Self-organized model of cascade spreading

We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a probabilistic response of the system elements to stress conditions. This model is solvable using the theory of branching processes and the mean-field approximation. For a wide range of parameters, the system is in a critical state and displays a power-law cascade-size distribution similar to the empirically observed one. We further generalize the model to reproduce volatility clustering and other observed properties of real stocks.Comment: 8 pages, 6 figure

Neutron scattering and molecular correlations in a supercooled liquid

We show that the intermediate scattering function $S_n(q,t)$ for neutron scattering (ns) can be expanded naturely with respect to a set of molecular correlation functions that give a complete description of the translational and orientational two-point correlations in the liquid. The general properties of this expansion are discussed with special focus on the $q$-dependence and hints for a (partial) determination of the molecular correlation functions from neutron scattering results are given. The resulting representation of the static structure factor $S_n(q)$ is studied in detail for a model system using data from a molecular dynamics simulation of a supercooled liquid of rigid diatomic molecules. The comparison between the exact result for $S_n(q)$ and different approximations that result from a truncation of the series representation demonstrates its good convergence for the given model system. On the other hand it shows explicitly that the coupling between translational (TDOF) and orientational degrees of freedom (ODOF) of each molecule and rotational motion of different molecules can not be neglected in the supercooled regime.Further we report the existence of a prepeak in the ns-static structure factor of the examined fragile glassformer, demonstrating that prepeaks can occur even in the most simple molecular liquids. Besides examining the dependence of the prepeak on the scattering length and the temperature we use the expansion of $S_n(q)$ into molecular correlation functions to point out intermediate range orientational order as its principle origin.Comment: 13 pages, 7 figure

Bank-Firm Credit Network in Japan: An Analysis of a Bipartite Network

We investigate the networked nature of the Japanese credit market. Our investigation is performed with tools of network science. In our investigation we perform community detection with an algorithm which is identifying communities composed of both banks and firms. We show that the communities obtained by directly working on the bipartite network carry information about the networked nature of the Japanese credit market. Our analysis is performed for each calendar year during the time period from 1980 to 2011. To investigate the time evolution of the networked structure of the credit market we introduce a new statistical method to track the time evolution of detected communities. We then characterize the time evolution of communities by detecting for each time evolving set of communities the overexpression of attributes of firms and banks. Specifically, we consider as attributes the economic sector and the geographical location of firms and the type of banks. In our 32-year-long analysis we detect a persistence of the over-expression of attributes of communities of banks and firms together with a slow dynamic of changes from some specific attributes to new ones. Our empirical observations show that the credit market in Japan is a networked market where the type of banks, geographical location of firms and banks, and economic sector of the firm play a role in shaping the credit relationships between banks and firms

Analysis of labor productivity using large-scale data of firm's financial statements

We investigated labor productivity distribution by analyzing large-scale financial statement data consisting of listed and unlisted Japanese firms to clarify the characteristics of the Japanese labor market. Both high and low productivity sides of the labor productivity distribution follows the power-law distribution. Large inequality in the low productivity side was observed only for the manufacturing sectors in Japan fiscal year (JFY) 1999 and observed for both the manufacturing and non-manufacturing sectors in JFY 2002. The decline in the Japanese GDP in JFY 1999 and JFY 2002 were coincided with the large inequality in the low productivity side of the distribution. A lower peak was found for all non-manufacturing sectors. This might be the origin of the low productivity of the non-manufacturing sectors reported in recent economic studies