376 research outputs found
Ranking the economic importance of countries and industries
In the current era of worldwide market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The global financial crisis has highlighted the necessity of understanding and quantifying the interdependencies among the worldâs economies; developing new, effective approaches for risk evaluation; and providing mitigating solutions. We present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network. The resulting information will enable policy and decision makers to better measure, understand and maintain financial stability. We use this methodology to rank the economic importance of each industry and country according to the global damage that would result from its failure. Our quantitative results shed new light on Chinaâs increasing economic dominance over other economies, including that of the United States, as well as the global economy
The Growth of Business Firms: Theoretical Framework and Empirical Evidence
We introduce a model of proportional growth to explain the distribution of
business firm growth rates. The model predicts that the distribution is
exponential in the central part and depicts an asymptotic power-law behavior in
the tails with an exponent 3. Because of data limitations, previous studies in
this field have been focusing exclusively on the Laplace shape of the body of
the distribution. In this article, we test the model at different levels of
aggregation in the economy, from products to firms to countries, and we find
that the model's predictions agree with empirical growth distributions and
size-variance relationships.Comment: 22 pages, 5 Postscript figures, uses revtex4. to be published in
Proc. Natl. Acad. Sci. (2005
A Generalized Preferential Attachment Model for Business Firms Growth Rates: I. Empirical Evidence
We introduce a model of proportional growth to explain the distribution
of business firm growth rates. The model predicts that is Laplace
in the central part and depicts an asymptotic power-law behavior in the tails
with an exponent . Because of data limitations, previous studies in
this field have been focusing exclusively on the Laplace shape of the body of
the distribution. We test the model at different levels of aggregation in the
economy, from products, to firms, to countries, and we find that the its
predictions are in good agreement with empirical evidence on both growth
distributions and size-variance relationships.Comment: 8 pages, 4 figure
A Generalized Preferential Attachment Model for Complex Systems
Complex systems can be characterized by classes of equivalency of their
elements defined according to system specific rules. We propose a generalized
preferential attachment model to describe the class size distribution. The
model postulates preferential growth of the existing classes and the steady
influx of new classes. We investigate how the distribution depends on the
initial conditions and changes from a pure exponential form for zero influx of
new classes to a power law with an exponential cutoff form when the influx of
new classes is substantial. We apply the model to study the growth dynamics of
pharmaceutical industry.Comment: submitted to PR
A Generalized Preferential Attachment Model for Business Firms Growth Rates: I. Empirical Evidence
We introduce a model of proportional growth to explain the distribution P(g) of business firm growth rates. The model predicts that P(g) is Laplace in the central part and depicts an asymptotic power-law behavior in the tails with an exponent ζ = 3. Because of data limitations, previous studies in this field have been focusing exclusively on the Laplace shape of the body of the distribution. We test the model at different levels of aggregation in the economy, from products, to firms, to countries, and we find that the its predictions are in good agreement with empirical evidence on both growth distributions and size-variance relationships.Gibrat Law; Firm Growth; Size Distribution
Preferential attachment and growth dynamics in complex systems
Complex systems can be characterized by classes of equivalency of their elements defined according to system specific rules. We propose a generalized preferential attachment model to describe the class size distribution. The model postulates preferential growth of the existing classes and the steady influx of new classes. According to the model, the distribution changes from a pure exponential form for zero influx of new classes to a power law with an exponential cut-off form when the influx of new classes is substantial. Predictions of the model are tested through the analysis of a unique industrial database, which covers both elementary units (products) and classes (markets, firms) in a given industry (pharmaceuticals), covering the entire size distribution. The modelâs predictions are in good agreement with the data. The paper sheds light on the emergence of the exponent Ï â 2 observed as a universal feature of many biological, social and economic problems.Firm Growth; Pareto Distribution; Pharmaceutical Industry
A Generalized Preferential Attachment Model for Business Firms Growth Rates: II. Mathematical Treatment
We present a preferential attachment growth model to obtain the distribution P(K) of number of units K in the classes which may represent business firms or other socio-economic entities. We found that P(K) is described in its central part by a power law with an exponent Ï = 2+b/(1âb) which depends on the probability of entry of new classes, b. In a particular problem of city population this distribution is equivalent to the well known Zipf law. In the absence of the new classes entry, the distribution P(K) is exponential. Using analytical form of P(K) and assuming proportional growth for units, we derive P(g), the distribution of business firm growth rates. The model predicts that P(g) has a Laplacian cusp in the central part and asymptotic power-law tails with an exponent ζ = 3. We test the analytical expressions derived using heuristic arguments by simulations. The model might also explain the size-variance relationship of the firm growth rates.firm growth, size distribution, Gibrat law, Zipf law
Scaling and memory of intraday volatility return intervals in stock market
We study the return interval between price volatilities that are above
a certain threshold for 31 intraday datasets, including the Standard &
Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index.
For different threshold , the probability density function
scales with the mean interval as
, similar to that found in daily
volatilities. Since the intraday records have significantly more data points
compared to the daily records, we could probe for much higher thresholds
and still obtain good statistics. We find that the scaling function is
consistent for all 31 intraday datasets in various time resolutions, and the
function is well approximated by the stretched exponential, , with and , which indicates the
existence of correlations. We analyze the conditional probability distribution
for following a certain interval , and find
depends on , which demonstrates memory in intraday
return intervals. Also, we find that the mean conditional interval
increases with , consistent with the memory found for
. Moreover, we find that return interval records have long
term correlations with correlation exponents similar to that of volatility
records.Comment: 19 pages, 8 figure
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