Practical Fruits of Econophysics (eBook)

Proceedings of The Third Nikkei Econophysics Symposium

Hideki Takayasu (Herausgeber)

eBook Download: PDF

2006 | 2006
XII, 390 Seiten
Springer Japan (Verlag)
978-4-431-28915-9 (ISBN)

Infos

Some economic phenomena are predictable and controllable, and some are impos­ sible to foresee. Existing economic theories do not provide satisfactory answers as to what degree economic phenomena can be predicted and controlled, and in what situations. Against this background, people working on the financial front lines in real life have to rely on empirical rules based on experiments that often lack a solid foundation. 'Econophysics' is a new science that analyzes economic phenomena empirically from a physical point of view, and it is being studied mainly to offer scientific, objective and significant answers to such problems. This book is the proceedings of the third Nikkei symposium on ''Practical Fruits of Econophysics,' held in Tokyo, November 9-11, 2004. In the first symposium held in 2000, empirical rules were established by analyzing high-frequency finan­ cial data, and various kinds of theoretical approaches were confimied. In the second symposium, in 2002, the predictability of imperfections and of economic fluctua­ tions was discussed in detail, and methods for applying such studies were reported. The third symposium gave an overview of practical developments that can immedi­ ately be applied to the financial sector, or at least provide hints as to how to use the methodology.

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Some economic phenomena are predictable and controllable, and some are impos- sible to foresee. Existing economic theories do not provide satisfactory answers as to what degree economic phenomena can be predicted and controlled, and in what situations. Against this background, people working on the financial front lines in real life have to rely on empirical rules based on experiments that often lack a solid foundation. "e;Econophysics"e; is a new science that analyzes economic phenomena empirically from a physical point of view, and it is being studied mainly to offer scientific, objective and significant answers to such problems. This book is the proceedings of the third Nikkei symposium on ''Practical Fruits of Econophysics,"e; held in Tokyo, November 9-11, 2004. In the first symposium held in 2000, empirical rules were established by analyzing high-frequency finan- cial data, and various kinds of theoretical approaches were confimied. In the second symposium, in 2002, the predictability of imperfections and of economic fluctua- tions was discussed in detail, and methods for applying such studies were reported. The third symposium gave an overview of practical developments that can immedi- ately be applied to the financial sector, or at least provide hints as to how to use the methodology.

Inhalt

Preface 5
Contents 7
1. Market's Basic Properties 13
Correlated Randomness: Rare and Not- so- Rare Events in Finance 14
Non-trivial scaling of fluctuations in the trading activity of NYSE 31
Dynamics and predictability of fluctuations in dollaryen exchange rates 36
Temporal characteristics of moving average of foreign exchange markets 41
Characteristic market behaviors caused by intervention in a foreign exchange market 45
Apples and Oranges: the difference between the Reaction of the Emerging and Mature IVIarkets to Crashes. 50
Scaling and Memory in Return Loss Intervals: Application to Risk Estimation 55
Recurrence analysis near the NASDAQ crash of April 2000 64
Modeling a foreign exchange rate using moving average of Yen-Dollar market data 69
Systematic tuning of optimal weighted- moving- average of yen- dollar market data 74
Power law and its transition in the slow convergence to a Gaussian in the S& PSOO index
Empirical study of the market impact in the Tokyo Stock Exchange 84
Econophysics to unravel the hidden dynamics of commodity markets 89
A characteristic time scale of tick quotes on foreign currency markets 94
2. Predictability of IViarkets 99
Order book dynamics and price impact 100
Prediction oriented variant of financial log- periodicity and speculating about the stock market development until 2010 105
Quantitative Forecasting and Modeling Stock Price Fluctuations 111
Time series of stock price and of two fractal overlap: Anticipating market crashes? 119
Short Time Segment Price Forecasts Using Spline Fit Interactions 123
Successful Price Cycle Forecasts for S& P Futures Using TF3, a Pattern Recognition Algorithms Based on the KNN Method
The Hurst's exponent in technical analysis signals 133
Financial IVIarkets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF) 138
Market Cycle Turning Point Forecasts by a Two- Parameter Learning Algorithm as a Trading Tool for S& P Futures
3. Mathematical Models 148
The CTRWs in finance: the mean exit time 149
Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in highfrequency financial time-series 154
Evidence for Superdiffusion and "Momentum" in Stock Price Changes 159
Beyond the Third Dimension: Searching for the Price Equation 164
An agent-based model of financial returns in a limit order market 170
Stock price process and the long- range percolation 175
What information is hidden in chaotic time series? 180
Analysis of Evolution of Stock Prices in Terms of Oscillation Theory 185
Simple stochastic modeling for fat tails in financial markets 190
Agent Based Simulation Design Principles - Applications to Stock Market 195
Heterogeneous agents model for stock market dynamics: role of market leaders and fundamental prices 201
Dynamics of Interacting Strategies 206
Emergence of two- phase behavior in markets through interaction and learning in agents with bounded rationaUty 212
Explanation of binarized tick data using investor sentiment and genetic learning 217
A Game-theoretic Stochastic Agents IVIodel for Enterprise Risk IVIanagement 222
4. Correlation and Risk Management 226
Blackouts, risk, and fat- tailed distributions 227
Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure 232
Application of PC A and Random Matrix Theory to Passive Fund Management 238
Testing Methods to Reduce Noise in Financial Correlation Matrices 243
Application of noise level estimation for portfolio optimization 248
Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts 253
Investment horizons : A time- dependent measure of asset performance 258
Clustering financial time series 264
Risk portofolio management under Zipf analysis based strategies 269
Conservative Estimation of Default Rate Correlations 284
Are Firm Growth Rates Random? Evidence from Japanese Small Firms 289
Growth and Fluctuations for Small- Business Firms 303
5. Networks and Wealth Distributions 308
The skeleton of the Shareholders Networks 309
Financial Market - A Network Perspective 314
Change of ownership networks in Japan 319
G7 country Gross Domestic Product ( GDP) time correlations. A graph network analysis 324
Dependence of Distribution and Velocity of Money on Required Reserve Ratio 329
Prospects for Money Transfer Models 334
Inequalities of Wealth Distribution in a Society with Social Classes 339
Analyzing money distributions in ' ideal gas' models of markets 345
Unstable periodic orbits and chaotic transitions among growth patterns of an economy 351
Power-law behaviors in high income distribution 356
The power-law exponent and the competition rule of the high income model 361
6. New Ideas 366
Personal versus economic freedom 367
Complexity in an Interacting System of Production 372
Four Ingredients for New Approaches to Macroeconomic Modeling 378
Competition phase space: theory and practice 383
Analysis of Retail Spatial Market System by the Constructive Simulation Method 388
Quantum- Monadology Approach to Economic Systems 393
Visualization of microstructures of economic flows and adaptive control 398

Produkt-Details

• Erscheint lt. Verlag: 18.6.2006
• Zusatzinfo: XII, 390 p. 138 illus., 1 illus. in color.
• Verlagsort: Tokyo
• Sprache: englisch
• Themenwelt: Naturwissenschaften ► Physik / Astronomie ► Angewandte Physik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: Agents • Economics • Econophysics • Econophysics data analysis • Financial Technology • Physics • Statistics
• ISBN-10: 4-431-28915-1 / 4431289151
• ISBN-13: 978-4-431-28915-9 / 9784431289159