Four economists, Mauro Gallegati, Steven Keen, Thomas Lux, and Paul Ormerod, published a paper after the 2005 Econophysics Colloquium criticizing conservative particle systems as models of income and wealth distribution. Their critique made science news: coverage in a feature article in Nature....

We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded as a consequence of the supposedly large amount of noise contained in...

This paper illustrates a procedure for fitting financial data with alpha-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate, in order to...

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of...

Continuous-time random walks are pure-jump processes with several applications in physics, but also in insurance, finance and economics. Based on heuristic considerations, a definition is given for the stochastic integral driven by continuous-time random walks. The martingale properties of the...