Empirical Science of Financial Fluctuations

The Advent of Econophysics

Buch | Softcover

352 Seiten

2014 | 2002 ed.
Springer Verlag, Japan
978-4-431-66995-1 (ISBN)

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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.

Quantifying Empirical Economic Fluctuations Using the Organizing Principles of Scale Invariance and Universality.- Price Fluctuations and Market Activity.- Transaction Interval Analysis of High Resolution Foreign Exchange Data.- Random Matrix Theory and Cross-Correlations of Stock Prices.- A Random Matrix Theory Approach to Quantifying Collective Behavior of Stock Price Fluctuations.- Dynamics of Correlations in the Stock Market.- False EUR Exchange Rates vs. DKK, CHF, JPY and USD. What is a strong currency?.- Crashes : Symptoms, Diagnoses and Remedies.- Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis.- A Mechanism of International Transmission of Financial Crises.- High Frequency Data Analysis in an Emerging and a Developed Market.- Measuring Long-Range Dependence in Electricity Prices.- Micro-Simulations of Financial Markets and the Stylized Facts.- Statistical Property of Price Fluctuations in a Multi-Agent Model and the Currency Exchange Market.- A Speculative Financial Market Model.- Spin-Glass Like Network Model for Stock Market.- Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms.- Derivation of ARCH(1) Process from Market Price Changes Based on Deterministic Microscopic Multi-Agent.- A Simple Model of Volatility Fluctuations in Asset Markets.- Self-Similarity of Price Fluctuations and Market Dynamics.- Survival Probability of LIFFE bond futures via the Mittag-Leffler Function.- Why is it Fat-Tailed?.- Market Price Simulator Based on Analog Electrical Circuit.- Simulation and Analysis of a Power Law Fluctuation Generator.- Deformation of Implied Volatility Surfaces: An Empirical Analysis.- Predictability of Market Prices.- Time-Space Scaling of Financial Time Series.-Parameter Estimation of a Generalized Langevin Equation of Market Price.- Analysis of Stock Markets, Currency Exchanges and Tax Revenues.- Trading System Applied to Large Mutual Fund Company.- Why Financial Markets Will Remain Marginally Inefficient.- The Law of Consumer Demand in Japan: A Macroscopic Microeconomic View.- A Functional-Analytic and Numerical-Analytic Approach to Nonlinear Economic Models Described by the Master Equation.- Modelling the Growth Statistics of Economic Organizations.- Statistical Laws in the Income of Japanese Companies.- Empirical Identification of Competitive Strategies: Russian Bank System.- Pareto’s Law for Income of Individuals.- Physics of Personal Income.

Zusatzinfo	X, 352 p.
Verlagsort	Tokyo
Sprache	englisch
Maße	152 x 229 mm
Themenwelt	Mathematik / Informatik ► Informatik ► Theorie / Studium
	Mathematik / Informatik ► Mathematik
	Naturwissenschaften ► Physik / Astronomie ► Theoretische Physik
	Naturwissenschaften ► Physik / Astronomie ► Thermodynamik
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	empirical laws • Enconophysics • Finance • Fluctuations • Statistical Physics
ISBN-10	4-431-66995-7 / 4431669957
ISBN-13	978-4-431-66995-1 / 9784431669951
Zustand	Neuware