Takayasu - The Application of Econophysics

The Application of Econophysics

Proceedings of the Second Nikkei Econophysics Symposium

Medium: Buch

ISBN: 978-4-431-14028-3

Verlag: Springer Japan

Erscheinungstermin: 20.11.2003

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Economic Fluctuations and Statistical Physics: The Puzzle of Large Fluctuations.- Triangular Arbitrage in the Foreign Exchange Market.- Time-Scale Dependence of Correlations among Foreign Currencies.- Univariate and Multivariate Statistical Aspects of Equity Volatility.- Time Dependent Correlations and Response in Stock Market Data and Models.- Distributions and Long-Range Correlations in the Trading of US Stocks.- Time Evolution of Fractal Structure by Price-axis Scaling and Foreign Exchange Intervention Operations.- Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory.- Physical Properties of the Korean Stock Market.- Correlation Coefficients between Stocks and those Distributions of Returns in the Tokyo Stock Exchange.- Epochs in Market Sector Index Data-Empirical or Optimistic.- Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous.- Patterns of Speculation in Real Estate and Stocks.- Generalized Technical Analysis. Effects of Transaction Volume and Risk.- Enhancement of the Prediction of Actual Market Prices by Modifying the Regularity Structure of a Signal.- New Complex Approach to Market Price Predictions.- Inferring of Trade Direction by Imbalance from Intra-Day Data.- Chaotic Structure in Intraday Data of JGB Futures Price.- Trend Identification and Financial Trading Strategy by Using Stochastic Trend Model with Markov Switching Slope Change and ARCH.- Pairs-Trading Strategy: Empirical Analysis in Japanese Stock Market.- Self-Modulation Processes in Financial Markets.- Deterministic and Stochastic Influences on Japan and US Stock and Foreign Exchange Markets. A Fokker-Planck Approach.- First-Passage Problem in Foreign Exchange Rate.- The Analysis of Financial Time Series Data by Independent Component Analysis.- Modeling Highly Volatile and Seasonal Markets! Evidence from the Nord Pool Electricity Market.- Statistical Properties of Commodity Price Fluctuations.- International Trade: Do Two Poles Attract Each Other.- Emergence of Power-Law Behaviors in Online Auctions.- Econophysics vs Cardiophysics: The Dual Face of Multifractality.- If the World were a Village of 100 Traders.- Market Simulation Displaying Multifractality.- Random Graph Herding Model - An Application for Emerging Country Currency Markets.- Multivariable Modeling on Complex Behavior of a Foreign Exchange Market.- Gibbs Measure and Markov Chain Modeling for Stock Markets.- Entropy in the Economy.- Investment Strategy Based on a Company Growth Model.- Growth and Fluctuations of Personal Income I.- Growth and Fluctuations of Personal (and Company’s) Income II.- A Model of High Income Distribution.- Ideal Gas-Like Distributions in Economics: Effects of Saving Propensity.- Enterprise Money System - An Ultimate Risk Hedge.- Visualization of Business Networks.- Bankruptcy Prediction Using Decision Tree.- Premium Forecasting of an Insurance Company.- A View from an Economist on Econo-physics.- A New Model of Labor Market Dynamics.- Formulating Social Interactions in Utility Theory of Economics.- Collective Behaviour and Diversity in Economic Communities: Some Insights from an Evolutionary Game.- A Complex Adaptive Model of Economic Production Networks.