Empirical science of financial fluctuations: the advent of econophysics
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Tokyo, Berlin ; Heidelberg ; New York ; Barcelona ; Hong Kong ;
Springer
2002
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturangaben |
| Physical Description: | X, 352 S. Ill., graph. Darst. |
| ISBN: | 4431703160 |
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| 245 | 1 | 0 | |a Empirical science of financial fluctuations |b the advent of econophysics |c Hideki Takayasu (ed.) |
| 264 | 1 | |a Tokyo, Berlin ; Heidelberg ; New York ; Barcelona ; Hong Kong ; |b Springer |c 2002 | |
| 300 | |a X, 352 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Literaturangaben | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Finance -- Statistical methods -- Congresses | |
| 650 | 4 | |a Finance -- Mathematical models -- Congresses | |
| 650 | 4 | |a Statistical physics -- Congresses | |
| 650 | 4 | |a Financial crises -- Congresses | |
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Record in the Search Index
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CONTENTS
PREFACE
I.
EMPIRICAL
FACTS
OF
FINANCIAL
MARKET
FLUCTUATIONS
1-1
BASIC
MARKET
STATISTICS
QUANTIFYING
EMPIRICAL
ECONOMIC
FLUCTUATIONS
USING
THE
ORGANIZING
PRINCIPLES
OF
SCALE
INVARIANCE
AND
UNIVERSALITY
H.
E.
STANLEY,
L.
A.
N.
AMARAL,
P.
GOPIKRISHNAN,
V.
PLEROU,
AND
B.
ROSENOW
3
PRICE
FLUCTUATIONS
AND
MARKET
ACTIVITY
P.
GOPIKRISHNAN,
V.
PLEROU,
X.
GABAIX,
L.
A.
N.
AMARAL,
AND
H.
E.
STANLEY
12
TRANSACTION
INTERVAL
ANALYSIS
OF
HIGH
RESOLUTION
FOREIGN
EXCHANGE
DATA
M.
TAKAYASU,
H.
TAKAYASU,
AND
M.
P.
OKAZAKI
18
1-2
CROSS-CORRELATIONS
RANDOM
MATRIX
THEORY
AND
CROSS-CORRELATIONS
OF
STOCK
PRICES
B.
ROSENOW,
P.
GOPIKRISHNAN,
V.
PLEROU,
AND
H.
E.
STANLEY
27
A
RANDOM
MATRIX
THEORY
APPROACH
TO
QUANTIFYING
COLLECTIVE
BEHAVIOR
OF
STOCK
PRICE
FLUCTUATIONS
V.
PLEROU,
P.
GOPIKRISHNAN,
B.
ROSENOW,
L.
A.
N.
AMARAL,
AND
H.
E.
STANLEY
35
DYNAMICS
OF
CORRELATIONS
IN
THE
STOCK
MARKET
S.
DROZDZ,
F.
GRIIMMER,
F.
RUF,
AND
J.
SPETH
41
FALSE
EUR
EXCHANGE
RATES
VS.
DKK,
CHF,
JPY
AND
USD.
WHAT
IS
A
STRONG
CURRENCY
?
K.
IVANOVA
AND
M.
AUSLOOS
51
1-3
MARKET
ANOMALIES
CRASHES
:
SYMPTOMS,
DIAGNOSES
AND
REMEDIES
M.
AUSLOOS,
K.
IVANOVA,
AND
N.
VANDEWALLE
62
VARIETY
OF
STOCK
RETURNS
IN
NORMAL
AND
EXTREME
MARKET
DAYS:
THE
AUGUST
1998
CRISIS
F.
LILLO,
G.
BONANNO,
AND
R.
N.
MANTEGNA
77
VIII
A
MECHANISM
OF
INTERNATIONAL
TRANSMISSION
OF
FINANCIAL
CRISES
T.
KAIZOJI
90
HIGH
FREQUENCY
DATA
ANALYSIS
IN
AN
EMERGING
AND
A
DEVELOPED
MARKET
Z.
PALAGYI,
G.
K6ROSI,
AND
R.
N.
MANTEGNA
102
MEASURING
LONG-RANGE
DEPENDENCE
IN
ELECTRICITY
PRICES
R.
WERON
110
II.
VARIOUS
APPROACHES
TO
FINANCIAL
MARKETS
11-1
AGENT-BASED
MODELING
MICRO-SIMULATIONS
OF
FINANCIAL
MARKETS
AND
THE
STYLIZED
FACTS
T.
LUX
AND
F.
HEITGER
123
STATISTICAL
PROPERTY
OF
PRICE
FLUCTUATIONS
IN
A
MULTI-AGENT
MODEL
AND
THE
CURRENCY
EXCHANGE
MARKET
M.
TANAKA-YAMAWAKI
135
A
SPECULATIVE
FINANCIAL
MARKET
MODEL
A.
PONZI
143
SPIN-GLASS
LIKE
NETWORK
MODEL
FOR
STOCK
MARKET
J.-I.
MASKAWA
153
THREE
BODIES
TRADING
MODEL
IN
FINANCIAL
MARKETS
AND
ITS
NUMERICAL
SIMULATION
METHODOLOGY
WITH
GENETIC
ALGORITHMS
H.
YOON,
H.
SAITO,
AND
T.
TANAHASHI
159
DERIVATION
OF
ARCH(L)
PROCESS
FROM
MARKET
PRICE
CHANGES
BASED
ON
DETERMINISTIC
MICROSCOPIC
MULTI-AGENT
A.-H.
SATO
AND
H.
TAKAYASU
171
11-2
STOCHASTIC
MODELING
A
SIMPLE
MODEL
OF
VOLATILITY
FLUCTUATIONS
IN
ASSET
MARKETS
M.
AOKI
180
SELF-SIMILARITY
OF
PRICE
FLUCTUATIONS
AND
MARKET
DYNAMICS
Y.
FUJIWARA
AND
H.
FUJISAKA
186
SURVIVAL
PROBABILITY
OF
LIFFE
BOND
FUTURES
VIA
THE
MITTAG-LEFFLER
FUNCTION
F.
MAINARDI,
M.
RABERTO,
E.
SCALAS,
AND
R.
GORENFLO
195
IX
WHY
IS
IT
FAT-TAILED
?
K.
KUBOTA
207
MARKET
PRICE
SIMULATOR
BASED
ON
ANALOG
ELECTRICAL
CIRCUIT
A.-H.
SATO
AND
H.
TAKAYASU
214
SIMULATION
AND
ANALYSIS
OF
A
POWER
LAW
FLUCTUATION
GENERATOR
H.
FANCHIOTTI,
C.
A.
G.
CANAL,
AND
N.
MARTINEZ
222
DEFORMATION
OF
IMPLIED
VOLATILITY
SURFACES:
AN
EMPIRICAL
ANALYSIS
R.
CONT
AND
J.
DA
FONSECA
230
11-3
PREDICTION
AND
INVESTMENT
STRATEGY
PREDICTABILITY
OF
MARKET
PRICES
M.
TRIBELSKY,
Y.
HARADA,
N.
MAKARENKO,
AND
Y.
KUANDYKOV
241
TIME-SPACE
SCALING
OF
FINANCIAL
TIME
SERIES
Y.
KUMAGAI
250
PARAMETER
ESTIMATION
OF
A
GENERALIZED
LANGEVIN
EQUATION
OF
MARKET
PRICE
M.
G.
LEE,
A.
OBA,
AND
H.
TAKAYASU
260
ANALYSIS
OF
STOCK
MARKETS,
CURRENCY
EXCHANGES
AND
TAX
REVENUES
H.
FANCHIOTTI,
C.
A.
G.
CANAL,
AND
H.
G.
ZUNIGA
271
TRADING
SYSTEM
APPLIED
TO
LARGE
MUTUAL
FUND
COMPANY
D.
MINKOV
275
III.
OTHER
TOPICS
111-1
RELATION
TO
ECONOMIC
THEORIES
WHY
FINANCIAL
MARKETS
WILL
REMAIN
MARGINALLY
INEFFICIENT
Y.-C.
ZHANG
289
THE
LAW
OF
CONSUMER
DEMAND
IN
JAPAN:
A
MACROSCOPIC
MICROECONOMIC
VIEW
Y.
ARUKA
294
A
FUNCTIONAL-ANALYTIC
AND
NUMERICAL-ANALYTIC
APPROACH
TO
NONLINEAR
ECONOMIC
MODELS
DESCRIBED
BY
THE
MASTER
EQUATION
M.
TABATA,
A.
IDE,
N.
ESHIMA,
I.
TAKAGI,
AND
Y.
TAKEI
304 |
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| id | DE-604.BV014894962 |
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| indexdate | 2024-11-22T17:34:58Z |
| institution | BVB |
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| spelling | Empirical science of financial fluctuations the advent of econophysics Hideki Takayasu (ed.) Tokyo, Berlin ; Heidelberg ; New York ; Barcelona ; Hong Kong ; Springer 2002 X, 352 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturangaben Mathematisches Modell Finance -- Statistical methods -- Congresses Finance -- Mathematical models -- Congresses Statistical physics -- Congresses Financial crises -- Congresses Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Statistische Physik (DE-588)4057000-9 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2000 Tokio gnd-content Finanzmathematik (DE-588)4017195-4 s Statistische Physik (DE-588)4057000-9 s DE-604 Takayasu, Hideki 1958- Sonstige (DE-588)123483387 oth DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010070523&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Empirical science of financial fluctuations the advent of econophysics Mathematisches Modell Finance -- Statistical methods -- Congresses Finance -- Mathematical models -- Congresses Statistical physics -- Congresses Financial crises -- Congresses Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4057000-9 (DE-588)1071861417 |
| title | Empirical science of financial fluctuations the advent of econophysics |
| title_auth | Empirical science of financial fluctuations the advent of econophysics |
| title_exact_search | Empirical science of financial fluctuations the advent of econophysics |
| title_full | Empirical science of financial fluctuations the advent of econophysics Hideki Takayasu (ed.) |
| title_fullStr | Empirical science of financial fluctuations the advent of econophysics Hideki Takayasu (ed.) |
| title_full_unstemmed | Empirical science of financial fluctuations the advent of econophysics Hideki Takayasu (ed.) |
| title_short | Empirical science of financial fluctuations |
| title_sort | empirical science of financial fluctuations the advent of econophysics |
| title_sub | the advent of econophysics |
| topic | Mathematisches Modell Finance -- Statistical methods -- Congresses Finance -- Mathematical models -- Congresses Statistical physics -- Congresses Financial crises -- Congresses Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd |
| topic_facet | Mathematisches Modell Finance -- Statistical methods -- Congresses Finance -- Mathematical models -- Congresses Statistical physics -- Congresses Financial crises -- Congresses Finanzmathematik Statistische Physik Konferenzschrift 2000 Tokio |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010070523&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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