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

Front Cover
Hideki Takayasu
Springer Science & Business Media, Jan 5, 2006 - Business & Economics - 390 pages
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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. "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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Contents

Rare and NotSoRare Events in Finance
2
NonTrivial Scaling of Fluctuations in the Trading Activity of NYSE
19
Dynamics and Predictability of Fluctuations in DollarYen Exchange Rates
24
Temporal Characteristics of Moving Average of Foreign Exchange Markets
29
Characteristic Market Behaviors Caused by Intervention in a Foreign Exchange Market
33
the Difference between the Reaction of the Emerging and Mature Markets to Crashes
38
Application to Risk Estimation
43
Recurrence Analysis Near the NASDAQ Crash of April 2000
52
A GameTheoretic Stochastic Agents Model for Enterprise Risk Management
210
Correlation and Risk Management
214
Blackouts Risk and FatTailed Distributions
215
Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure
220
Application of PCA and Random Matrix Theory to Passive Fund Management
226
Testing Methods to Reduce Noise in Financial Correlation Matrices
231
Application of Noise Level Estimation for Portfolio Optimization
236
Method of Analyzing Weather Derivatives Based on LongRange Weather Forecasts
241

Modeling a Foreign Exchange Rate Using Moving Average of YenDollar Market Data
57
Systematic Tuning of Optimal WeightedMovingAverage of YenDollar Market Data
62
Power Law and its Transition in the Slow Convergence to a Gaussian in the SP500 index
67
Empirical Study of the Market Impact in the Tokyo Stock Exchange
72
Econophysics to Unravel the Hidden Dynamics of Commodity Markets
77
A Characteristic Time Scale of Tick Quotes on Foreign Currency Markets
82
Predictability of Markets
87
Order Book Dynamics and Price Impact
88
Prediction Oriented Variant of Financial LogPeriodicity and Speculating about the Stock Market Development until 2010
93
Quantitative Forecasting and Modeling Stock Price Fluctuations
99
Anticipating Market Crashes?
107
Short Time Segment Price Forecasts Using Spline Fit Interactions
111
Successful Price Cycle Forecasts for SP Futures Using TF3 a Pattern Recognition Algorithms Based on the KNN Method
116
The Hursts Exponent in Technical Analysis Signals
121
Financial Markets Dynamic Distribution Function Predictability and Investment DecisionMaking FMDDF
126
Market Cycle Turning Point Forecasts by a TwoParameter Learning Algorithm as a Trading Tool for SP Futures
131
Mathematical Models
136
the Mean Exit Time
137
Discretized ContinuousTime Hierarchical Walks and Flights as Possible Bases of the NonLinear LongTerm Autocorrelations Observed in Highfreque...
142
Evidence for Superdiffusion and Momentum in Stock Price Changes
147
Searching for the Price Equation
152
An AgentBased Model of Financial Returns in a Limit Order Market
158
Stock Price Process and the LongRange Percolation
163
What Information is Hidden in Chaotic Time Series?
168
Analysis of Evolution of Stock Prices in Terms of Oscillation Theory
173
Simple Stochastic Modeling for Fat Tails in Financial Markets
178
Agent Based Simulation Design Principles Applications to Stock Market
183
Role of Market Leaders and Fundamental Prices
189
Dynamics of Interacting Strategies
194
Emergence of TwoPhase Behavior in Markets through Interaction and Learning in Agents with Bounded Rationality
200
Explanation of Binarized Tick Data Using Investor Sentiment and Genetic Learning
205
A TimeDependent Measure of Asset Performance
246
Clustering Financial Time Series
252
Risk Portofolio Management Under Zipf Analysis Based Strategies
257
MacroPlayers in Stock Markets
262
Conservative Estimation of Default Rate Correlations
272
Are Firm Growth Rates Random? Evidence from Japanese Small Firms
277
Trading Volume and Information Dynamics of Financial Markets
283
Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market
286
Growth and Fluctuations for SmallBusiness Firms
291
Networks and Wealth Distributions
296
The Skeleton of the Shareholders Networks
297
Financial Market A Network Perspective
302
Change of Ownership Networks in Japan
307
G7 Country Gross Domestic Product GDP Time Correlations A Graph Network Analysis
312
Dependence of Distribution and Velocity of Money on Required Reserve Ratio
317
Prospects for Money Transfer Models
322
Inequalities of Wealth Distribution in a Society with Social Classes
327
Analyzing Money Distributions in Ideal Gas Models of Markets
333
Unstable Periodic Orbits and Chaotic Transitions among Growth Patterns of an Economy
339
PowerLaw Behaviors in High Income Distribution
344
The PowerLaw Exponent and the Competition Rule of the High Income Model
349
New Ideas
354
Personal Versus Economic Freedom
355
Complexity in an Interacting System of Production
360
Four Ingredients for New Approaches to Macroeconomic Modeling
366
Theory and Practice
371
Analysis of Retail Spatial Market System by the Constructive Simulation Method
376
QuantumMonadology Approach to Economic Systems
381
Visualization of Microstructures of Economic Flows and Adaptive Control
386
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