A financial index of the New York stock exchange, the S&P500, is analyzed at 1 min intervals over the 13 yr period, January 84–December 96. We quantify the correlations of the absolute values of the index increment. We find that these correlations can be described by two different power laws...

We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is power-law correlated with Hurst exponent α ≌ 0.9.

When a mixture of small and large grains is poured between two vertical slabs, the mixture spontaneously stratifies in alternating layers of small and large grains. We describe a possible mechanism and we develop a model that reproduces stratification of the large and small grains in alternating...

We record and analyze the noise experienced by a tracer particle in a one-dimensional system of particles interacting with hard-core interactions. We find that the correlations of the noise are long-range, with an algebraic decay in time.

Controlling and monitoring extreme downside market risk are important for financial risk management and portfolio/investment diversification. In this paper, we introduce a new concept of Granger causality in risk and propose a class of kernel-based tests to detect extreme downside risk spillover...

chapter 1 Introduction -- chapter 2 Methodology to detect extreme risk spillover -- chapter 3 VaR estimation -- chapter 4 Extreme risk spillover between Chinese stock markets and international stock markets -- chapter 5 Information spillover effects between Chinese futures market and spot market...

Purpose: The authors attempt to answer the basic questions: How is imitation tied to innovation? This question is addressed in the context of China's innovation system in the 2000s where Chinese industrial firms simultaneously implement innovation and imitation strategies in their new product...

Purpose The purpose of this paper is to provide a fresh insight into the examination of the comparison between multinationality and firm performance, measured through technical efficiency levels by overcoming methodological constraints and misunderstandings presented in earlier research....