Recent decades have seen a rise in the use of physics methods to study different societal
phenomena. This development has been due to physicists venturing outside of their …

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

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 …

I find a hierarchical arrangement of stocks traded in a financial market by investigating the
daily time series of the logarithm of stock price. The topological space is a subdominant …

Fast, accurate algorithm for numerical simulation of Levy stable stochastic processes Page 1
PHYSICAL REVIEW Evolume 49, NUMBER 5 MAY 1994 Fast, accurate algorithm for …

THE large-scale dynamical properties of some physical systems depend on the dynamical
evolution of a large number of nonlinearly coupled subsystems. Examples include systems …

We study the distribution of fluctuations of the S&P 500 index over a time scale Δ t by
analyzing three distinct databases. Database (i) contains approximately 1 200 000 records …

To account quantitatively for many reported “natural” fat tail distributions in Nature and
Economy, we propose the stretched exponential family as a complement to the often used …

We study the statistical properties of volatility, measured by locally averaging over a time
window T, the absolute value of price changes over a short time interval Δ t. We analyze the …

This article and the companion paper aim at reviewing recent empirical and theoretical
developments usually grouped under the term Econophysics. Since the name was coined in …