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The Application of Econophysics

Proceedings of the Second Nikkei Econophysics Symposium

  • Conference proceedings
  • © 2004

Overview

Editors:
  1. Hideki Takayasu

    1. Sony Computer Science Laboratories, Inc., Tokyo, Japan

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  • Can be viewed as the second volume of an econophysics book with the first volume, "Empirical Science of Financial Fluctuations", published 2 years ago
  • There is no book focusing on the application of econophysics, so all researchers in this field will pay much attention
  • Practitioners who want direct application should not miss this book

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Table of contents (49 papers)

  1. Front Matter

    Pages II-X
    Download chapter PDF

  2. Market Properties

    1. Front Matter

      Pages 1-1
      Download chapter PDF

    2. Basic Statistics

      1. Economic Fluctuations and Statistical Physics: The Puzzle of Large Fluctuations
        • H. E. Stanley, Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou
        Pages 3-17
      2. Triangular Arbitrage in the Foreign Exchange Market
        • Yukihiro Aiba, Naomichi Hatano, Hideki Takayasu, Kouhei Marumo, Tokiko Shimizu
        Pages 18-23
      3. Time-scale dependence of correlations among foreign currencies
        • Takayuki Mizuno, Shoko Kurihara, Misako Takayasu, Hideki Takayasu
        Pages 24-29
      4. Univariate and multivariate statistical aspects of equity volatility
        • Salvatore Miccichè, Fabrizio Lillo, Giovanni Bonanno, Rosario N. Mantegna
        Pages 30-42
      5. Time dependent correlations and response in stock market data and models
        • J. Kertész, L. Kullmann, A. G. Zawadowski, R. Karädi, K. Kaski
        Pages 43-50
      6. Distributions and Long-Range Correlations in the Trading of US Stocks
        • Plamen Ch. Ivanov, Ainslie Yuen, Boris Podobnik, Youngki Lee
        Pages 51-57
      7. Time Evolution of Fractal Structure by Price-Axis Scaling and Foreign Exchange Intervention Operations
        • Yoshiaki Kumagai
        Pages 58-63
      8. Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory
        • Tetsuo Abel
        Pages 64-69
      9. Physical Properties of the Korean Stock Market
        • Julian Juhi-Lian Ting
        Pages 70-77
      10. Correlation coefficients between stocks and those distributions of returns in the Tokyo Stock Exchange
        • Koichi Itoh
        Pages 78-82
      11. Epochs in Market Sector Index Data — Empirical or Optimistic?
        • G. Keogh, S. Sharifi, H. Ruskin, M. Crane
        Pages 83-89

    3. Predictability

      1. Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous
        • D. Sornette, Y. Malevergne, J.-F. Muzy
        Pages 91-102
      2. Patterns of speculation in real estate and stocks
        • Bertrand M. Roehner
        Pages 103-116
      3. Generalized Technical Analysis. Effects of transaction volume and risk
        • Marcel Ausloos, Kristinka Ivanova
        Pages 117-124
      4. Enhancement of the prediction of actual market prices by modifying the regularity structure of a signal
        • Lyailya M. Karimova, Yerbol B. Kuandykov
        Pages 125-130
      5. New complex approach to market price predictions
        • Michael I. Tribelsky
        Pages 131-136
      6. Inferring of Trade Direction by Imbalance from Intra-Day Data
        • G. Okita, A. Oba, H. Takayasu
        Pages 137-139
      7. Chaotic Structure in Intraday Data of JGB Futures Price
        • Kohei Hayashi
        Pages 140-145
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Keywords

About this book

Econophysics 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.

Editors and Affiliations

  • Sony Computer Science Laboratories, Inc., Tokyo, Japan

    Hideki Takayasu

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