The Application of Econophysics Proceedings of the Second Nikkei Econophysics Symposium için kapak resmi
The Application of Econophysics Proceedings of the Second Nikkei Econophysics Symposium
Başlık:
The Application of Econophysics Proceedings of the Second Nikkei Econophysics Symposium
ISBN:
9784431539476
Edition:
1st ed. 2004.
Yayın Bilgileri:
Tokyo : Springer Japan : Imprint: Springer, 2004.
Fiziksel Tanımlama:
X, 343 p. online resource.
Contents:
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.
Abstract:
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.
Added Author:
Dil:
English