While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in the...

Empirical analysis of time series of asset returns has revealed fat tails and volatility clustering which manifests itself as autocorrelations in absolute returns. We provide a quantitative measure of the well-studied phenomenon of volatility clustering in financial time series: We use the...

This thesis investigates volatility clustering, scaling and dynamics in financial series of asset returns and studies the underlying mechanism. We propose a direct measure of volatility clustering based on the conditional probability distribution (CPD) of the returns given the return in the...

We use minority game model to investigate evolutionary dynamics in complex networks of adaptive agents competing for limited resources. We show that the dynamics and the associated phase structures critically depend on the underlying network organizations, and evolution is a key mechanism for...