In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as the central feature. In this paper we propose an...

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...

This paper illustrates how fluctuations in aggregate economic activity can result from many small, independent shocks to individual sectors. The effects of the small independent shocks fail to cancel in the aggregate due to the presence of two non-standard assumptions: local interaction between...

We present a model of the interaction of segregation and suburbanization in determining residential location. The model incorporates differential income between two classes of agents, a simplified market mechanism for the purchase of housing, and a simple geographic structure of one central city...

In this paper we present an empirical study of a few practical systems described by cooperation networks, and propose a model to understand the results obtained. We study four non-social systems, which are the Bus Route Networks of Beijing and Yangzhou, the Travel Route Network of China,...

The Bak–Chen–Tang forest fire model [Phys. Lett. A 147 (1990) 297] was proposed as a toy model of turbulent systems, where energy (in the form of trees) is injected uniformly and globally, but is dissipated (burns) locally. We review our previous results on the model [Phys. Rev. E 62 (2000)...

We analyze the daily closing prices of the Strait Time Index (STI) as well as the individual stocks traded in Singapore's stock market from 1988 to 2001. We find that the Hurst exponent is approximately 0.6 for both the STI and individual stocks, while the normal correlation functions show the...

The Bak–Chen–Tang forest fire model (Phys. Lett. A 147 (1999) 297) was proposed as a toy model of turbulent systems, where energy (in the form of trees) is injected uniformly and globally, but is dissipated (burns) locally. We review the existing results on the spatial and temporal...