Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

This book is a course in methods and models rooted in physics and used in modelling
economic and social phenomena. It covers the discipline of econophysics, which creates an …

Background The use of the multistate Markov chain model is a valuable tool for studying
child undernutrition. This allows us to examine the trends of children's transitions from one …

Using a large database of 8 million institutional trades executed in the US equity market, we
establish a clear crossover between a linear market impact regime and a square-root regime …

We consider the financial market as a model system and study empirically how agents
strategically adjust the properties of large orders in order to meet their preference and …

We study the analytical properties of a one-side order book model in which the flows of limit
and market orders are Poisson processes and the distribution of lifetimes of cancelled …

We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden
variation of the spread in a double auction financial market. We find that the spread decays …

The total duration of drawdowns is shown to provide a moment-free, unbiased, efficient and
robust estimator of Sharpe ratios both for Gaussian and heavy-tailed price returns. We then …

In this paper, we investigate how behavioral contagion in terms of mimetic strategy learning
within a social network would affect the asset price dynamics. The characteristics of this …

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-
day price changes. In the data we find large variations in several microscopical measures …