Scale invariance and criticality in financial markets

We discuss the evidences supporting the view of financial markets as system operating close to a critical point. From the theoretical side, this picture is based on detailed knowledge of the behavior of Minority Games. These are models of heterogeneous agents interacting through a market mechanism which can be solved analytically with tools of statistical mechanics. From the empirical side, we extend these evidences showing that market sector structure is itself scale invariant. Scale invariant features also appear in the classification of states in the time domain.