We investigate statistical properties of the German Dax and Chinese indices, including the volatility distribution, autocorrelation function, DFA function and return-volatility correlation function, with both the daily data and minutely data. At the minutely time scale, the Chinese indices may...

A dynamic feed-back interaction is introduced to the Eguiluz–Zimmermann model (Phys. Rev. Lett. 85 (2000) 5659). In application to financial dynamics, transmission of information at time t′ is supposed to depend on the variation of the financial index at t′-1. The generated time series is...

Payoffs which depend on the scores of the strategies are introduced into the standard Minority Game (MG). The double-periodicity behavior of the standard model is consequently removed, and stylized facts arise, such as long-range volatility correlations and “fat-tails” of the probability...

We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations nonlocal in time. Universal and non-universal behaviors of the German...

A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behavior is observed for the return variance σ2, the price impact H and the predictability K for both models, with linear and square root impact functions. The sum of the traders’ wealth...

We investigate the community structure of physics subfields in the citation network of all Physical Review publications between 1893 and August 2007. We focus on well-cited publications (those receiving more than 100 citations), and apply modularity maximization to uncover major communities that...

We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and the German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents p± usually vary with...

We simulate the kinetic Ashkin-Teller model with both ordered and disordered initial states, evolving in contact with a heat-bath at the critical temperature. The power-law scaling behaviour for the magnetic order and electric order are observed in the early time stage. The values of the...