In recent years a new type of tradable assets appeared, generically known as
cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper …

Publisher Summary This chapter discusses the new approach to the classic problem of
tâtonnement—the dynamic process through which markets seek to reach equilibrium. The …

According to rational expectation models, uninformed or liquidity trading make market price
volatility rise. This paper sets out to analyse the impact of herding, which may be interpreted …

We demonstrate that continuous time random walks in which successive waiting times are
correlated by Gaussian statistics lead to anomalous diffusion with the mean squared …

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 …

The existence of forbidden patterns, ie, certain missing sequences in a given time series, is
a recently proposed instrument of potential application in the study of time series. Forbidden …

We provide an empirical investigation aimed at uncovering the statistical properties of
intricate stock trading networks based on the order flow data of a highly liquid stock …

We propose and document the evidence for an analogy between the dynamics of granular
counterflows in the presence of bottlenecks or restrictions and financial price formation …

This paper investigates the presence of long memory in corporate bond and stock indices of
six European Union countries from July 1998 to February 2015. We compute the Hurst …

We analyze data from experimental asset markets with pooled linear regression models to
shed some light on the emergence of fat tails and volatility clustering in return distributions …