From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this article, we take the position that the independence assumption of the CLT is...

In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a...

According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated. To determine whether this has resulted in an improved...

The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price changes for a given pair of stocks, but it does not measure...

In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and quantifying interdependencies among the world's economies,...

Various studies have reported that many economic systems have been exhibiting an increase in the correlation between different market sectors, a factor that exacerbates the level of systemic risk. We measure this systemic risk of three major world shipping markets, (i) the new ship market, (ii)...

Politicians world-wide frequently promise a better life for their citizens. We find that the probability that a country will increase its {\it per capita} GDP ({\it gdp}) rank within a decade follows an exponential distribution with decay constant $\lambda = 0.12$. We use the Corruption...

In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We...

We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted institution to start a cascade depends on an interplay of shock...