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.

We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning...

The cascading failure can bring a huge loss for most real-world networks; but, we cannot uncover fully the mechanism and law of the cascading events occurrence. Most networks in which the cascading failure occurred are based on the various ‘flows’, such as power, oils, and information;...

In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a...

We calculate the Shannon entropy of a time series by using the probability density functions of the characteristic sizes of the long-range correlated clusters introduced in [A. Carbone, G. Castelli, H.E. Stanley, Phys. Rev. E 69 (2004) 026105]. We define three different measures of the entropy...

We step toward the elucidation of the relation between the structural and dynamic anomalies in supercooled water. We present the results of molecular dynamics simulations of the extended simple point charge (SPC/E) model of water for the translational and rotational diffusion and for the number...

Recent empirical research has uncovered regularities in financial fluctuations. Those are: (i) the cubic law of returns: returns follow a power law distribution with exponent 3; (ii) the half cubic law of volumes: volumes follow a power law distribution with exponent 32; (iii) Approximate cubic law...