Econophysics is a newborn field of science bridging economics and physics. A special feature of this new science is the data analysis of high-precision market data. In economics arbitrage opportunity is strictly denied; however, by observing high-precision data we can prove the existence of arbitrage opportunity. Also, financial technology neglects the possibility of market prediction; however, in this book you can find many examples of predicted events. There are other surprising findings. This volume is the proceedings of a workshop on "application of econophysics" at which leading international researchers discussed their most recent results. …mehr
Econophysics is a newborn field of science bridging economics and physics. A special feature of this new science is the data analysis of high-precision market data. In economics arbitrage opportunity is strictly denied; however, by observing high-precision data we can prove the existence of arbitrage opportunity. Also, financial technology neglects the possibility of market prediction; however, in this book you can find many examples of predicted events. There are other surprising findings.
This volume is the proceedings of a workshop on "application of econophysics" at which leading international researchers discussed their most recent results.
Hideki Takayasu, Sony Computer Science Laboratories, Inc., Tokyo, Japan
Inhaltsangabe
Economic Fluctuations and Statistical Physics: The Puzzle of Large Fluctuations.- Triangular Arbitrage in the Foreign Exchange Market.- Time-Scale Dependence of Correlations among Foreign Currencies.- Univariate and Multivariate Statistical Aspects of Equity Volatility.- Time Dependent Correlations and Response in Stock Market Data and Models.- Distributions and Long-Range Correlations in the Trading of US Stocks.- Time Evolution of Fractal Structure by Price-axis Scaling and Foreign Exchange Intervention Operations.- Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory.- Physical Properties of the Korean Stock Market.- Correlation Coefficients between Stocks and those Distributions of Returns in the Tokyo Stock Exchange.- Epochs in Market Sector Index Data-Empirical or Optimistic.- Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous.- Patterns of Speculation in Real Estate and Stocks.- Generalized Technical Analysis. Effects of Transaction Volume and Risk.- Enhancement of the Prediction of Actual Market Prices by Modifying the Regularity Structure of a Signal.- New Complex Approach to Market Price Predictions.- Inferring of Trade Direction by Imbalance from Intra-Day Data.- Chaotic Structure in Intraday Data of JGB Futures Price.- Trend Identification and Financial Trading Strategy by Using Stochastic Trend Model with Markov Switching Slope Change and ARCH.- Pairs-Trading Strategy: Empirical Analysis in Japanese Stock Market.- Self-Modulation Processes in Financial Markets.- Deterministic and Stochastic Influences on Japan and US Stock and Foreign Exchange Markets. A Fokker-Planck Approach.- First-Passage Problem in Foreign Exchange Rate.- The Analysis of Financial Time Series Data by Independent Component Analysis.- Modeling Highly Volatile and Seasonal Markets! Evidence from the Nord Pool Electricity Market.- Statistical Properties of Commodity Price Fluctuations.- International Trade: Do Two Poles Attract Each Other.- Emergence of Power-Law Behaviors in Online Auctions.- Econophysics vs Cardiophysics: The Dual Face of Multifractality.- If the World were a Village of 100 Traders.- Market Simulation Displaying Multifractality.- Random Graph Herding Model - An Application for Emerging Country Currency Markets.- Multivariable Modeling on Complex Behavior of a Foreign Exchange Market.- Gibbs Measure and Markov Chain Modeling for Stock Markets.- Entropy in the Economy.- Investment Strategy Based on a Company Growth Model.- Growth and Fluctuations of Personal Income I.- Growth and Fluctuations of Personal (and Company's) Income II.- A Model of High Income Distribution.- Ideal Gas-Like Distributions in Economics: Effects of Saving Propensity.- Enterprise Money System - An Ultimate Risk Hedge.- Visualization of Business Networks.- Bankruptcy Prediction Using Decision Tree.- Premium Forecasting of an Insurance Company.- A View from an Economist on Econo-physics.- A New Model of Labor Market Dynamics.- Formulating Social Interactions in Utility Theory of Economics.- Collective Behaviour and Diversity in Economic Communities: Some Insights from an Evolutionary Game.- A Complex Adaptive Model of Economic Production Networks.
Economic Fluctuations and Statistical Physics: The Puzzle of Large Fluctuations.- Triangular Arbitrage in the Foreign Exchange Market.- Time-Scale Dependence of Correlations among Foreign Currencies.- Univariate and Multivariate Statistical Aspects of Equity Volatility.- Time Dependent Correlations and Response in Stock Market Data and Models.- Distributions and Long-Range Correlations in the Trading of US Stocks.- Time Evolution of Fractal Structure by Price-axis Scaling and Foreign Exchange Intervention Operations.- Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory.- Physical Properties of the Korean Stock Market.- Correlation Coefficients between Stocks and those Distributions of Returns in the Tokyo Stock Exchange.- Epochs in Market Sector Index Data-Empirical or Optimistic.- Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous.- Patterns of Speculation in Real Estate and Stocks.- Generalized Technical Analysis. Effects of Transaction Volume and Risk.- Enhancement of the Prediction of Actual Market Prices by Modifying the Regularity Structure of a Signal.- New Complex Approach to Market Price Predictions.- Inferring of Trade Direction by Imbalance from Intra-Day Data.- Chaotic Structure in Intraday Data of JGB Futures Price.- Trend Identification and Financial Trading Strategy by Using Stochastic Trend Model with Markov Switching Slope Change and ARCH.- Pairs-Trading Strategy: Empirical Analysis in Japanese Stock Market.- Self-Modulation Processes in Financial Markets.- Deterministic and Stochastic Influences on Japan and US Stock and Foreign Exchange Markets. A Fokker-Planck Approach.- First-Passage Problem in Foreign Exchange Rate.- The Analysis of Financial Time Series Data by Independent Component Analysis.- Modeling Highly Volatile and Seasonal Markets! Evidence from the Nord Pool Electricity Market.- Statistical Properties of Commodity Price Fluctuations.- International Trade: Do Two Poles Attract Each Other.- Emergence of Power-Law Behaviors in Online Auctions.- Econophysics vs Cardiophysics: The Dual Face of Multifractality.- If the World were a Village of 100 Traders.- Market Simulation Displaying Multifractality.- Random Graph Herding Model - An Application for Emerging Country Currency Markets.- Multivariable Modeling on Complex Behavior of a Foreign Exchange Market.- Gibbs Measure and Markov Chain Modeling for Stock Markets.- Entropy in the Economy.- Investment Strategy Based on a Company Growth Model.- Growth and Fluctuations of Personal Income I.- Growth and Fluctuations of Personal (and Company's) Income II.- A Model of High Income Distribution.- Ideal Gas-Like Distributions in Economics: Effects of Saving Propensity.- Enterprise Money System - An Ultimate Risk Hedge.- Visualization of Business Networks.- Bankruptcy Prediction Using Decision Tree.- Premium Forecasting of an Insurance Company.- A View from an Economist on Econo-physics.- A New Model of Labor Market Dynamics.- Formulating Social Interactions in Utility Theory of Economics.- Collective Behaviour and Diversity in Economic Communities: Some Insights from an Evolutionary Game.- A Complex Adaptive Model of Economic Production Networks.
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