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Econophysics of Stock and other Markets

Proceedings of the Econophys-Kolkata II

  • Conference proceedings
  • © 2006

Overview

Editors:
  1. Arnab Chatterjee

    1. Theoretical Condensed Matter Physics Division and Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India

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  2. Bikas K Chakrabarti

    1. Theoretical Condensed Matter Physics Division and Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India

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  • This book reviews the latest econophysics researches on the fluctuations in stock, forex and other markets. The statistical modeling of markets, using various agent-based game theoretical approaches, and their scaling analysis have been discussed.
  • The leading researchers in these fields have reported on their recent work and also reviewed the contemporary literature. Some historical perspectives as well as some comments and debates on recent issues in econophysics research have also been included.
  • Includes supplementary material: sn.pub/extras

Part of the book series: New Economic Windows (NEW)

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Table of contents (27 papers)

  1. Front Matter

    Pages I-XIII
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  2. Markets and their Analysis

    1. Front Matter

      Pages 1-1
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    2. On Stock-Price Fluctuations in the Periods of Booms and Stagnations

      • Taisei Kaizoji
      Pages 3-12

    3. An Outlook on Correlations in Stock Prices

      • Anirban Chakraborti
      Pages 13-23

    4. The Power (Law) of Indian Markets: Analysing NSE and BSE Trading Statistics

      • Sitabhra Sinha, Raj Kumar Pan
      Pages 24-34

    5. A Random Matrix Approach To Volatility In An Indian Financial Market

      • V. Kulkarni, N. Deo
      Pages 35-48

    6. Why do Hurst Exponents of Traded Value Increase as the Logarithm of Company Size?

      • Zoltán Eisler, János Kertész
      Pages 49-58

    7. Statistical Distribution of Stock Returns Runs

      • Honggang Li, Yan Gao
      Pages 59-66

    8. Fluctuation Dynamics of Exchange Rates on Indian Financial Market

      • A. Sarkar, P. Barat
      Pages 67-76

    9. Noise Trading in an Emerging Market: Evidence and Analysis

      • Debasis Bagchi
      Pages 77-84

    10. How Random is the Walk: Efficiency of Indian Stock and Futures Markets

      • Udayan Kumar Basu
      Pages 85-97

  3. Markets and their Models

    1. Front Matter

      Pages 99-99
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    2. Models of Financial Market Information Ecology

      • Damien Challet
      Pages 101-112

    3. Estimating Phenomenological Parameters in Multi-Assets Markets

      • Giacomo Raffaelli, Matteo Marsili
      Pages 113-122

    4. Agents Play Mix-game

      • Chengling Gou
      Pages 123-132

    5. Triangular Arbitrage as an Interaction in Foreign Exchange Markets

      • Yukihiro Aiba, Naomichi Hatano
      Pages 133-142

    6. Modelling Limit Order Financial Markets

      • Robin Stinchcombe
      Pages 143-152

    7. Two Fractal Overlap Time Series and Anticipation of Market Crashes

      • Bikas K. Chakrabarti, Arnab Chatterjee, Pratip Bhattacharyya
      Pages 153-158

    8. The Apparent Madness of Crowds: Irrational Collective Behavior Emerging from Interactions among Rational Agents

      • Sitabhra Sinha
      Pages 159-162

    9. Agent-Based Modelling with Wavelets and an Evolutionary Artificial Neural Network: Applications to CAC 40 Forecasting

      • Serge Hayward
      Pages 163-174
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Keywords

About this book

This book reviews the latest econophysics researches on the fluctuations in stock, forex and other markets. The statistical modeling of markets, using various agent-based game theoretical approaches, and their scaling analysis have been discussed.

The leading researchers in these fields have reported on their recent work and also reviewed the contemporary literature. Some historical perspectives as well as some comments and debates on recent issues in econophysics research have also been included.

Editors and Affiliations

  • Theoretical Condensed Matter Physics Division and Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, Kolkata, India

    Arnab Chatterjee, Bikas K Chakrabarti

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