Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an exponent 1+μmarket=2.4±0.1. The...

We introduce and study a dynamic transport model exhibiting Self-Organized Criticality. The novel concepts of our model are the probabilistic propagation of activity and unbiased random repartition of energy among the active site and its nearest neighbors. For space dimensionality d ≥ 2 we...

We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade stock (or any other risky asset for that matter) at the market price or place a limit order, i.e., an instruction to buy (sell) a certain amount of the stock if its price falls below...

The World-Wide Web (WWW) is characterized by a strong community structure in which groups of webpages (e.g. those devoted to a common topic or belonging to the same organization) are densely interconnected by hyperlinks. We study how such network architecture affects the average Google rank of...

A diffusion process on complex networks is introduced in order to uncover their large-scale topological structures. This is achieved by focusing on the slowest decaying diffusive modes of the network. The proposed procedure is applied to real-world networks like a friendship network of known...

We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random walk with identical drift and dispersion. The rules of...

In a general way, stock and bond prices do not display any significant correlation. Yet, if we concentrate our attention on the specific episodes marked by a crash followed by a rebound, then we observe that stock prices have a strong connection with interest rates on one hand, and with bond...

The cross-correlation matrix of daily returns of stock market indices in a diverse set of 37 countries worldwide was analyzed. Comparison of the spectrum of this matrix with predictions of random matrix theory provides an empirical evidence of strong interactions between individual economies, as...

We develop a simple statistical method to find affinity relations in a large opinion network which is represented by a very sparse matrix. These relations allow us to predict missing matrix elements. We test our method on the Eachmovie data of thousands of movies and viewers. We found that...

A general scheme for detecting and analyzing topological patterns in large complex networks is presented. In this scheme the network in question is compared with its properly randomized version that preserves some of its low-level topological properties. Statistically significant deviation of...