The concept of a minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean occupation layer, and single- and multiple-step...

Close examination of wealth distributions reveal the existence of two distinct power law regimes. The Pareto exponents of the super-rich, identified, for example in rich lists such as provided by Forbes, are smaller than the Pareto exponents obtained for top earners in income data sets. Our...

We study the model of interacting agents proposed by Chakraborti and Chakrabarti [Eur. Phys. J. B 17 (2000) 167] that allows agents to both save and exchange wealth. Closed equations for the wealth distribution are developed using a mean field approximation.

A model based on first-degree family relations network is used to describe the wealth distribution in societies. The network structure is not a priori introduced in the model, it is generated in parallel with the wealth values through simple and realistic dynamical rules. The model has two main...

A theory which describes the share price evolution at financial markets as a continuous-time random walk (Physica A 287 (2000) 468, Physica A 314 (2002) 749, Eur. Phys. J. B 27 (2002) 273, Physica A 376 (2000) 284) has been generalized in order to take into account the dependence of waiting...

A theory which describes the share price evolution at financial markets as a continuous time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density function φX,T(x,t), which uses the concept of a Lévy...

Using the Generalized Lotka Volterra model adapted to deal with mutiagent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic assumptions on capital dynamics, we are able to obtain very specific...

We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a ‘potential’ or ‘objective’ function. This allows us to rescale data from different assets (or sources) such that each data set then has similar statistical properties in...

We develop a novel approach to peer pressure and Generalised Lotka-Volterra (GLV) models that builds on the development of a simple Langevin equation that characterises stochastic processes. We generalise the approach to stochastic equations that model interacting agents. The agent models...

We review some approaches to the understanding of fluctuations of financial asset prices. Our approach builds on the development of a simple Langevin equation that characterises stochastic processes. This provides a unifying approach that allows first a straightforward description of the early...