12 citations · 12 across the 3 of their papers we have counts for
6 papers
Stochastic Evolution of Stock Market Volume-Price Distributions
Paulo Rocha, Frank Raischel, João P. da Cruz +1
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each -minute lag:…
A thermostatistical approach to scale-free networks
João P. da Cruz, Nuno A. M. Araújo, Frank Raischel +1
We describe an ensemble of growing scale-free networks in an equilibrium framework, providing insight into why the exponent of empirical scale-free networks in nature is typically…
Heavy-tails in economic data: fundamental assumptions, modelling and analysis
João P. da Cruz, Pedro G. Lind
The study of heavy-tailed distributions in economic and financial systems has been widely addressed since financial time series has become a research subject.After the eighties, se…
The bounds of heavy-tailed return distributions in evolving complex networks
João P. da Cruz, Pedro G. Lind
We consider the evolution of scale-free networks according to preferential attachment schemes and show the conditions for which the exponent characterizing the degree distribution…
The dynamics of financial stability in complex networks
João P. da Cruz, Pedro G. Lind
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according t…
Self-organized criticality in a network of economic agents with finite consumption
João P. da Cruz, Pedro G. Lind
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuat…