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Empirical Science of Financial Fluctuations

The Advent of Econophysics

  • Conference proceedings
  • © 2002

Overview

Editors:
  1. Hideki Takayasu

    1. Sony Computer Science Laboratories, Inc., Shinagawa-ku, Tokyo, Japan

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  • Presents very hot topics in econophysics, a new scientific research field based on statistical physics
  • The first book in the field to report the frontier of this new science

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Table of contents (38 papers)

  1. Front Matter

    Pages ii-x
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  2. Empirical Facts of Financial Market Fluctuations

    1. Front Matter

      Pages 1-1
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    2. Basic Market Statistics

      1. Quantifying Empirical Economic Fluctuations using the Organizing Principles of Scale Invariance and Universality
        • H. Eugene Stanley, Luis A. Nunes Amaral, Parameswaran Gopikrishnan, Vasiliki Plerou, Bernd Rosenow
        Pages 3-11
      2. Price fluctuations and Market Activity
        • P. Gopikrishnan, V. Plerou, X. Gabaix, L. A. N. Amaral, H. E. Stanley
        Pages 12-17
      3. Transaction Interval Analysis of High Resolution Foreign Exchange Data
        • Misako Takayasu, Hideki Takayasu, Mitsuhiro P. Okazaki
        Pages 18-25

    3. Cross-Correlations

      1. Random Matrix Theory and Cross-Correlations of Stock Prices
        • B. Rosenow, P. Gopikrishnan, V. Plerou, H. E. Stanley
        Pages 27-34
      2. A Random Matrix Theory Approach to Quantifying Collective Behavior of Stock Price Fluctuations
        • V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral, H. E. Stanley
        Pages 35-40
      3. Dynamics of correlations in the stock market
        • S. Drożdż, F. Grümmer, F. Ruf, J. Speth
        Pages 41-50
      4. <i>False</i> EUR Exchange Rates vs. <i>DKK, CHF, JPY</i> and <i>USD</i>
        • Kristinka Ivanova, Marcel Ausloos
        Pages 51-60

    4. Market Anomalies

      1. Crashes : symptoms, diagnoses and remedies
        • Marcel Ausloos, Kristinka Ivanova, Nicolas Vandewalle
        Pages 62-76
      2. Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis
        • Fabrizio Lillo, Giovanni Bonanno, Rosario N. Mantegna
        Pages 77-89
      3. A mechanism of international transmission of financial crises
        • Taisei Kaizoji
        Pages 90-101
      4. High Frequency Data Analysis in an Emerging and a Developed Market
        • Zoltán Palágyi, Gábor KÅ‘rösi, Rosario N. Mantegna
        Pages 102-109
      5. Measuring long-range dependence in electricity prices
        • RafaÅ‚ Weron
        Pages 110-119

  3. Various Approaches to Financial Markets

    1. Front Matter

      Pages 121-121
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Keywords

About this book

Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.

Editors and Affiliations

  • Sony Computer Science Laboratories, Inc., Shinagawa-ku, Tokyo, Japan

    Hideki Takayasu

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