Econophysics of Markets and Business Networks (eBook)

Arnab Chatterjee, Bikas K. Chakrabarti (Herausgeber)

eBook Download: PDF

2007 | 2007
XII, 266 Seiten
Springer Milan (Verlag)
978-88-470-0665-2 (ISBN)

Infos

Econophysics research studies, which apply methods developed by physicists to solve problems in economics, enable you to deepen your understanding of what financial systems are and how they operate. Articles in this book identify and explain the statistical behavior of the underlying networks in trading, banking, and stock markets as well as other financial systems. Authors also debate the latest issues arising from these econophysics studies.

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Econophysicists have recently been quite successful in modelling and analysing various financial systems like trading, banking, stock and other markets. The statistical behaviour of the underlying networks in these systems have also been identified and characterised recently.This book reviews the current econophysics researches in the structure and functioning of these complex financial network systems. Leading researchers in the respective fields will report on their recent researches and review on the contemporary developments. The book will also include the comments and debates on the latest issues arising out of these

Inhalt

Preface 4
Contents 6
List of Invited Speakers and Contributors 8
Part I Financial Markets 12
Uncovering the Internal Structure of the Indian Financial Market: Large Cross- correlation Behavior in the NSE 13
1 Introduction 13
2 The Indian Financial Market 15
3 The Return Cross-Correlation Matrix 16
4 Time-evolution of the Correlation Structure 24
5 Conclusions 27
References 28
Power Exponential Price Returns in Day- ahead Power Exchanges 30
1 Introduction 30
2 Empirical Analysis of Electricity Log-returns 31
3 Conclusions 41
References 42
Variations in Financial Time Series: Modelling Through Wavelets and Genetic Programming 43
1 Introduction 43
2 Wavelet Coefficients 44
3 Modelling Wavelet Coefficients Using Genetic Programming 46
4 Conclusion 55
References 57
Financial Time-series Analysis: a Brief Overview 58
1 Introduction 58
2 Stochastic Methods in Time-series Analysis 58
3 Random Matrix Methods in Time-series Analysis 68
4 Approximate Entropy Method in Time-series Analysis 72
References 73
Correlations, Delays and Financial Time Series 75
1 Introduction 75
2 Correlated Stocks, Returns and Delays 75
3 Delay Correlation Matrix 78
4 Dominant Modes and Delays 79
5 Discussions 81
References 81
Option Pricing with Log-stable Lévy Processes 82
1 Introduction 82
2 The Model of the Stock Market 83
3 The Option Price 88
4 Conclusions 98
5 Appendix 98
References 100
Inferring the Composition of a Trader Population in a Financial Market 103
1 Introduction 103
2 The Multi-Agent Market Model 104
3 Recursive Optimization Scheme 105
4 Estimation in the Presence of an Ecology of Many Agent Types 113
5 Example for a Foreign-Exchange Rate Series 115
6 Conclusion 116
References 117
Part II Business and Trade Networks 118
Dynamical Structure of Behavioral Similarities of the Market Participants in the Foreign Exchange Market 119
1 Introduction 119
2 Foreign Exchange Market 119
3 Tick Frequencies 120
4 Motivation 121
5 Quantification of Behavioral Similarities 121
6 Agent-based Model 124
7 Empirical Results 126
8 Conclusion 127
References 128
Weighted Networks at the Polish Market 129
1 Introduction 129
2 Bipartite Graph of Companies and Branches 129
3 Companies and Branches Networks 130
4 Weight, Weight Distribution and Networks with Cutoffs 131
5 Degree Distribution 135
6 Entropy of Network Topology 136
7 Conclusions 139
References 139
The International Trade Network 141
References 149
Networks of Firms and the Ridge in the Production Space 150
1 Introduction 150
2 Multigraph in the Economy 151
3 A Ridge in the Production Space 156
4 Summary 158
References 159
Debt-credit Economic Networks of Banks and Firms: the Italian Case 160
1 Introduction 160
2 Multiple vs Single Bank Relationships 161
3 Data Set 163
4 The Network Representation 163
5 Total Network 165
6 Co-financing Banks Network 168
7 Discussion and Conclusions 170
References 171
Econophysicists Collaboration Networks: Empirical Studies and Evolutionary Model 173
1 Introduction 173
2 Empirical Networks and Statistical Results 174
3 Models and Theoretical Analysis 177
4 Extended Model and Comparison with Empirical Results 179
5 Conclusions 181
References 181
Part III Income, Stock and Other Market Models 183
The Macro Model of the Inequality Process and The Surging Relative Frequency of Large Wage Incomes 184
1 The Surge In Wage Income Nouveaux Riches in the U. S., 1961– 2003 184
2 The Micro- and Macro-Models of the Inequality Process ( IP) 188
3 The Dynamics of the Macro Model of the Inequality Process ( IP) 199
4 Conclusions 204
References 210
Is Inequality Inevitable in Society? Income Distribution as a Consequence of Resource Flow in Hierarchical Organizations 213
1 Introduction 214
2 Empirical Data 215
3 Income as Flow along Hierarchical Structure: The Tribute Model 221
4 Conclusions 223
References 223
Knowledge Sharing and R& D Investment
1 Introduction 225
2 The Basic Model 226
3 Concluding Remarks 230
References 230
Preferences Lower Bound in the Queueing Model 231
1 Introduction 231
2 The Model 232
References 235
Kolkata Restaurant Problem as a Generalised El Farol Bar Problem 236
1 Introduction 236
2 Model 237
3 Avalanche Dynamics: Infinite 239
4 Avalanche Dynamics: Finite 241
5 Conclusions 242
References 242
Part IV Comments and Discussions 244
Comments and Criticisms: Econophysics and Sociophysics 245
1 Beyond Econophysics? 245
References 247
2 Econophysics and Sociophysics: Comparison with Earlier Interdisciplinary Developments 247
3 Creating Principle of Econophysics 250
4 Corner and Hope: On The Future Topics of Econophysics 250
References 252
5 A Poor Man’s Thoughts on Economic Networks 252
References 254
6 Whither Econophysics? 254
7 Thoughts on Income and Wealth Distributions 257
References 260
8 Comments on the Econophys-Kolkata III Workshop 260

Produkt-Details

• Erscheint lt. Verlag: 6.11.2007
• Reihe/Serie: New Economic Windows
• Reihe/Serie: New Economic Windows
• Zusatzinfo: XII, 266 p.
• Verlagsort: Milano
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Informatik ► Theorie / Studium
• Themenwelt: Naturwissenschaften ► Physik / Astronomie ► Theoretische Physik
• Themenwelt: Naturwissenschaften ► Physik / Astronomie ► Thermodynamik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Banking • Econophysics • Investment • Markets • Modeling • Networks • Statistical Models
• ISBN-10: 88-470-0665-1 / 8847006651
• ISBN-13: 978-88-470-0665-2 / 9788847006652