Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are at odds with the available evidence. We discuss a recently proposed...

We study the size distribution of business cycles phases, that is expansions and contractions, for a sample of 16 industrialized countries over 120 years. We find that the best-fitting distribution for both expansions and contractions is Weibull, meaning that business cycles possess a...

Self-similar models are largely used to describe the extinction rate of biological species. In this paper we analyse the extinction rate of firms in eight OECD countries. Firms are classified by industrial sectors and sizes. We find that while a power-law distribution with exponent close to 2...

A firms growth and failure are the two sides of the same coin. This paper reports new phenomenological findings for firm size distribution and growth, and bankruptcy. This paper is based on [Y. Fujiwara et al., Physica A 335 (2004) 197] and on [Y. Fujiwara, Physica A 337 (2004) 219]. See also...

By employing exhaustive lists of large firms in European countries, we show that the upper-tail of the distribution of firm size can be fitted with a power-law (Pareto–Zipf law), and that in this region the growth rate of each firm is independent of the firm's size (Gibrat's law of...

Following Aoki’s statistical mechanics methodology [Masanao Aoki, New Approaches to Macroeconomic Modeling, Cambridge University Press, 1996; Masanao Aoki, Modeling Aggregate Behaviour and Fluctuations in Economics, Cambridge University Press, 2002; Masanao Aoki, and Hiroshi Yoshikawa, Reconstructing...

This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined...

The market maker plays an important role in price formation, but his/her behavior and stabilizing impact on the market are relatively unclear, in particular in speculative markets. This paper develops a financial market model that examines the impact on market stability of the market maker, who...

Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remains popular with financial market practitioners. This paper proposes a stochastic dynamic financial market model in which demand for traded...