Mu, Guo-Hua, Chen, Wei, Kertész, János, Zhou, Wei-Xing
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We...
Rácz, Éva, Eisler, Zoltán, Kertész, János
Comment on ``Tests of scaling and universality of the distributions of trade size and share volume: Evidence from three distinct markets" by Plerou and Stanley, Phys. Rev. E 76, 046109 (2007)
Failure and avalanches in complex networks (2006)
Bakke, Jan Øystein Haavig, Hansen, Alex, Kertész, János
We study the size distribution of power blackouts for the Norwegian and North American power grids. We find that for both systems the size distribution follows power laws with exponents $-1.65 \pm...
The International Econophysics Conference (2002)
Ausloos, Marcel, Kertész, János, Mantegna, Rosario N, Scheinkman, José A, Stanley, H Eugene, Takayasu, Hideki
Random spreading phenomena in annealed small world networks (2001)
Lahtinen, Jani, Kertész, János, Kaski, Kimmo
We study the simple random walk dynamics on an annealed version of a Small-World Network (SWN) consisting of $N$ nodes. This is done by calculating the mean number of distinct sites visited S(n) and...
Scaling of random spreading in small world networks (2001)
Lahtinen, Jani, Kertész, János, Kaski, Kimmo
In this study we have carried out computer simulations of random walks on Watts-Strogatz-type small world networks and measured the mean number of visited sites and the return probabilities. These...
Filling a silo with a mixture of grains: Friction-induced segregation (1998)
Károlyi, Antal, Kertész, János, Havlin, Shlomo, Makse, Hernán A., Stanley, H. Eugene
We study the filling process of a two-dimensional silo with inelastic particles by simulation of a granular media lattice gas (GMLG) model. We calculate the surface shape and flow profiles for a...
Short-term market reaction after extreme price changes of liquid stocks
Ádám G. Zawadowski, György Andor, János Kertész
In our empirical study we examine the dynamics of the price evolution of liquid stocks after experiencing a large intra-day price change, using data from the NYSE and the NASDAQ. We find a...