Practical Fruits of Econophysics

1. Front Matter

   Pages I-XII

   PDF

2. Market’s Basic Properties

   1. Front Matter

      Pages 1-1

      PDF

   2. Correlated Randomness: Rare and Not-so-Rare Events in Finance

      • H. E. Stanley, Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou

      Pages 2-18

   3. Non-trivial scaling of fluctuations in the trading activity of NYSE

      • János Kertész, Zoltán Eisler

      Pages 19-23

   4. Dynamics and predictability of fluctuations in dollar-yen exchange rates

      • A. A. Tsonis, K. Nakada, H. Takayasu

      Pages 24-28

   5. Temporal characteristics of moving average of foreign exchange markets

      • Misako Takayasu, Takayuki Mizuno, Takaaki Ohnishi, Hideki Takayasu

      Pages 29-32

   6. Characteristic market behaviors caused by intervention in a foreign exchange market

      • Takayuki Mizuno, Yukiko Umeno Saito, Tsutomu Watanabe, Hideki Takayasu

      Pages 33-37

   7. Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes

      • Adel Sharkasi, Martin Crane, Heather J. Ruskin

      Pages 38-42

   8. Scaling and Memory in Return Loss Intervals: Application to Risk Estimation

      • Kazuko Yamasaki, Lev Muchnik, Shlomo Havlin, Armin Bunde, H. Eugene Stanley

      Pages 43-51

   9. Recurrence analysis near the NASDAQ crash of April 2000

      • Annalisa Fabretti, Marcel Ausloos

      Pages 52-56

   10. Modeling a foreign exchange rate using moving average of Yen-Dollar market data

       • Takayuki Mizuno, Misako Takayasu, Hideki Takayasu

       Pages 57-61

   11. Systematic tuning of optimal weighted-moving-average of yen-dollar market data

       • Takaaki Ohnishi, Takayuki Mizuno, Kazuyuki Aihara, Misako Takayasu, Hideki Takayasu

       Pages 62-66

   12. Power law and its transition in the slow convergence to a Gaussian in the S&P500 index

       • Ken Kiyono, Zbigniew R. Struzik, Yoshiharu Yamamoto

       Pages 67-71

   13. Empirical study of the market impact in the Tokyo Stock Exchange

       • Jun-ichi Maskawa

       Pages 72-76

   14. Econophysics to unravel the hidden dynamics of commodity markets

       • Sary Levy-Carciente, Klaus Jaffé, Fabiola Londoño, Tirso Palm, Manuel Pérez, Miguel Piñango et al.

       Pages 77-81

   15. A characteristic time scale of tick quotes on foreign currency markets

       • Aki-Hiro Sato

       Pages 82-86

3. Predictability of Markets

   1. Front Matter

      Pages 87-87

      PDF

   2. Order book dynamics and price impact

      • Philipp Weber, Bernd Rosenow

      Pages 88-92

   3. Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010

      • Stan Drożdż, Frank Grümmer, Franz Ruf, Josef Speth

      Pages 93-98

   4. Quantitative Forecasting and Modeling Stock Price Fluctuations

      • Serge Hayward

      Pages 99-106

Some economic phenomena are predictable and controllable, and some are impos­ sible to foresee. Existing economic theories do not provide satisfactory answers as to what degree economic phenomena can be predicted and controlled, and in what situations. Against this background, people working on the financial front lines in real life have to rely on empirical rules based on experiments that often lack a solid foundation. "Econophysics" is a new science that analyzes economic phenomena empirically from a physical point of view, and it is being studied mainly to offer scientific, objective and significant answers to such problems. This book is the proceedings of the third Nikkei symposium on ''Practical Fruits of Econophysics," held in Tokyo, November 9-11, 2004. In the first symposium held in 2000, empirical rules were established by analyzing high-frequency finan­ cial data, and various kinds of theoretical approaches were confimied. In the second symposium, in 2002, the predictability of imperfections and of economic fluctua­ tions was discussed in detail, and methods for applying such studies were reported. The third symposium gave an overview of practical developments that can immedi­ ately be applied to the financial sector, or at least provide hints as to how to use the methodology.

• Economics
• Econophysics
• Econophysics data analysis
• Financial Technology
• Physics
• Statistics
• agents

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

  Hideki Takayasu

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