This review deals with several microscopic ('agent-based') models of financial markets
which have been studied by economists and physicists over the last decade: Kim …

Financial markets (share markets, foreign exchange markets and others) are all
characterized by a number of universal power laws. The most prominent example is the …

Crises in financial markets affect humans worldwide. Detailed market data on trading
decisions reflect some of the complex human behavior that has led to these crises. We …

We present a set of stylized empirical facts emerging from the statistical analysis of price
variations in various types of financial markets. We first discuss some general issues …

This book concerns the use of concepts from statistical physics in the description of financial
systems. The authors illustrate the scaling concepts used in probability theory, critical …

Detrended fluctuation analysis (DFA) is a scaling analysis method used to estimate long-
range power-law correlation exponents in noisy signals. Many noisy signals in real systems …

Detrended fluctuation analysis (DFA) is a scaling analysis method used to quantify long-
range power-law correlations in signals. Many physical and biological signals are “noisy,” …

Search engine query data deliver insight into the behaviour of individuals who are the
smallest possible scale of our economic life. Individuals are submitting several hundred …

The most suitable paradigms and tools for investigating the scaling structure of financial time
series are reviewed and discussed in the light of some recent empirical results. Different …

The variability measures of fluctuation analysis (FA) and detrended fluctuation analysis
(DFA) are expressed in terms of the power spectral density and of the autocovariance of a …