We examine several named subsets of the wealthiest individuals in the US and the UK that are compiled by Forbes Magazine and Sunday Times. The data support conventional wisdom of a wealth distribution with power law-distributed right tail, and they allow us to calibrate a statistical equilibrium...

The stylised facts of financial data, such as fat tails, volatility clustering, and long memory, have been successfully described within the paradigm of interacting agent hypothesis. However, a common problem that characterizes the dynamics of agent-based models is the necessary fine tuning of...

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is an assessment of the performance of long memory time series models in comparison to their short-memory counterparts. Since long memory models should...