Econophysics Approaches to Large-Scale Business Data and Financial Crisis

1. Front Matter

   Pages i-xi

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2. Financial Market Properties

   1. Front Matter

      Pages 1-1

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   2. Trend Switching Processes in Financial Markets

      • Tobias Preis, H. Eugene Stanley

      Pages 3-26

   3. Nonlinear Memory and Risk Estimation in Financial Records

      • Armin Bunde, Mikhail I. Bogachev

      Pages 27-48

   4. Microstructure and Execution Strategies in the Global Spot FX Market

      • Anatoly B. Schmidt

      Pages 49-63

   5. Temporal Structure of Volatility Fluctuations

      • Fengzhong Wang, Kazuko Yamasaki, H. Eugene Stanley, Shlomo Havlin

      Pages 65-77

   6. Theoretical Base of the PUCK-Model with Application to Foreign Exchange Markets

      • Misako Takayasu, Kota Watanabe, Takayuki Mizuno, Hideki Takayasu

      Pages 79-98

3. Financial Crisis and Macroeconomics

   1. Front Matter

      Pages 99-99

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   2. Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis

      • Didier Sornette, Ryan Woodard

      Pages 101-148

   3. Global and Local Approaches Describing Critical Phenomena on the Developing and Developed Financial Markets

      • Dariusz Grech

      Pages 149-172

   4. Root Causes of the Housing Bubble

      • Taisei Kaizoji

      Pages 173-182

   5. Reconstructing Macroeconomics Based on Statistical Physics

      • Masanao Aoki, Hiroshi Yoshikawa

      Pages 183-195

   6. How to Avoid Fragility of Financial Systems: Lessons from the Financial Crisis and St. Petersburg Paradox

      • Hideki Takayasu

      Pages 197-207

4. General Methods and Social Phenomena

   1. Front Matter

      Pages 209-209

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   2. Data Centric Science for Information Society

      • Genshiro Kitagawa

      Pages 211-225

   3. Symbolic Shadowing and the Computation of Entropy for Observed Time Series

      • Diana A. Mendes, Vivaldo M. Mendes, Nuno Ferreira, Rui Menezes

      Pages 227-246

   4. What Can Be Learned from Inverse Statistics?

      • Peter Toke Heden Ahlgren, Henrik Dahl, Mogens Høgh Jensen, Ingve Simonsen

      Pages 247-270

   5. Communicability and Communities in Complex Socio-Economic Networks

      • Ernesto Estrada, Naomichi Hatano

      Pages 271-288

   6. On World Religion Adherence Distribution Evolution

      • Marcel Ausloos, Filippo Petroni

      Pages 289-312

5. Back Matter

   Pages 313-315

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In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

• Statistical Physics
• Time series
• algorithmic trading
• analysis of large-scale economic data
• data analysis methods
• economic crisis
• empirical approach
• growth statistics explained
• modeling financial data
• physics in financial analysis
• quantitative financial analysis
• stochastic model

From the reviews:

“The conference organizers Misako Takayasu, Hideki Takayasu and Tsutomu Watanabe have collected in a volume the papers presented at the APFA 7 conference. … the volume provides a good guide to get information on current research conducted in Econophysics and to first approach extremely timely topics such as the role of bubbles in finance, systemic risk and the role of large amounts of data in research of economic and social complex systems.” (R. N. Mantegna, Il Nuovo Saggiatore, Vol. 27 (5-6), 2011)

• Department of Computational, Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, Midori-ku, Japan

  Misako Takayasu

• Research Center for Price Dynamics and Institute of Economic Research, Hitotsubashi University, Kunitachi, Japan

  Tsutomu Watanabe

• Fundamental Research Group, Sony Computer Science Laboratories, Shinagawa-ku, Japan

  Hideki Takayasu

http://www.smp.dis.titech.ac.jp/en/index.php

http://www.ier.hit-u.ac.jp/English/faculty/watanabeT.html

http://www.sonycsl.co.jp/en/lab/frl/hideki-takayasu.html

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