There is no term that better describes the essential features of human society than complexity. On various levels, from the decision-making processes of individuals, through to the interactions between individuals leading to the spontaneous formation of groups and social hierarchies, up to the...

Self-organized criticality (SOC) has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market indices are identified using a multi-scale...

It has been widely accepted that there exist investors who adopt momentum strategies in real stock markets. Understanding the momentum behavior is of both academic and practical importance. For this purpose, we propose and study a simple agent-based model of trading incorporating momentum...

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the...

The stock market is a complex self-interacting system, characterized by intermittent behaviour. Periods of high activity alternate with periods of relative calm. In the present work we investigate empirically the possibility that the market is in a self-organized critical state (SOC). A wavelet...

In the present work we extend the Bak–Sneppen model for biological evolution by introducing local interactions between species. This “environmental” perturbation modifies the intrinsic fitness of each element of the ecology, leading to higher survival probability, even for the less fit....

The article tries to summarize the common traits in most of the morning lectures of this meeting in La̧dek Zdrój.

We confront global and local methods to analyze the financial crash-like events on the Polish financial market from the critical phenomena point of view. These methods are based on the analysis of log-periodicity and the local fractal properties of financial time series in the vicinity of phase...

In this paper, one studies the distribution of log-returns (tick-by-tick) in the Lisbon stock market and shows that it is well adjusted by the solution of the equation, dpxd|x|=-βq′pxq′-(βq-βq′)pxq, which corresponds to a generalisation of the differential equation which has as solution...