Practical fruits of econophysics : proceedings of the Third Nikkei Econophysics Symposium /
"The proceedings of the Third Nikkei Econophysics Symposium, "Business Models in the 21st Century - Risk Management and Expectations for Econophysics," held in Tokyo in November 2004, are gathered herein. Cutting-edge research on the practical application of econophysics is included,...
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| Médium: | Konferenční příspěvek Kniha |
| Jazyk: | English |
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Tokyo ; New York :
Springer,
©2006.
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Obsah:
- Correlated randomeness : rare and not-so-rare events in finance / H. E. Stanley, Xavier Gabaix, Parameswaran Gopikrishnan and Vasiliki Plerou
- Non-trivial scaling of fluctuations in the trading activity of NYSE / Janos Kertesz and Zoltan Eisler
- Dynamics and predictability of fluctuations in dollar-yen exchange rates / A. A. Tsonis, K. Nakada and H. Takayasu
- Temporal characteristics of moving average of foreign exchange markets / Misako Takayasu, Takayuki Mizuno, Takaaki Ohnishi and Hideki Takayasu
- Characteristic market behaviors caused by intervention in a foreign exchange market / Takayuki Mizuno, Yukiko Umeno Saito, Tsutomu Watanabe and Hideki Takayasu
- Apples and oranges : the difference between the reaction of the emerging and mature markets to crashes / Adel Sharkasi, Martin Crane and Heather J. Ruskin
- Scaling and memory in return loss intervals : application to risk estimation / Kazuko Yamasaki, Lev Muchnik, Shlomo Havlin, Armin Bunde and H. E. Stanley
- Recurrence analysis near the NASDAQ crash of April 2000 / Annalisa Fabretti and Marcel Ausloos
- Modeling a foreign exchange rate using moving average of yen-dollar market data / Takayuki Mizuno, Misako Takayasu and Hideki Takayasu
- Systematic tuning of optimal weighted-moving-average of yen-dollar market data / Takaaki Ohnishi, Takayuki Mizuno, Kazuyuki Aihara, Misako Takayasu and Hideki Takayasu
- Power law and its transition in the slow convergence to a Gaussian in the S&P500 index / Ken Kiyono, Zbigniew R. Struzik and Yoshiharu Yamamoto
- Empirical study of the market impact in the Tokyo Stock Exchange / Jun-ichi Maskawa
- Econophysics to unravel the hidden dynamics of commodity markets / Sary Levy-Carciente, Klaus Jaffe, Fabiola Londono, Tirso Palm, Manuel Perez, Miguel Pinango and Pedro Reyes
- A characteristic time scale of tick quotes on foreign currency markets / Aki-Hiro Sato
- Order book dynamics and price impact / Philipp Weber and Bernd Rosenow
- Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010 / Stan Drozdz, Frank Grummer, Franz Ruf and Josef Speth
- Quantitative forecasting and modeling stock price fluctuations / Serge Hayward
- Time series of stock price and of two fractal overlap : anticipating market crashes? / Bikas K. Chakrabarti, Arnab Chatterjee and Pratip Bhattacharyya
- Short time segment price forecasts using spline fit interactions / Ke Xu, Jun Chen, Jian Yao, Zhaoyang Zhao, Tao Yu, Kamran Dadkhah and Bill C. Giessen
- Successful price cycle forecasts for S&P futures using TF3
- a pattern recognition algorithms based on the KNN method / Bill C. Giessen, Zhaoyang Zhao, Tao Yu, Jun Chen, Jian Yao and Ke Xu
- The hurst's exponent in technical analysis signals / Giulia Rotundo
- Financial markets dynamic distribution function, predictability and investment decision-making (FMDDF) / Gregory Chernizer
- Market cycle turning point forecasts by a two-parameter learning algorithm as a trading tool for S&P futures / Jian Yao, Jun Chen, Ke Xu, Zhaoyang Zhao, Tao Yu and Bill C. Giessen
- The CTRWs in finance : the mean exit time / Jaume Masoliver, Miquel Montero and Josep Perello
- Discretized continuous-time hierarchical walks and flights as possible bases of the non-linear long-term autocorrelations observed in highfrequency financial time-series / Marzena Kozlowska, Ryszard Kutner and Filip Switala
- Evidence for superdiffusion and "momentum" in stock price changes / Morrel H. Cohen and Prasana Venkatesh
- Beyond the third dimension : searching for the price equation / Antonella Sabatini
- An agent-based model of financial returns in a limit order market / Koichi Hamada, Kouji Sasaki and Toshiaki Watanabe
- Stock price process and the long-range percolation / Koji Kuroda and Joshin Murai
- What information is hidden in chaotic time series? / Serge F. Timashev, Grigory V. Vstovsky and Anna B. Solovieva
- Analysis of evolution of stock prices in terms of oscillation theory / Satoshi Nozawa and Toshitake Kohmura
- Simple stochastic modeling for fat tails in financial markets / Hans-Georg Matuttis
- Agent based simulation design principles
- applications to stock market / Lev Muchnik, Yoram Louzoun and Sorin Solomon
- Heterogencous agents model for stock market dynamics : role of market leaders and fundamental prices / Janusz A. Holyst and Arkadiusz Potrzebowski
- Dynamics of interacting strategies / Masanao Aoki and Hiroyuki Moriya
- Emergence of two-phase behavior in markets through interaction and learning in agents with bounded rationality / Sitabhra Sinha and S. Raghavendra
- Explanation of binarized tick data using investor sentiment and genetic learning / Takashi Yamada and Kazuhiro Ueda
- A game-theoretic stochastic agents model for enterprise risk management / Yuichi Ikeda, Shigeru Kawamoto, Osamu Kubo, Yasuhiro Kobayashi and Chihiro Fukui
- Blackouts, risk, and fat-tailed distributions / Rafal Weron and Ingve Simonsen
- Portfolio selection in a noisy environment using absolute deviation as a risk measure / Imre Kondor, Szilard Pafka, Richard Karadi and Gabor Nagy
- Application of PCA and random matrix theory to passive fund management / Yoshi Fujiwara, Wataru Souma, Hideki Murasato and Hiwon Yoon
- Testing methods to reduce noise in financial correlation matrices / Per-Johan Andersson, Andreas Oberg and Thomas Guhr
- Application of noise level estimation for portfolio optimization / Krzysztof Urbanowicz and Janusz A. Holyst
- Method of analyzing weather derivatives based on long-range weather forecasts / Masashi Egi, Shun Takahashi, Takeshi Ieshima and Kaoru Hijikata
- Investment horizons : a time-dependent measure of asset performance / Ingve Simonsen, Anders Johansen and Mogens H. Jensen
- Clustering financial time series / Nicolas Basalto and Francesco De Carlo
- Risk portofolio management under Zipf analysis based strategies / M. Ausloos and Ph. Bronlet
- Macro-players in stock markets / Bertrand M. Roehner
- Conservative estimation of default rate correlations / Bernd Rosenow and Rafael Weissbach
- Are firm growth rates random? Evidence from Japanese small firms / Yukiko Saito and Tsutomu Watanabe
- Trading volume and information dynamics of financial markets / S. G. Redsun, R. D. Jones, R. E. Frye and K. D. Myers
- Random matrix theory applied to portfolio optimization in Japanese stock market / Masashi Egi, Takashi Matsushita, Seiji Futatsugi and Keizaburo Murakami
- Growth and fluctuations for small-business firms / Yoshi Fujiwara, Hideaki Aoyama and Wataru Souma
- The skeleton of the shareholders networks / Guido Caldarelli, Stefano Battiston and Diego Garlaschelli
- Financial market
- a network perspective / Jukka-Pekka Onnela, Jari Saramaki, Kimmo Kaski and Janos Kertesz
- Change of ownership networks in Japan / Wataru Souma, Yoshi Fujiwara and Hideaki Aoyama
- G7 country gross domestic product (GDP) time correlations
- a graph network analysis / J. Miskiewicz and M. Ausloos
- Dependence of distribution and velocity of money on required reserve ratio / Ning Xi, Ning Ding and Yougui Wang
- Prospects for money transfer models / Yougui Wang, Ning Ding and Ning Xi
- Inequalities of wealth distribution in a society with social classes / J. R. Iglesias, S. Risau-Gusman and M. F. Laguna
- Analyzing money distributions in 'ideal gas' models of markets / Arnab Chatterjee, Bikas K. Chakrabarti and Robin B. Stinchoombe
- Unstable periodic orbits and chaotic transitions among growth patterns of an economy / Ken-ichi Ishiyama and Yoshitaka Saiki
- Power-law behaviors in high income distribution / Sasuke Miyazima and Keizo Yamamoto
- The power-law exponent and the competition rule of the high income model / Keizo Yamamoto, Sasuke Miyazima, Hiroshi Yamamoto, Toshiya Ohtsuki and Akihiro Fujihara
- Personal versus economic freedom / Katarzyna Sznajd-Weron and Jezef Sznajd
- Complexity in an interacting system of production / Yuji Aruka and Jurgen Mimkes
- Four ingredients for new approaches to macroeconomic modeling / Masanao Aoki
- Competition phase space : theory and practice / Dmitri B. Berg and Valerian V. Popkov
- Analysis of retail spatial market system by the constructive simulation method / Hirohide Nagatsuka and Katsuya Nakagawa
- Quantum-monadology approach to economic systems / Teruaki Nakagomi
- Visualization of microstructures of economic flows and adaptive control / Yoshitake Yamazaki, Zhong-can Ou-Yang, Herbert Gleiter, Kunquan Lu, Dianhong Shen and Xing Zhu