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...

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...

In this paper, we explore a dynamical version of by Aoki and Yoshikawa model (AYM) for an economy driven by demand. We show that when an appropriate Markovian dynamics is taken into account, AYM has different equilibrium distributions depending on the form of transition probabilities. In the...

In this paper, the authors explore a dynamical version of the Aoki and Yoshikawa model (AYM) for an economy driven by demand. They show that when an appropriate Markovian dynamics is taken into account, the AYM has different equilibrium distributions depending on the form of transition...