Empirical Science of Financial Fluctuations: The Advent of Econophysics

Front Cover
Hideki Takayasu
Springer Science & Business Media, Mar 14, 2013 - Science - 352 pages
Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.
 

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Contents

Quantifying Empirical Economic Fluctuations Using the Organizing
3
Transaction Interval Analysis of High Resolution Foreign Exchange Data
18
A Random Matrix Theory Approach to Quantifying Collective Behavior
35
False EUR Exchange Rates vs DKK CHF JPY and
51
Ausloos K Ivanova and N Vandewalle
77
A Mechanism of International Transmission of Financial Crises
90
T Kaizoji
102
Z Palágyi G Körösi and R N Mantegna
110
Three Bodies Trading Model in Financial Markets
159
41
170
H Yoon H Saito and T Tanahashi
171
A Simple Model of Volatility Fluctuations in Asset Markets
180
51
185
SelfSimilarity of Price Fluctuations and Market Dynamics
186
Y Fujiwara and H Fujisaka
195
102
208

MicroSimulations of Financial Markets and the Stylized Facts
123
27
126
T Lux and F Heitger
135
A Speculative Financial Market Model
143
A Ponzi
152
10
218
123
245
143
298
159
318
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