutzler S., The evolution of interdependence in world equity markets-Evidence from minimum spanning trees, Physica A 376, 455-466 (2007)

Lim G., Kim S., Yoon S.-M., Jung J.-W. & Kim K., Dynamical stochastic processes of returns in financial markets, Physica A 376, 517-524 (2007)

Eliazar I. & Klafter J., Correlation cascades of Levy-driven random processes, Physica A 376, 1-26 (2007)

Cukur S., Eryigit M. & Eryigit R., Cross correlations in an emerging market financial data, Physica A 376, 555-564 (2007)

Iori G., Reno R., De Masi G. & Caldarelli G., Trading strategies in the Italian interbank market, Physica A 376, 467-479 (2007)

Kim K., Yoon S.-M., Kim S., Chang K.-H., Kim Y. & Hoon Kang S., Dynamical structures of high-frequency financial data, Physica A 376, 525-531 (2007)

Apostolov S.S., Mayzelis Z.A., Usatenko O.V. & Yampol'skii V.A., Isotropy properties of the multi-step Markov symbolic sequences, Physica A 376, 165-172 (2007)

de Oliveira P.M.C., Stauffer D., Lima F.W.S., Sousa A.O., Schulze C. & Moss de Oliveira S., Bit-strings and other modifications of Viviane model for language competition, Physica A 376, 609-616 (2007)

Gao L., Zhao J., Di Z. & Wang D., Asymmetry between odd and even node weight in complex networks, Physica A 376, 687-691 (2007)

Petroni N.C., Mixtures in nonstable Levy processes, Journal of Physics A 40, 2227-2250 (2007)

Ikeda Y., Souma W., Aoyama H., Iyetomi H., Fujiwara Y. & Kaizoji T., Quantitative agent-based firm dynamics simulation with parameters estimated by financial and transaction data analysis, Physica A 375, 651-667 (2007)

Evans T.S., Exact solutions for network rewiring models, European Physical Journal B 56, 65-69 (2007)

Lan B.L. & Tan Y.O., Statistical properties of stock market indices of different economies, Physica A 375, 605-611 (2007)

Pan R.K. & Sinha S., Self-organization of price fluctuation distribution in evolving markets, EPL 77, 58004 (2007)

Wu M.-C., Phase correlation of foreign exchange time series, Physica A 375, 633-642 (2007)

Olemskoi A.I., Complexity of self-similar hierarchically constrained ensembles, JETP Letters 85, 127-130 (2007)

Ma J., Zhou P.-L., Zhou T., Bai W.-J. & Cai S.-M., Boolean game on scale-free networks, Physica A 375, 709-716 (2007)

Maslov V.P., Revision of probability theory from the point of view of quantum statistics, Russian Journal of Mathematical Physics 14, 66-95 (2007)

Hawkesby C., Marsh I.W. & Stevens I., Comovements in the equity prices of large complex financial institutions, Journal of Financial Stability 2, 391-411 (2007)

Samanidou E., Zschischang E., Stauffer D. & Lux T., Agent-based models of financial markets, Reports on Progress in Physics 70, R03 (2007)

Kim K., Yoon S.-M., Kim S.Y. & Takayasu H., Minority and majority games in financial markets, Fractals 15, 97-100 (2007)

Karpio K., Zaluska-Kotur M.A. & Orlowski A., Gain-loss asymmetry for emerging stock markets, Physica A 375, 599-604 (2007)

Baldovin F. & Stella A.L., Central limit theorem for anomalous scaling due to correlations, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 020101 (2007)

Richmond P., A roof over your head; house price peaks in the UK and Ireland, Physica A 375, 281-287 (2007)

Pabjan B. & Pekalski A., Model of prison riots, Physica A 375, 307-316 (2007)

Mosetti G., Jug G. & Scalas E., Power laws from randomly sampled continuous-time random walks, Physica A 375, 233-238 (2007)

Li M., Wu J., Wang D., Zhou T., Di Z. & Fan Y., Evolving model of weighted networks inspired by scientific collaboration networks, Physica A 375, 355-364 (2007)

Scafetta N. & West B.J., Probability distributions in conservative energy exchange models of multiple interacting agents, Journal of Physics Condensed Matter 19, 065138 (2007)

Cressoni J.C., Da Silva M.A.A. & Viswanathan G.M., Amnestically induced persistence in random walks, Physical Review Letters 98, 070603 (2007)

Perc M., Transition from Gaussian to Levy distributions of stochastic payoff variations in the spatial prisoner's dilemma game, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 022101 (2007)

Queiros S.M.D., Curado E.M.F. & Nobre F.D., A multi-interacting-agent model for financial markets, Physica A 374, 715-729 (2007)

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Weber P., Analysis of aggregated tick returns: Evidence for anomalous diffusion, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 016105 (2007)

Zhou T., Wang B.-H., Jin Y.-D.I., He D.A.-R., Zhang P.-P., He Y., Su B.-B., Chen K., Zhang Z.-Z. & Liu J.-G., Modelling collaboration networks based on nonlinear preferential attachment, International Journal of Modern Physics C 18, 297-314 (2007)

Chian A.C.-L., Rempel E.L. & Rogers C., Crisis-induced intermittency in non-linear economic cycles, Applied Economics Letters 14, 211-218 (2007)

Giuggioli L., Viswanathan G.M., Kenkre V.M., Parmenter R.R. & Yates T.L., Effects of finite probing windows on the interpretation of the multifractal properties of random walks, EPL 77, 40004 (2007)

Bonanno G., Valenti D. & Spagnolo B., Mean escape time in a system with stochastic volatility, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 016106 (2007)

Araujo T. & Louca F., The geometry of crashes. A measure of the dynamics of stock market crises, Quantitative Finance 7, 63-74 (2007)

Hopman C., Do supply and demand drive stock prices?, Quantitative Finance 7, 37-53 (2007)

Hoyle D.C. & Rattray M., Statistical mechanics of learning multiple orthogonal signals: Asymptotic theory and fluctuation effects, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 75, 016101 (2007)

Hong B.H., Lee K.E. & Lee J.W., Power law in firms bankruptcy, Physics Letters, Section A 361, 6-8 (2007)

Choustova O.Al., Quantum Bohmian model for financial market, Physica A 374, 304-314 (2007)

Wang F., Weber P., Yamasaki K., Havlin S. & Stanley H.E., Statistical regularities in the return intervals of volatility, European Physical Journal B 55, 123-133 (2007)

Eisler Z. & Kertesz J., Liquidity and the multiscaling properties of the volume traded on the stock market, EPL 77, 28001 (2007)

Marsili M., Toy models and stylized realities, European Physical Journal B 55, 169-173 (2007)

Alfi V., Coccetti F., Petri A. & Pietronero L., Roughness and finite size effect in the NYSE stock-price fluctuations, European Physical Journal B 55, 135-142 (2007)

Seifert J. & Uhrig-Homburg M., Modelling jumps in electricity prices: Theory and empirical evidence, Review of Derivatives Research 10, 59-85 (2007)

Kaya T., Localization-delocalization transition in chains with long-range correlated disorder, European Physical Journal B 55, 49-56 (2007)

Zhou W.-X. & Sornette D., Self-organizing Ising model of financial markets, European Physical Journal B 55, 175-181 (2007)