The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series, which is defined as the scale in which the uncertainty...

We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We...

We compute the analytic expression of the probability distributions FAEX,+ and FAEX,− of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the α re-scaled AEX daily index positive returns r(t)α and negative returns (−r(t))α, which we...

We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and the German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents p± usually vary with...

The interactions between investors and investments are of significant importance to understand the dynamics of financial markets. An evolutionary model is proposed to investigate the dynamic behaviors of investors and investments in a market ecology. The investors are divided into two groups,...

We introduce an autoregressive-type model of prices in the financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent...

Recent financial crises have shown the importance of determining the directionality of the influence between financial assets in order to identify the origin of market instabilities. Here, we analyze the correlation between Japan’s Nikkei stock average index (Nikkei 225) and other financial...

We study the evolution of the distribution of consumption of individuals in the majority population in China during the period 1995–2012 and find that its probability density functions (PDFs) obey the rule Pc(x)=K(x−μ)e−(x−μ)22σ2. We also find (i) that the PDFs and the individual...

We study the topological properties of the information transfer networks (ITN) of the global financial market indices for six different periods. ITN is a directed weighted network, in which the direction and weight are determined by the transfer entropy between market indices. By applying the...