Empirical Science of Financial Fluctuations

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 Kőrösi, Rosario N. Mantegna

         Pages 102-109

      5. Measuring long-range dependence in electricity prices

         • Rafał Weron

         Pages 110-119

3. Various Approaches to Financial Markets

   1. Front Matter

      Pages 121-121

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   2. Agent-Based Modeling

      1. Micro-Simulations of Financial Markets and the Stylized Facts

         • Thomas Lux, Florian Heitger

         Pages 123-134

      2. Statistical Property of Price Fluctuations in a Multi-Agent Model and the Currency Exchange Market

         • Mieko Tanaka-Yamawaki

         Pages 135-142

      3. A Speculative Financial Market Model

         • Adam Ponzi

         Pages 143-152

      4. Spin-glass like network model for stock market

         • Jun-ichi Maskawa

         Pages 153-158

      5. Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms

         • Hiwon Yoon, Hideo Saito, Takahiko Tanahashi

         Pages 159-170

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.

• Enconophysics
• Investment
• agent-based modeling
• calculus
• data analysis
• dynamics
• finance
• financial markets
• futures
• microeconomics
• modeling
• probability
• risk management
• statistical physics
• volatility

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

  Hideki Takayasu

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