120 citations · 265 across the 5 of their papers we have counts for
7 papers
Social Physics: A manifesto
János Kertész, Marc Barthelemny, Marc Barthelemy +21
Social Physics seeks quantitative, empirically testable explanations of collective human behavior. Its name has a long and contested history, but its contemporary program is neithe…
Was Benoit Mandelbrot a hedgehog or a fox?
Rosario N. Mantegna
Benoit Mandelbrot's scientific legacy spans an extraordinary range of disciplines, from linguistics and fluid turbulence to cosmology and finance, suggesting the intellectual tempe…
Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach
Federico Musciotto, Luca Marotta, Salvatore Miccichè +2
We investigate the trading behavior of Finnish individual investors trading the stocks selected to compute the OMXH25 index in 2003 by tracking the individual daily investment deci…
Emergence of statistically validated financial intraday lead-lag relationships
Chester Curme, Michele Tumminello, Rosario N. Mantegna +2
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of…
Evolution of correlation structure of industrial indices of US equity markets
Giuseppe Buccheri, Stefano Marmi, Rosario N. Mantegna
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properti…
Experimental Investigation of Resonant Activation
Rosario N. Mantegna, Bernardo Spagnolo
We experimentally investigate the escape from a metastable state over a fluctuating barrier of a physical system. The system is switching between two states under electronic contro…
Modeling of Financial Data: Comparison of the Truncated Lévy Flight and the ARCH(1) and GARCH(1,1) processes
Rosario N. Mantegna, H. Eugene Stanley
We compare our results on empirical analysis of financial data with simulations of two stochastic models of the dynamics of stock market prices. The two models are (i) the truncate…