Ebook: Empirical Science of Financial Fluctuations: The Advent of Econophysics

Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.

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Content:
Front Matter....Pages ii-x
Front Matter....Pages 1-1
Quantifying Empirical Economic Fluctuations using the Organizing Principles of Scale Invariance and Universality....Pages 3-11
Price fluctuations and Market Activity....Pages 12-17
Transaction Interval Analysis of High Resolution Foreign Exchange Data....Pages 18-25
Micro-Simulations of Financial Markets and the Stylized Facts....Pages 123-134
Statistical Property of Price Fluctuations in a Multi-Agent Model and the Currency Exchange Market....Pages 135-142
A Speculative Financial Market Model....Pages 143-152
Spin-glass like network model for stock market....Pages 153-158
Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms....Pages 159-170
Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent....Pages 171-178
Random Matrix Theory and Cross-Correlations of Stock Prices....Pages 27-34
A Random Matrix Theory Approach to Quantifying Collective Behavior of Stock Price Fluctuations....Pages 35-40
Dynamics of correlations in the stock market....Pages 41-50
A Simple Model of Volatility Fluctuations in Asset Markets....Pages 51-60
Self-similarity of price fluctuations and market dynamics....Pages 180-185
Crashes : symptoms, diagnoses and remedies....Pages 186-194
Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis....Pages 62-76
A mechanism of international transmission of financial crises....Pages 77-89
High Frequency Data Analysis in an Emerging and a Developed Market....Pages 90-101
Measuring long-range dependence in electricity prices....Pages 102-109
Front Matter....Pages 110-119
Micro-Simulations of Financial Markets and the Stylized Facts....Pages 121-121
Statistical Property of Price Fluctuations in a Multi-Agent Model and the Currency Exchange Market....Pages 123-134
A Speculative Financial Market Model....Pages 135-142
Spin-glass like network model for stock market....Pages 143-152
Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms....Pages 153-158
Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent....Pages 159-170
A Simple Model of Volatility Fluctuations in Asset Markets....Pages 171-178
Self-similarity of price fluctuations and market dynamics....Pages 180-185
Front Matter....Pages 186-194
Survival probability of LIFFE bond futures via the Mittag-Leffler function....Pages 121-121
Why is it Fat-tailed?....Pages 195-206
Market price simulator based on analog electrical circuit....Pages 207-213
Simulation and Analysis of a Power Law Fluctuation Generator....Pages 214-221
Deformation of implied volatility surfaces: an empirical analysis....Pages 222-229
Predictability of Market Prices....Pages 230-239
Time-Space Scaling of Financial Time Series....Pages 241-249
Parameter Estimation of a Generalized Langevin Equation of Market Price....Pages 250-259
Analysis of Stock Markets, Currency Exchanges and Tax Revenues....Pages 260-270
Trading System Applied to Large Mutual Fund Company....Pages 271-274
Front Matter....Pages 275-286
Why Financial Markets Will Remain Marginally Inefficient....Pages 287-287
The Law of Consumer Demand in Japan: A Macroscopic Microeconomic View....Pages 289-293
A functional-analytic and numerical-analytic approach to nonlinear economic models described by the master equation....Pages 294-303
Modelling the Growth Statistics of Economic Organizations....Pages 304-311
Statistical Laws in the Income of Japanese Companies....Pages 313-320
Empirical Identification Of Competitive Strategies: Russian Bank System....Pages 321-330
Pareto’s Law for Income of Individuals....Pages 331-340
Physics of Personal Income....Pages 341-342
....Pages 343-352