Similar Search Results

Power-law distribution in a learning process: competition, learning and natural selection

Gupta, Hari M.; Campanha, José R. - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 1, pp. 267-274

them in a learning process, based on competition, learning and natural selection. We consider that learning ability is … normally distributed. We found that the number of people versus step acquired by them in a learning process is given through a … power law. As competition, learning and selection is also at the core of all economical and social systems, we consider that …

Persistent link: https://www.econbiz.de/10010588478

Information-driven trade and price–volume relationship in artificial stock markets

Liu, Xinghua; Liu, Xin; Liang, Xiaobei - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 73-80

The positive relation between stock price changes and trading volume (price–volume relationship) as a stylized fact has attracted significant interest among finance researchers and investment practitioners. However, until now, consensus has not been reached regarding the causes of the...

Persistent link: https://www.econbiz.de/10011264579

The effects of behavioral and structural assumptions in artificial stock market

Liu, Xinghua; Gregor, Shirley; Yang, Jianmei - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2535-2546

Recent literature has developed the conjecture that important statistical features of stock price series, such as the fat tails phenomenon, may depend mainly on the market microstructure. This conjecture motivated us to investigate the roles of both the market microstructure and agent behavior...

Persistent link: https://www.econbiz.de/10010872995

Herd behaviour experimental testing in laboratory artificial stock market settings. Behavioural foundations of stylised facts of financial returns

Manahov, Viktor; Hudson, Robert - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 19, pp. 4351-4372

Many scholars express concerns that herding behaviour causes excess volatility, destabilises financial markets, and increases the likelihood of systemic risk. We use a special form of the Strongly Typed Genetic Programming (STGP) technique to evolve a stock market divided into two groups—a...

Persistent link: https://www.econbiz.de/10011060929

Diffusion entropy analysis on the scaling behavior of financial markets

Cai, Shi-Min; Zhou, Pei-Ling; Yang, Hui-Jie; Yang, Chun-Xia - In: Physica A: Statistical Mechanics and its Applications 367 (2006) C, pp. 337-344

In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the...

Persistent link: https://www.econbiz.de/10010590111

Ranking market efficiency for stock markets: A nonlinear perspective

Lim, Kian-Ping - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 445-454

The present paper demonstrates, via a rolling sample approach, that the stylized fact of nonlinear dependence in stock returns is quite localized in time, suggesting that market efficiency evolves over time. Given that the rolling sample framework is able to detect periods of...

Persistent link: https://www.econbiz.de/10010874516

Mutual information: a measure of dependency for nonlinear time series

Dionisio, Andreia; Menezes, Rui; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 326-329

The main goal of the paper is to show how mutual information can be used as a measure of dependence in financial time series. One major advantage of this approach resides precisely in its ability to account for nonlinear dependencies with no need to specify a theoretical probability distribution...

Persistent link: https://www.econbiz.de/10010588924

Matsushita, Raul; Figueiredo, Annibal; Da Silva, Sergio - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4891-4898

We devise a new asymptotic statistical test to assess independence in bivariate continuous distributions. Our approach is based on the Cramér–von Mises test, in which the empirical process is viewed as the Kullback–Leibler divergence, that is, as the distance between the data under the...

Persistent link: https://www.econbiz.de/10010591542

Bank mergers as scale-free coagulation

Pushkin, Dmitri O; Aref, Hassan - In: Physica A: Statistical Mechanics and its Applications 336 (2004) 3, pp. 571-584

The asset size distribution of US banks is viewed as the result of a scale-free coagulation process. When two banks merge, the assets of the combined institution equals the sum of the assets of the constituent banks. Analysis of the Smoluchowski coagulation equation suggests the emergence of a...

Persistent link: https://www.econbiz.de/10010872190

Scaling laws in the dynamics of crime growth rate

Alves, Luiz G.A.; Ribeiro, Haroldo V.; Mendes, Renio S. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 11, pp. 2672-2679

The increasing number of crimes in areas with large concentrations of people have made cities one of the main sources of violence. Understanding characteristics of how crime rate expands and its relations with the cities size goes beyond an academic question, being a central issue for...

Persistent link: https://www.econbiz.de/10010872515