In recent years, as an extreme localized wave packets with higher amplitude, rogue wave have aroused more attention in nonlinear science. The first observation of rogue wave is in the open ocean, it is considered as a destructive wave structure and serious threat to the safety of navigation. The theoretical studies have shown that the phenomenon of rogue wave can be explained well by nonlinear theories. Intriguingly, some other physical systems with similar nonlinear characteristics can also support rogue wave, which provides a broader platform for better investigation of rogue wave. For example, not only does the optical rogue wave open the floodgates for investigating deeply the nature and the dynamics of instability of rogue wave in the microworld, but it can also be applied to generate a pulse with higher energy in optical fibers. Furthermore, the global financial crisis may be associated with the financial rogue wave.