Econophysics, Generalized Lotka-Volterra, Scaling
MICROSCOPIC REPRESENTATION OF MARKETS
SCALING IN STOCHASTIC AUTO-CATALYTIC SYSTEMS
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How Do Truncated Pareto Power Laws with exponent alpha < 2
lead to market returns with power tails with alpha > 2 ?
to appear in Eur. Phys. J. B
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Stability of the Pareto-Zipf Law in Non-Stationary Economies
to appear in the WEHIA proceedings (Springer-Verlag 2001);
The exact solution of the GLV model.
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Generalized Lotka
Volterra (GLV) Models;
in
"Applications of Simulation to Social Sciences"
,Eds: G Ballot and G Weisbuch;
Hermes Science Publications 2000
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Generic Emergence
of Power Law Distributions and L\'evy-Stable Intermittent Fluctuations
in Discrete Logistic Systems
, fig
1 , fig
2 , fig
3 , fig
4 , fig
5
(Phys Rev E Vol 58 No 2 Aug 1998, pp 1352-1358).
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Stochastic Lotka-Volterra
Systems of Competing Auto-catalytic Agents lead Generically to Truncated
Pareto Power Wealth Distribution, Truncated Levy Distribution of Market
Returns, Clustered Volatility, Booms and Crashes.
Based on a lecture at Computational Finance London 1997 (appeared
in the proceedings: Kluver Acad. Press 1998)
- other papers of ours in the econophysics repository
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The Importance of Being Discrete - Life Always Wins on the surface
(to appear in the Proc. Nat. Acad. Sci.)
List of lists of links
sorin@vms.huji.ac.il