In recent years, the foreign exchange (FOREX) market has attracted quite a lot of scrutiny
from researchers all over the world. Due to its vulnerable characteristics, different types of …

This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …

A large consensus now seems to take for granted that the distributions of empirical returns of
financial time series are regularly varying, with a tail exponent b close to 3. We develop a …

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 …

In this study, we prove that modified diffusion equations, including the generalized Burgers'
equation with variable coefficients, can be derived from the Black-Scholes equation with a …

Using synthetic tests performed on time series with time dependence in the volatility with
both Pareto and Stretched-Exponential distributions, it is shown that for samples of moderate …

We study the statistical laws of the expenditure of a person in convenience stores by
analyzing around 100 million receipts. The density function of expenditure exhibits a fat tail …

We introduce solvable stochastic dealer models, which can reproduce basic empirical laws
of financial markets such as the power law of price change. Starting from the simplest model …

We show using nonlinear time series analysis that the timing of trades in foreign exchange
markets has significant information. We apply a set of methods for analyzing point process …

We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to
compare the behavior of the sample tail of distributions with power-law and exponential tails …