The Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium

ISBN-13: 9784431140283 / Angielski / Twarda / 2003 / 343 str.

Hideki Takayasu

Opis

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.

Spis treści

I. Market properties I-1 Basic Statistics 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 Distribution 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 ? I-2 Predictability Volatitility Fingerprints of Large Shocks: Endogenous Versus Exogenous Patterns of Speculation in Real Estate and Stocks Generarlized Technical Analysis. Effects of Transaction Volume and Risk Enhancement of the Prediction of Actual Market Prices by Modeling 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 Futeres 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 I-3 New methods Self-Modulation Processes in Financial Markets Deterministic and Stochastic Influences on Japan and US Stock and Foreign Exchange Markets. A Fokker-Plank Approach First-Passage Problem in Foreign Exchange Rate The Analysis of Financial Time Series Data by Independent Component Analysis I-4 Various markets 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 I-5 Models 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 II. Other Topics II-1 Income distribution 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 II-2 Company's risks Enterprise Money System - An Ultimate Risk Hedge Visualization of Business Networks Bankruptcy Prediction Using Decision Tree Premium Forecasting of an Insurance Company II-3 Theories 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