## The Application of Econophysics: Proceedings of the Second Nikkei Econophysics SymposiumEconophysics is a newborn field of science bridging economics and physics. A special feature of this new science is the data analysis of high-precision market data. In economics arbitrage opportunity is strictly denied; however, by observing high-precision data we can prove the existence of arbitrage opportunity. Also, financial technology neglects the possibility of market prediction; however, in this book you can find many examples of predicted events. There are other surprising findings. This volume is the proceedings of a workshop on "application of econophysics" at which leading international researchers discussed their most recent results. |

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### Contents

The Puzzle of Large Fluctuations | 3 |

Triangular Arbitrage in the Foreign Exchange Market | 18 |

Timescale dependence of correlations among foreign currencies | 24 |

Univariate and multivariate statistical aspects of equity volatility | 30 |

Time dependent correlations and response in stock market data and models | 43 |

Distributions and LongRange Correlations in the Trading of US Stocks | 51 |

Time Evolution of Fractal Structure by Priceaxis Scaling and Foreign Exchange Intervention Operations | 58 |

Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory | 64 |

Do two poles attract each other? | 198 |

Emergence of powerlaw behaviors in online auctions | 204 |

the Dual Face of Multifractality | 210 |

If the World were a Village of 100 Traders | 217 |

Market Simulation Displaying Multifractality | 223 |

Currency Markets | 229 |

Multivariable Modeling on Complex Behavior of a Foreign Exchange Market | 235 |

Gibbs measure and Markov chain modeling for stock markets | 241 |

Physical Properties of the Korean Stock Market | 70 |

Correlation coefficients between stocks and those distributions of returns in the Tokyo Stock Exchange | 78 |

Epochs in Market Sector Index Data Empirical or Optimistic? | 83 |

Endogenous Versus Exogenous | 91 |

Patterns of speculation in real estate and stocks | 103 |

Generalized Technical Analysis Effects of transaction volume and risk | 117 |

Enhancement of the prediction of actual market prices by modifying the regularity structure of a signal | 125 |

New complex approach to market price predictions | 131 |

Inferring of Trade Direction by Imbalance from IntraDay Data | 137 |

Chaotic Structure in Intraday Data of JGB Futures Price | 140 |

Trend identification and financial trading strategy by using stochastic trend model with Markov switching slope change and ARCH | 146 |

empirical analysis in Japanese stock market | 150 |

Selfmodulation processes in financial markets | 155 |

Deterministic and stochastic influences on Japan and US stock and foreign exchange markets A FokkerPlanck approach | 161 |

FirstPassage Problem in Foreign Exchange Rate | 169 |

evidence from the Nord Pool electricity market | 182 |

Statistical Properties of Commodity Price Fluctuations | 192 |

Entropy in the Economy | 249 |

Investment strategy based on a company growth model | 256 |

Growth and Fluctuations of Personal Income I | 262 |

Growth and Fluctuations of Personal and Companys Income II | 268 |

A model of high income distribution | 274 |

Effects of Saving Propensity | 280 |

Enterprise money system an ultimate risk hedge | 287 |

Visualization of business networks | 293 |

Bankruptcy Prediction Using Decision Tree | 299 |

Premium Forecasting of an Insurance Company | 303 |

A View from an Economist on Econophysics | 310 |

A New Model of Labor Market Dynamics | 316 |

Formulating Social Interactions in Utility Theory of Economics | 322 |

Some Insights from an Evolutionary Game | 330 |

A Complex Adaptive Model of Economic Production Networks | 338 |

### Other editions - View all

The Application of Econophysics: Proceedings of the Second Nikkei ... Hideki Takayasu Limited preview - 2012 |

The Application of Econophysics: Proceedings of the Second Nikkei ... Hideki Takayasu No preview available - 2012 |

The Application of Econophysics: Proceedings of the Second Nikkei ... Hideki Takayasu No preview available - 2012 |

### Common terms and phrases

agents analysis analyze arbitrage asset auctions autocorrelation behavior Cambridge characterized coefficient commodities companies complex correlation crash cross-correlation currency daily defined denotes deviation dynamics economic Econophysics electricity empirical endogenous equation equilibrium estimated exchange rates exponent exponential financial markets financial time series foreign exchange market foreign exchange rates fractal function future prices Gopikrishnan growth H. E. Stanley income independent component analysis indices interaction Japan linear Mantegna matrix multifractal NASDAQ networks NIKKEI Nord Pool observed obtained parameters Pareto payoff matrix period Phys Physics Plerou plot portfolio power law prediction price changes price fluctuations probability density probability distribution properties random ratio returns risk scale sector shocks shows simulation Sornette spot prices statistical stochastic stochastic process stock market stock price strategy tails Takayasu theory tion Tokyo transaction triangular arbitrage University variables variance volatility