In the present work we investigate the multiscale nature of the correlations for high frequency data (1 min) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of local Hurst...

Self-organized criticality (SOC) has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market indices are identified using a multi-scale...

The stock market is a complex self-interacting system, characterized by intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically the possibility that the market is in a self-organized critical state (SOC). A wavelet...

In the present work we extend the Bak–Sneppen model for biological evolution by introducing local interactions between species. This “environmental” perturbation modifies the intrinsic fitness of each element of the ecology, leading to higher survival probability, even for the less fit....

Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth's crust dynamics and from traffic flows to financial markets. Self-organized criticality (SOC) is one of the most popular theories able to...

In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to...

Minimum spanning trees and planar maximally filtered graphs are generated from correlations between the 300 most-capitalized NYSE stocks' daily returns, computed dynamically over moving windows of sizes between 1 and 12 months, in the period from 2001 to 2003. We study how different economic...

The most suitable paradigms and tools for investigating the scaling structure of financial time series are reviewed and discussed in the light of some recent empirical results. Different types of scaling are distinguished and several definitions of scaling exponents, scaling and multi-scaling...