This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square-root of the maturity, with a proportionality constant which is comparable to the...

The concepts of scale invariance and scaling behavior are now increasingly applied outside their traditional domains of application, the physical sciences. Their application to financial markets, initiated by Mandelbrot in the 1960s, has experienced a regain of interest in the recent years,...

Options markets offer an interesting example of the adaptation of a population to a complex environment, through trial and error and by 'natural' selection. Guided by the Black-Scholes theory but constrained by the fact that mispricing leads to arbitrage opportunities, options markets agree on...

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high...