Econophysics of Stock and other Markets

Proceedings of the Econophys-Kolkata II
Softcover Nachdruck of the original 1. Auflage 2006
ISBN: 978-88-470-5798-2
Verlag: Springer Milan

Buch, Englisch, 255 Seiten, Previously published in hardcover, Format (B × H): 178 mm x 254 mm, Gewicht: 518 g

Reihe: New Economic Windows

This book reviews the latest econophysics researches on the fluctuations in stock, forex and other markets. The statistical modeling of markets, using various agent-based game theoretical approaches, and their scaling analysis have been discussed.

The leading researchers in these fields have reported on their recent work and also reviewed the contemporary literature. Some historical perspectives as well as some comments and debates on recent issues in econophysics research have also been included.

Zielgruppe

Research

Autoren/Hrsg.

Chakrabarti, Bikas K.

Chatterjee, Arnab

Fachgebiete

• Naturwissenschaften Physik Angewandte Physik Soziophysik, Wirtschaftsphysik
• Mathematik | Informatik Mathematik Operations Research
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Naturwissenschaften Physik Physik Allgemein Theoretische Physik, Mathematische Physik, Computerphysik

Inhaltsverzeichnis

Markets and their Analysis.- On Stock-Price Fluctuations in the Periods of Booms and Stagnations.- An Outlook on Correlations in Stock Prices.- The Power (Law) of Indian Markets: Analysing NSE and BSE Trading Statistics.- A Random Matrix Approach To Volatility In An Indian Financial Market.- Why do Hurst Exponents of Traded Value Increase as the Logarithm of Company Size?.- Statistical Distribution of Stock Returns Runs.- Fluctuation Dynamics of Exchange Rates on Indian Financial Market.- Noise Trading in an Emerging Market: Evidence and Analysis.- How Random is the Walk: Efficiency of Indian Stock and Futures Markets.- Markets and their Models.- Models of Financial Market Information Ecology.- Estimating Phenomenological Parameters in Multi-Assets Markets.- Agents Play Mix-game.- Triangular Arbitrage as an Interaction in Foreign Exchange Markets.- Modelling Limit Order Financial Markets.- Two Fractal Overlap Time Series and Anticipation of Market Crashes.- The Apparent Madness of Crowds: Irrational Collective Behavior Emerging from Interactions among Rational Agents.- Agent-Based Modelling with Wavelets and an Evolutionary Artificial Neural Network: Applications to CAC 40 Forecasting.- Information Extraction in Scheduling Problems with Non-Identical Machines.- Modelling Financial Time Series.- Random Matrix Approach to Fluctuations and Scaling in Complex Systems.- The Economic Efficiency of Financial Markets.- Regional Inequality.- Historical Notes.- A Brief History of Economics: An Outsider’s Account.- The Nature and Future of Econophysics.- Comments and Discussions.- Econophys-Kolkata II Workshop Summary.- Econophysics: Some Thoughts on Theoretical Perspectives.- Comments on “Worrying Trends in Econophysics”: Income Distribution Models.