Practical Fruits Of Econophysics: Proceedings Of The Third Nikkei Econophysics Symposium by Hideki TakayasuPractical Fruits Of Econophysics: Proceedings Of The Third Nikkei Econophysics Symposium by Hideki Takayasu

Practical Fruits Of Econophysics: Proceedings Of The Third Nikkei Econophysics Symposium

byHideki Takayasu

Hardcover | November 22, 2005

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The proceedings of the Third Nikkei Econophysics Symposium, "Business Models in the 21st Century - Risk Management and Expectations for Econophysics," held in Tokyo in November 2004, are gathered herein. Cutting-edge research on the practical application of econophysics is included, covering such topics as the predictability of markets, the analysis of rare events, the mechanism of crashes and bubbles, markets' correlation and risk management, investment strategy, stochastic market simulations, agent-based market simulations, wealth distribution, and network structures in economics, most of which are beyond the scope of standard financial technology. New market models and financial-data analysis methods are introduced, and dynamic aspects of markets and economy are highlighted. Professionals, researchers, and students will find an invaluable resource in this first book of its kind to summarize the latest work in the field of econophysics.
Title:Practical Fruits Of Econophysics: Proceedings Of The Third Nikkei Econophysics SymposiumFormat:HardcoverDimensions:390 pagesPublished:November 22, 2005Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:4431289143

ISBN - 13:9784431289142

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Table of Contents

1. Market's Basic PropertiesCorrelated Randomeness: Rare and Not-so-rare Events in FinanceNon-trivial scaling of fluctuations in the trading activity of NYSEDynamics and predictability of fluctuations in dollar-yen exchange ratesTemporal characteristics of moving average of foreign exchange marketsCharacteristic market behaviors caused by intervention in a foreign exchange marketApples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to CrashesScaling and Memory in Return Loss Intervals: Application to Risk EstimationRecurrence analysis near the NASDAQ crash of April 2000Modeling a foreign exchange rate using moving average of Yen-Dollar market dataSystematic tuning of optimal weighted-moving-average of yen-dollar market dataPower law and its transition in the slow convergence to a Gaussian in the S&P500 indexEmpirical study of the market impact in the Tokyo Stock ExchangeEconophysics to unravel the hidden dynamics of commodity marketsA characteristic time scale of tick quotes on foreign currency markets2. Predictability of MarketsOrder book dynamics and price impactPrediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010Quantitative Forecasting and Modeling Stock Price FluctuationsTime series of stock price and of two fractal overlaps: Anticipating market crashes ?Short Time Segment Price Forecasts Using Spline Fit InteractionsSuccessful Price Cycle Forecasts for S&P Futures Using TF3 - a Pattern Recognition Algorithms Based on the KNN MethodThe Hurst's exponent in technical analysis signalsFinancial Markets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF)Market Cycle Turning Point Forecasts by a Two-Parameter Learning Algorithm as a Trading Tool for S&P Futures3. Mathematical models The CTRWs in finance: the mean exit timeDiscretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in highfrequency financial time-seriesEvidence for Superdiffusion and "Momentum" in Stock Price ChangesBeyond the Third Dimension: Searching for the Price EquationAn agent-based model of financial returns in a limit order marketStock price process and the long-range percolationWhat information is hidden in chaotic time series?Analysis of Evolution of Stock Prices in Terms of Oscillation TheorySimple stochastic modeling for fat tails in financial marketsAgent Based Simulation Design Principles ? Applications to Stock MarketHeterogeneous agents model for stock market dynamics: role of market leaders and fundamental pricesDynamics of Interacting StrategiesEmergence of two-phase behavior in markets through interaction and learning in agents with bounded rationalityExplanation of binarized tick data using investor sentiment and genetic learningA Game-theoretic Stochastic Agents Model for Enterprise Risk Management4. Correlation and Risk Management Blackouts, risk, and fat-tailed distributionsPortfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk MeasureApplication of PCA and Random Matrix Theory to Passive Fund ManagementTesting Methods to Reduce Noise in Financial Correlation MatricesApplication of noise level estimation for portfolio optimizationMethod of Analyzing Weather Derivatives Based on Long-range Weather ForecastsInvestment horizons : A time-dependent measure of asset performanceClustering financial time seriesRisk portofolio management under Zipf analysis based strategiesMacro-players in stock marketsConservative Estimation of Default Rate CorrelationsAre Firm Growth Rates Random? Evidence from Japanese Small FirmsTrading Volume and Information Dynamics of Financial MarketsRandom Matrix Theory Applied to Portfolio Optimization in Japanese Stock MarketGrowth and Fluctuations for Small-Business Firms5. Networks and Wealth Distributions The skeleton of the Shareholders NetworksFinancial Market - A Network PerspectiveChange of ownership networks in JapanG7 country Gross Domestic Product (GDP) time correlations - A graph network analysisDependence of Distribution and Velocity of Money on Required Reserve RatioProspects for Money Transfer ModelsInequalities of Wealth Distribution in a Society with Social ClassesAnalyzing money distributions in 'ideal gas' models of marketsUnstable periodic orbits and chaotic transitions among growth patterns of an economyPower-law behaviors in high income distributionThe power-law exponent and the competition rule of the high income model6. New Ideas Personal versus economic freedomComplexity in an Interacting System of ProductionFour Ingredients for New Approaches to Macroeconomic ModelingCompetition phase space: theory and practiceAnalysis of Retail Spatial Market System by the Constructive Simulation MethodQuantum-Monadology Approach to Economic SystemsVisualization of microstructures of economic flows and adaptive control