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 2008

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

Fleming S.W., Approximate record length constraints for experimental identification of dynamical fractals, Annalen der Physik (Leipzig) 17, 955-969 (2008)

Czarnecki L., Grech D. & Pamula G., Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market, Physica A 387, 6801-6811 (2008)

Kar Gupta A., Relaxation in the wealth exchange models, Physica A 387, 6819-6824 (2008)

Qiu T., Guo L. & Chen G., Scaling and memory effect in volatility return interval of the Chinese stock market, Physica A 387, 6812-6818 (2008)

Cajueiro D.O. & Tabak B.M., The role of banks in the Brazilian interbank market: Does bank type matter?, Physica A 387, 6825-6836 (2008)

Wan W. & Zhang J.-W., Long-term memory of the returns in the Chinese stock indices, Frontiers of Physics in China 3, 489-494 (2008)

Sornette D., Nurturing breakthroughs: Lessons from complexity theory, Journal of Economic Interaction and Coordination 3, 165-181 (2008)

Bassler K.E., Gunaratne G.H. & McCauley J.L., Empirically based modeling in financial economics and beyond & spurious stylized facts, International Review of Financial Analysis 17, 767-783 (2008)

Wichmann S., The emerging field of language dynamics, Linguistics and Language Compass 2, 442-455 (2008)

Varga-Haszonits I. & Kondor I., The instability of downside risk measures, Journal of Statistical Mechanics 2008, P12007 (2008)

Franke R. & Asada T., Incorporating positions into asset pricing models with order-based strategies, Journal of Economic Interaction and Coordination 3, 201-227 (2008)

Bormetti G., Cazzola V., Montagna G. & Nicrosini O., The probability distribution of returns in the exponential Ornstein-Uhlenbeck model, Journal of Statistical Mechanics 2008, P11013 (2008)

Furuya S. & Yakubo K., Generalized strength of weighted scale-free networks, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 066104 (2008)

McCauley J.L., Nonstationarity of efficient finance markets: FX market evolution from stability to instability, International Review of Financial Analysis 17, 820-837 (2008)

del-Castillo-Negrete D., Gonchar V.Yu. & Chechkin A.V., Fluctuation-driven directed transport in the presence of Levy flights, Physica A 387, 6693-6704 (2008)

Jeannin M., Iori G. & Samuel D., Modeling stock pinning, Quantitative Finance 8, 823-831 (2008)

Sherrington D., Complex cooperative behaviour in range-free frustrated many-body systems, International Journal of Modern Physics B 22, 5081-5094 (2008)

Miskiewicz J., Globalization - Entropy unification through the Theil index, Physica A 387, 6595-6604 (2008)

Miskiewicz J. & Ausloos M., Correlation measure to detect time series distances, whence economy globalization, Physica A 387, 6584-6594 (2008)

Yook S.-H. & Kim Y., Herd behavior in weight-driven information spreading models for financial market, Physica A 387, 6605-6612 (2008)

Erzgraber H., Strozzi F., Zaldivar J.-M., Touchette H., Gutierrez E. & Arrowsmith D.K., Time series analysis and long range correlations of Nordic spot electricity market data, Physica A 387, 6567-6574 (2008)

During B., Matthes D. & Toscani G., Kinetic equations modelling wealth redistribution: A comparison of approaches, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 056103 (2008)

Redelico F.O., Proto A.N. & Ausloos M., Power law for the duration of recession and prosperity in Latin American countries, Physica A 387, 6330-6336 (2008)

Gilmore C.G., Lucey B.M. & Boscia M., An ever-closer union? Examining the evolution of linkages of European equity markets via minimum spanning trees, Physica A 387, 6319-6329 (2008)

Taniguchi M.-A., Bando M. & Nakayama A., Business cycle and conserved quantity in economics, Journal of the Physical Society of Japan 77, 114001 (2008)

Ausloos M., Equilibrium and dynamic methods when comparing an English text and its Esperanto translation, Physica A 387, 6411-6420 (2008)

Wilcox D. & Gebbie T., Serial correlation, periodicity and scaling of eigenmodes in an emerging market, International Journal of Theoretical and Applied Finance 11, 739-760 (2008)

Lamba H. & Seaman T., Market statistics of a psychology-based heterogeneous agent model, International Journal of Theoretical and Applied Finance 11, 717-737 (2008)

Queiros S.M.D., On discrete stochastic processes with long-lasting time dependence in the variance, European Physical Journal B 66, 137-148 (2008)

Mori S., Kitsukawa K. & Hisakado M., Correlation structures of correlated binomial models and implied default distribution, Journal of the Physical Society of Japan 77, 114802 (2008)

Basalto N., Bellotti R., De Carlo F., Facchi P., Pantaleo E. & Pascazio S., Hausdorff clustering, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 046112 (2008)

Yang C., Wu H. & Zhang Y., Periodic components and characteristic time scales in the financial market, Modern Physics Letters B 22, 2571-2578 (2008)

Alvarez-Ramirez J., Alvarez J., Rodriguez E. & Fernandez-Anaya G., Time-varying Hurst exponent for US stock markets, Physica A 387, 6159-6169 (2008)

Jiang Z.-Q., Chen W. & Zhou W.-X., Scaling in the distribution of intertrade durations of Chinese stocks, Physica A 387, 5818-5825 (2008)

Chang G. & Feigenbaum J., Detecting log-periodicity in a regime-switching model of stock returns, Quantitative Finance 8, 723-738 (2008)

Dong L., A self-adapting herding model: The agent judge-abilities influence the dynamic behaviors, Physica A 387, 5868-5873 (2008)

Manimaran P., Panigrahi P.K. & Parikh J.C., Difference in nature of correlation between NASDAQ and BSE indices, Physica A 387, 5810-5817 (2008)

Hu H.-B. & Han D.-Y., Empirical analysis of individual popularity and activity on an online music service system, Physica A 387, 5916-5921 (2008)

Chang H., Su B.-B., Liu C.-P., Gao M., Di Z.-R. & He D.-R., Community, hierarchy and interweavement in collaboration networks, International Journal of Modern Physics C 19, 1537-1554 (2008)

Heimo T., Tibely G., Saramaki J., Kaski K. & Kertesz J., Spectral methods and cluster structure in correlation-based networks, Physica A 387, 5930-5945 (2008)

Basu U. & Mohanty P.K., Modeling wealth distribution in growing markets, European Physical Journal B 65, 585-589 (2008)

Hu M.-B., Jiang R., Wu Y.-H., Wang R. & Wu Q.-S., Properties of wealth distribution in multi-agent systems of a complex network, Physica A 387, 5862-5867 (2008)

Matsumoto K., Evaluation of an artificial market approach for GHG emissions trading analysis, Simulation Modelling Practice and Theory 16, 1312-1322 (2008)

Arulselvan A., Baourakis G., Boginski V., Korchina E. & Pardalos P.M., Analysis of food industry market using network approaches, British Food Journal 110, 916-928 (2008)

Kim Y., Kim H.-J. & Yook S.-H., Agent-based spin model for financial markets on complex networks: Emergence of two-phase phenomena, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 036115 (2008)

Bogachev M.I. & Bunde A., Memory effects in the statistics of interoccurrence times between large returns in financial records, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 036114 (2008)

Roman H.E. & Porto M., Fractional derivatives of random walks: Time series with long-time memory, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 031127 (2008)

Yang J.-S., Kwon O., Jung W.-S. & Kim I.-m., Agent-based approach for generation of a money-centered star network, Physica A 387, 5498-5502 (2008)

Ren F. & Zhang Y.C., Trading model with pair pattern strategies, Physica A 387, 5523-5534 (2008)

Yolles M., Frieden B.R. & Kemp G., Toward a formal theory of socioculture: A yin-yang information-based theory of social change, Kybernetes 37, 850-909 (2008)

Broszkiewicz-Suwaj E. & Jurlewicz A., Pricing on electricity market based on coupled-continuous-time-random-walk concept, Physica A 387, 5503-5510 (2008)

Apostolov S.S., Mayzelis Z.A., Usatenko O.V. & Yampol'skii V.A., High-order correlation functions of binary multi-step Markov chains, International Journal of Modern Physics B 22, 3841-3853 (2008)

Perello J., Masoliver J., Kasprzak A. & Kutner R., Model for interevent times with long tails and multifractality in human communications: An application to financial trading, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 036108 (2008)

Mu G.-H. & Zhou W.-X., Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index, Physica A 387, 5211-5218 (2008)

Gu G.-F., Chen W. & Zhou W.-X., Empirical shape function of limit-order books in the Chinese stock market, Physica A 387, 5182-5188 (2008)

Spagnolo B. & Valenti D., Volatility effects on the escape time in financial market models, International Journal of Bifurcation and Chaos 18, 2775-2786 (2008)

Conlon T., Crane M. & Ruskin H.J., Wavelet multiscale analysis for Hedge Funds: Scaling and strategies, Physica A 387, 5197-5204 (2008)

Eom C., Jung W.-S., Choi S., Oh G. & Kim S., Effects of time dependency and efficiency on information flow in financial markets, Physica A 387, 5219-5224 (2008)

Ahalpara D.P., Verma A., Parikh J.C. & Panigrahi P.K., Characterizing and modelling cyclic behaviour in non-stationary time series through multi-resolution analysis, Pramana - Journal of Physics 71, 459-485 (2008)

Petersen A.M., Jung W.-S. & Eugene Stanley H., On the distribution of career longevity and the evolution of home-run prowess in professional baseball, EPL 83, 50010 (2008)

Kowalski A.M. & Plastino A., The interaction between matter and a field's single-mode as a quantum game, Physica A 387, 5065-5072 (2008)

Brida J.G. & Risso W.A., Multidimensional minimal spanning tree: The Dow Jones case, Physica A 387, 5205-5210 (2008)

Kang S.H. & Yoon S.-M., Long memory features in the high frequency data of the Korean stock market, Physica A 387, 5189-5196 (2008)

Inoue J.-I. & Ohkubo J., Power-law behavior and condensation phenomena in disordered urn models, Journal of Physics A 41, 324020 (2008)

Kuhn R. & Neu P., Intermittency in an interacting generalization of the geometric Brownian motion model, Journal of Physics A 41, 324015 (2008)

Chechkin A.V., Gonchar V.Yu., Gorenflo R., Korabel N. & Sokolov I.M., Generalized fractional diffusion equations for accelerating subdiffusion and truncated Levy flights, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 78, 021111 (2008)

Jiang Z.-Q. & Zhou W.-X., Multifractal analysis of Chinese stock volatilities based on the partition function approach, Physica A 387, 4881-4888 (2008)

Chakrabarti B.K., Chatterjee A. & Bhattacharyya P., Two-fractal overlap time series: Earthquakes and market crashes, Pramana - Journal of Physics 71, 203-210 (2008)

Stella A.L. & Baldovin F., Role of scaling in the statistical modelling of finance, Pramana - Journal of Physics 71, 341-352 (2008)

Chakraborti A. & Patriarca M., Gamma-distribution and wealth inequality, Pramana - Journal of Physics 71, 233-243 (2008)

Kondor I. & Varga-Haszonits I., Divergent estimation error in portfolio optimization and in linear regression, European Physical Journal B 64, 601-605 (2008)

Kiet H.A.T. & Kim B.J., Network marketing with bounded rationality and partial information, Physica A 387, 4896-4902 (2008)

Roman H.E. & Porto M., Fractional Brownian motion with stochastic variance: Modeling absolute returns in stock markets, International Journal of Modern Physics C 19, 1221-1242 (2008)

Eom C., Choi S., Oh G. & Jung W.-S., Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets, Physica A 387, 4630-4636 (2008)

Gonzalez-Estevez J., Cosenza M.G., Lopez-Ruiz R. & Sanchez J.R., Pareto and Boltzmann-Gibbs behaviors in a deterministic multi-agent system, Physica A 387, 4637-4642 (2008)

Daly J., Crane M. & Ruskin H.J., Random matrix theory filters in portfolio optimisation: A stability and risk assessment, Physica A 387, 4248-4260 (2008)

Greco A., Sorriso-Valvo L., Carbone V. & Cidone S., Waiting time distributions of the volatility in the Italian MIB30 index: Clustering or Poisson functions?, Physica A 387, 4272-4284 (2008)

Zhang Y.-X., Zou X.-W. & Jin Z.-Z., Statistical analysis of the evolutionary minority game with different capacities, Physica A 387, 4319-4326 (2008)

Lu L., Medo M., Zhang Y.-C. & Challet D., Emergence of product differentiation from consumer heterogeneity and asymmetric information, European Physical Journal B 64, 293-300 (2008)

Krawiecki A., Microscopic spin model for the stock market with attractor bubbling on regular and small-world lattices, International Journal of Modern Physics C 19, 1035-1045 (2008)

Grech D. & Pamula G., The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market, Physica A 387, 4299-4308 (2008)

Matuttis H.-G., Random-walk type model with fat tails for financial markets, International Journal of Modern Physics C 19, 1017-1026 (2008)

Zhou W.-X., Multifractal detrended cross-correlation analysis for two nonstationary signals, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 066211 (2008)

Yamamoto H., Ohtsuki T. & Fujihara A., Double power-law in aggregation-chipping processes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 061122 (2008)

Stanley H.E., Plerou V. & Gabaix X., A statistical physics view of financial fluctuations: Evidence for scaling and universality, Physica A 387, 3967-3981 (2008)

Matos J.A.O., Gama S.M.A., Ruskin H.J., Sharkasi A.A. & Crane M., Time and scale Hurst exponent analysis for financial markets, Physica A 387, 3910-3915 (2008)

Coelho R., Richmond P., Barry J. & Hutzler S., Double power laws in income and wealth distributions, Physica A 387, 3847-3851 (2008)

Kanevski M., Maignan M., Pozdnoukhov A. & Timonin V., Interest rates mapping, Physica A 387, 3897-3903 (2008)

Challet D., Feedback and efficiency in limit order markets, Physica A 387, 3831-3836 (2008)

Fagiolo G., Reyes J. & Schiavo S., On the topological properties of the world trade web: A weighted network analysis, Physica A 387, 3868-3873 (2008)

Sato A.-H., Application of spectral methods for high-frequency financial data to quantifying states of market participants, Physica A 387, 3960-3966 (2008)

Bentes S.R., Menezes R. & Mendes D.A., Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?, Physica A 387, 3826-3830 (2008)

Zukovic M. & Hristopulos D.T., Spartan random processes in time series modeling, Physica A 387, 3995-4001 (2008)

Lamba H. & Seaman T., Rational expectations, psychology and inductive learning via moving thresholds, Physica A 387, 3904-3909 (2008)

Petroni F. & Rotundo G., Effectiveness of measures of performance during speculative bubbles, Physica A 387, 3942-3948 (2008)

Garlaschelli D. & Loffredo M.I., Effects of network topology on wealth distributions, Journal of Physics A 41, 224018 (2008)

Jiang Z.-Q. & Zhou W.-X., Multifractality in stock indexes: Fact or Fiction?, Physica A 387, 3605-3614 (2008)

Ikeda Y., Aoyama H., Iyetomi H., Fujiwara Y. & Souma W., Correlated performance of firms in a transaction network, Journal of Economic Interaction and Coordination 3, 73-80 (2008)

Ohnishi T., Takayasu H., Ito T., Hashimoto Y., Watanabe T. & Takayasu M., Dynamics of quote and deal prices in the foreign exchange market, Journal of Economic Interaction and Coordination 3, 99-106 (2008)

Kwon O. & Yang J.-S., Information flow between stock indices, EPL 82, 68003 (2008)

Nirei M., Self-organized criticality in a herd behavior model of financial markets, Journal of Economic Interaction and Coordination 3, 89-97 (2008)

Preis T., Paul W. & Schneider J.J., Fluctuation patterns in high-frequency financial asset returns, EPL 82, 68005 (2008)

Yamada K., Takayasu H. & Takayasu M., The grounds for time dependent market potentials from dealers' dynamics, European Physical Journal B 63, 529-532 (2008)

Jung W.-S., Moon H.-T. & Stanley H.E., Dynamics of clustered opinions in complex networks, Journal of Economic Interaction and Coordination 3, 81-88 (2008)

Pedram P. & Jafari G.R., Mona Lisa: The stochastic view and fractality in color space, International Journal of Modern Physics C 19, 855-866 (2008)

Yanagita T. & Onozaki T., Dynamics of a market with heterogeneous learning agents, Journal of Economic Interaction and Coordination 3, 107-118 (2008)

Lin D.C., Factorization of joint multifractality, Physica A 387, 3461-3470 (2008)

Donner R., Multivariate analysis of spatially heterogeneous phase synchronisation in complex systems: Application to self-organised control of material flows in networks, European Physical Journal B 63, 349-361 (2008)

Gu G.-F., Chen W. & Zhou W.-X., Empirical regularities of order placement in the Chinese stock market, Physica A 387, 3173-3182 (2008)

Bertram W.K., Measuring time dependent volatility and cross-sectional correlation in Australian equity returns, Physica A 387, 3183-3191 (2008)

Ma Q., Chen Y., Tong H. & Di Z., Production, depreciation and the size distribution of firms, Physica A 387, 3209-3217 (2008)

Kanli I.B., Asymmetric impacts of global risk appetite on the risk premium for an emerging market, Physica A 387, 3218-3226 (2008)

Bagrow J.P., Sun J. & Ben-Avraham D., Phase transition in the rich-get-richer mechanism due to finite-size effects, Journal of Physics A 41, 185001 (2008)

Volpe G., Perrone S., Rubi J.M. & Petrov D., Stochastic resonant damping in a noisy monostable system: Theory and experiment, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 051107 (2008)

Fujita Y., Competition and welfare for a stochastically fluctuating market with irreversible decisions, Physica A 387, 2846-2850 (2008)

Kwon O. & Yang J.-S., Information flow between composite stock index and individual stocks, Physica A 387, 2851-2856 (2008)

Lim G., Kim S., Scalas E., Kim K. & Chang K.-H., Analysis of price fluctuations in futures exchange markets, Physica A 387, 2823-2830 (2008)

Weron R., Market price of risk implied by Asian-style electricity options and futures, Energy Economics 30, 1098-1115 (2008)

Zhou S., Hu G., Zhang Z. & Guan J., An empirical study of Chinese language networks, Physica A 387, 3039-3047 (2008)

Horvath D. & Kuscsik Z., The emergence of network communities by the action of coevolving market agents, Physics of Particles and Nuclei Letters 5, 211-214 (2008)

Eliazar I. & Klafter J., Paretian poisson processes, Journal of Statistical Physics 131, 487-504 (2008)

Lim G., Kim S., Kim K., Lee D.-I. & Scalas E., Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets, Physica A 387, 2831-2836 (2008)

McDonald M., Suleman O., Williams S., Howison S. & Johnson N.F., Impact of unexpected events, shocking news & rumors on foreign exchange market dynamics, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 046110 (2008)

Da Silva M.A.A., Viswanathan G.M., Ferreira A.S. & Cressoni J.C., Spontaneous symmetry breaking in amnestically induced persistence, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 040101 (2008)

Sato A.-H. & Holyst J.A., Characteristic periodicities of collective behavior at the foreign exchange market, European Physical Journal B 62, 373-380 (2008)

Ezhov A.A., Khrennikov A.Yu. & Terentyeva S.S., Indications of a possible symmetry and its breaking in a many-agent model obeying quantum statistics, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 031126 (2008)

Plerou V. & Stanley H.E., Stock return distributions: Tests of scaling and universality from three distinct stock markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 037101 (2008)

Politi M. & Scalas E., Fitting the empirical distribution of intertrade durations, Physica A 387, 2025-2034 (2008)

Takahashi T., Oono H. & Radford M.H.B., Psychophysics of time perception and intertemporal choice models, Physica A 387, 2066-2074 (2008)

Navarro-Barrientos J.E., Cantero-Alvarez R., Matias Rodrigues J.F. & Schweitzer F., Investments in random environments, Physica A 387, 2035-2046 (2008)

Pan R.K. & Sinha S., Inverse-cubic law of index fluctuation distribution in Indian markets, Physica A 387, 2055-2065 (2008)

Cufaro Petroni N., Selfdecomposability and selfsimilarity: A concise primer, Physica A 387, 1875-1894 (2008)

Vaglica G., Lillo F., Moro E. & Mantegna R.N., Scaling laws of strategic behavior and size heterogeneity in agent dynamics, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 036110 (2008)

Mizuno T., Power law of customers' expenditures in convenience stores, Journal of the Physical Society of Japan 77, 035001 (2008)

Matthes D. & Toscani G., On steady distributions of kinetic models of conservative economies, Journal of Statistical Physics 130, 1087-1117 (2008)

Wei Y. & Wang P., Forecasting volatility of SSEC in Chinese stock market using multifractal analysis, Physica A 387, 1585-1592 (2008)

Kozlowska M., Kasprzak A. & Kutner R., Fractional market model and its verification on the warsaw stock exchange, International Journal of Modern Physics C 19, 453-469 (2008)

Koval' G.V. & Maslov V.P., Generalization of the Bardeen-Cooper-Schrieffer method for pair interactions, Theoretical and Mathematical Physics 154, 495-502 (2008)

Galam S., Sociophysics: A review of galam models, International Journal of Modern Physics C 19, 409-440 (2008)

Biro T.S. & Rosenfeld R., Microscopic origin of non-Gaussian distributions of financial returns, Physica A 387, 1603-1612 (2008)

Wang S.C., Tseng J.J., Tai C.C., Lai K.H., Wu W.S., Chen S.H. & Li S.P., Network topology of an experimental futures exchange, European Physical Journal B 62, 105-111 (2008)

Sarasvathy S.D., Dew N., Read S. & Wiltbank R., Designing organizations that design environments: Lessons from entrepreneurial expertise, Organization Studies 29, 331-350 (2008)

Jung W.-S., Wang F.Z., Havlin S., Kaizoji T., Moon H.-T. & Stanley H.E., Volatility return intervals analysis of the Japanese market, European Physical Journal B 62, 113-119 (2008)

Yamada H.S. & Iguchi K., q-exponential fitting for distributions of family names, Physica A 387, 1628-1636 (2008)

Lim G., Kim S.Y., Kim K., Lee D.-I. & Yum M.-K., Regularity analysis of inter-out-of-equilibrium state intervals in financial markets, Journal of the Physical Society of Japan 77, 033801 (2008)

Estrada E., Hatano N. & Gutierrez A., 'Clumpiness' mixing in complex networks, Journal of Statistical Mechanics 2008, P03008 (2008)

Sieczka P. & Holyst J.A., Statistical properties of short term price trends in high frequency stock market data, Physica A 387, 1218-1224 (2008)

Mariani M.C., Libbin J.D., Kumar Mani V., Beccar Varela M.P., Erickson C.A. & Valles-Rosales D.J., Long correlations and Normalized Truncated Levy Models applied to the study of Indian Market Indices in comparison with other emerging markets, Physica A 387, 1273-1282 (2008)

Kozaki M. & Sato A.-H., Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment, Physica A 387, 1225-1246 (2008)

Ye C. & Huang J.P., Non-classical oscillator model for persistent fluctuations in stock markets, Physica A 387, 1255-1263 (2008)

Fu C.-H., Zhang Z.-P., Chang H., Tao J.-R., Chen Z.-H., Dai Y.-L., Zhang W. & He D.-R., A kind of collaboration-competition networks, Physica A 387, 1411-1420 (2008)

Sun Y., Wang Z., Zhang L. & He M., The wealth exchange model based on agents with different strategies, Physica A 387, 1311-1318 (2008)

oh G., Kim S. & Eom C., Long-term memory and volatility clustering in high-frequency price changes, Physica A 387, 1247-1254 (2008)

Yang Y. & Yang H., Complex network-based time series analysis, Physica A 387, 1381-1386 (2008)

Gazola L., Fernandes C., Pizzinga A. & Riera R., The log-periodic-AR(1)-GARCH(1,1) model for financial crashes, European Physical Journal B 61, 355-362 (2008)

Han D.-D., Liu J.-G. & Ma Y.-G., Fluctuation of the download network, Chinese Physics Letters 25, 765-768 (2008)

Wyart M., Bouchaud J.-P., Kockelkoren J., Potters M. & Vettorazzo M., Relation between bid-ask spread, impact and volatility in order-driven markets, Quantitative Finance 8, 41-57 (2008)

Sadegh Movahed M. & Hermanis E., Fractal analysis of river flow fluctuations, Physica A 387, 915-932 (2008)

Wang F., Yamasaki K., Havlin S. & Stanley H.E., Indication of multiscaling in the volatility return intervals of stock markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 77, 016109 (2008)

Araujo T. & Louca F., The seismography of crashes in financial markets, Physics Letters, Section A 372, 429-434 (2008)

Takahashi T., A comparison between Tsallis's statistics-based and generalized quasi-hyperbolic discount models in humans, Physica A 387, 551-556 (2008)

Gu G.-F., Chen W. & Zhou W.-X., Empirical distributions of Chinese stock returns at different microscopic timescales, Physica A 387, 495-502 (2008)

Bogojevic A., Balaz A. & Karapandza R., Consequences of increased longevity for wealth, fertility & population growth, Physica A 387, 543-550 (2008)

Jung W.-S., Kwon O., Wang F., Kaizoji T., Moon H.-T. & Stanley H.E., Group dynamics of the Japanese market, Physica A 387, 537-542 (2008)

Duan W.-Q., Estimating trade flow based on network topology, Physica A 387, 519-527 (2008)

Qian X.-Y., Song F.-T. & Zhou W.-X., Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests, Physica A 387, 503-510 (2008)

Cajueiro D.O. & Tabak B.M., Long-range dependence in interest rates and monetary policy, Physics Letters, Section A 372, 181-184 (2008)