Empirical science of financial fluctuations : the advent of econophysics

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書誌事項

Empirical science of financial fluctuations : the advent of econophysics

Hideki Takayasu (ed.)

Springer, c2002

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注記

Proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000

Includes bibliographical references

内容説明・目次

内容説明

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.

目次

Preface Part 1. Empirical Facts of Financial Market Fluctuations: 1-1. Basic Market Statistics - 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 1-2. Cross-Correlations - 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 1-3. Market Anomalies - Crashes: Symptoms, diagnoses and remedies - Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crises - A Mechanism of International Transmission of financial Crises - High Frequency Data Analysis in an Emerging and in a Developed Market - Measuring Long-Range Dependence in Electricity Prices Part 2. Various Approaches to Financial Markets: 2-1. Agent-Based Modeling - Micro-Simulations of Financial Markets and the Stylized Facts - Statistical Property of Price Fluctuations in a Multi-Agent Model - A Speculative Financial Market Model - Spin-Grass Like Network Model for Stock Market - Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms - Deviation of ARCH(1) Process from Market Price Changes: Based on Feteministic Microscopic Multi-Agent 2-2. Stochastic Modeling - 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 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 2-3. Prediction and Investment Strategy - Predictability of Market Prices - Time-Spaces 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 Part 3. Other Topics: 3-1. Relation to Economic Theories - 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 3-2. Corporate and Individual Statistics - Modelling the Growth Statistics of Economic Organizations - Statistical Laws in the Income of Japanese Companies - Empirical Identification of Competitive Strategies: Russian Bank System - Paretos Las for Income of Individuals - Physics of Personal Income.

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