The dynamics of generalized Lotka-Volterra systems is studied by theoretical techniques and computer simulations. These systems describe the time evolution of the wealth distribution of individuals in a society, as well as of the market values of firms in the stock market. The individual wealths...

Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two characteristic regimes. For large values of wealth it takes...

This paper examines the applicability of Random Matrix Theory to portfolio management in finance. Starting from a group of normally distributed stochastic processes with given correlations we devise an algorithm for removing noise from the estimator of correlations constructed from measured time...

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 terms of...

Correlations of stocks in time have been widely studied. Both the random matrix theory approach and the graphical visualization of so-called minimum spanning trees show the clustering of stocks according to industrial sectors. Studying the correlation between stocks traded in markets of...