Practical Fruits of Econophysics

Takayasu, Hideki

Practical Fruits of Econophysics

Edited by Hideki Takayasu

in Springer Books from Springer

Date: 2006
ISBN: 978-4-431-28915-9
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Chapters in this book:

Correlated Randomness: Rare and Not-so-Rare Events in Finance: H. E. Stanley, Xavier Gabaix, Parameswaran Gopikrishnan and Vasiliki Plerou
Non-trivial scaling of fluctuations in the trading activity of NYSE: János Kertész and Zoltán Eisler
Dynamics and predictability of fluctuations in dollar-yen exchange rates: A. A. Tsonis, K. Nakada and H. Takayasu
Temporal characteristics of moving average of foreign exchange markets: Misako Takayasu, Takayuki Mizuno, Takaaki Ohnishi and Hideki Takayasu
Characteristic market behaviors caused by intervention in a foreign exchange market: Takayuki Mizuno, Yukiko Saito, Tsutomu Watanabe and Hideki Takayasu
Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes: Adel Sharkasi, Martin Crane and Heather J. Ruskin
Scaling and Memory in Return Loss Intervals: Application to Risk Estimation: Kazuko Yamasaki, Lev Muchnik, Shlomo Havlin, Armin Bunde and H. Eugene Stanley
Recurrence analysis near the NASDAQ crash of April 2000: Annalisa Fabretti and Marcel Ausloos
Modeling a foreign exchange rate using moving average of Yen-Dollar market data: Takayuki Mizuno, Misako Takayasu and Hideki Takayasu
Systematic tuning of optimal weighted-moving-average of yen-dollar market data: Takaaki Ohnishi, Takayuki Mizuno, Kazuyuki Aihara, Misako Takayasu and Hideki Takayasu
Power law and its transition in the slow convergence to a Gaussian in the S&P500 index: Ken Kiyono, Zbigniew R. Struzik and Yoshiharu Yamamoto
Empirical study of the market impact in the Tokyo Stock Exchange: Jun-ichi Maskawa
Econophysics to unravel the hidden dynamics of commodity markets: Sary Levy-Carciente, Klaus Jaffé, Fabiola Londoño, Tirso Palm, Manuel Pérez, Miguel Piñango and Pedro Reyes
A characteristic time scale of tick quotes on foreign currency markets: Aki-Hiro Sato
Order book dynamics and price impact: Philipp Weber and Bernd Rosenow
Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010: Stan Drożdż, Frank Grümmer, Franz Ruf and Josef Speth
Quantitative Forecasting and Modeling Stock Price Fluctuations: Serge Hayward
Time series of stock price and of two fractal overlap: Anticipating market crashes?: Bikas K. Chakrabarti, Arnab Chatterjee and Pratip Bhattacharyya
Short Time Segment Price Forecasts Using Spline Fit Interactions: Ke Xu, Jun Chen, Jian Yao, Zhaoyang Zhao, Tao Yu, Kamran Dadkhah and Bill C. Giessen
Successful Price Cycle Forecasts for S&P Futures Using TF3, a Pattern Recognition Algorithms Based on the KNN Method: Bill C. Giessen, Zhaoyang Zhao, Tao Yu, Jun Chen, Jian Yao and Ke Xu
The Hurst’s exponent in technical analysis signals: Giulia Rotundo
Financial Markets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF): Gregory Chernizer
Market Cycle Turning Point Forecasts by a Two-Parameter Learning Algorithm as a Trading Tool for S&P Futures: Jian Yao, Jun Chen, Ke Xu, Zhaoyang Zhao, Tao Yu and Bill C. Giessen
The CTRWs in finance: the mean exit time: Jaume Masoliver, Miquel Montero and Josep Perelló
Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in high-frequency financial time-series: Marzena Kozłowska, Ryszard Kutner and Filip Świtała
Evidence for Superdiffusion and “Momentum” in Stock Price Changes: Morrel H. Cohen and Prasana Venkatesh
Beyond the Third Dimension: Searching for the Price Equation: Antonella Sabatini
An agent-based model of financial returns in a limit order market: Koichi Hamada, Kouji Sasaki and Toshiaki Watanabe
Stock price process and the long-range percolation: Koji Kuroda and Joshin Murai
What information is hidden in chaotic time series?: Serge F. Timashev, Grigory V. Vstovsky and Anna B. Solovieva
Analysis of Evolution of Stock Prices in Terms of Oscillation Theory: Satoshi Nozawa and Toshitake Kohmura
Simple stochastic modeling for fat tails in financial markets: Hans-Georg Matuttis
Agent Based Simulation Design Principles — Applications to Stock Market: Lev Muchnik, Yoram Louzoun and Sorin Solomon
Heterogeneous agents model for stock market dynamics: role of market leaders and fundamental prices: Janusz A. Hołyst and Arkadiusz Potrzebowski
Dynamics of Interacting Strategies: Masanao Aoki and Hiroyuki Moriya
Emergence of two-phase behavior in markets through interaction and learning in agents with bounded rationality: Sitabhra Sinha and S. Raghavendra
Explanation of binarized tick data using investor sentiment and genetic learning: Takashi Yamada and Kazuhiro Ueda
A Game-theoretic Stochastic Agents Model for Enterprise Risk Management: Yuichi Ikeda, Shigeru Kawamoto, Osamu Kubo, Yasuhiro Kobayashi and Chihiro Fukui
Blackouts, risk, and fat-tailed distributions: Rafał Weron and Ingve Simonsen
Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure: Imre Kondor, Szilárd Pafka, Richárd Karádi and Gábor Nagy
Application of PCA and Random Matrix Theory to Passive Fund Management: Yoshi Fujiwara, Wataru Souma, Hideki Murasato and Hiwon Yoon
Testing Methods to Reduce Noise in Financial Correlation Matrices: Per-Johan Andersson, Andreas Öberg and Thomas Guhr
Application of noise level estimation for portfolio optimization: Krzysztof Urbanowicz and Janusz A. Hołyst
Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts: Masashi Egi, Shun Takahashi, Takeshi Ieshima and Kaoru Hijikata
Investment horizons: A time-dependent measure of asset performance: Ingve Simonsen, Anders Johansen and Mogens H. Jensen
Clustering financial time series: Nicolas Basalto and Francesco Carlo
Risk portofolio management under Zipf analysis based strategies: Marcel Ausloos and Ph. Bronlet
Macro-players in stock markets: Bertrand M. Roehner
Conservative Estimation of Default Rate Correlations: Bernd Rosenow and Rafael Weißbach
Are Firm Growth Rates Random? Evidence from Japanese Small Firms: Yukiko Saito and Tsutomu Watanabe
Trading Volume and Information Dynamics of Financial Markets: S.G. Redsun, R.D. Jones, R.E. Frye and K.D. Myers
Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market: Masashi Egi, Takashi Matsushita, Seiji Futatsugi and Keizaburo Murakami
Growth and Fluctuations for Small-Business Firms: Yoshi Fujiwara, Hideaki Aoyama and Wataru Souma
The skeleton of the Shareholders Networks: Guido Caldarelli, Stefano Battiston and Diego Garlaschelli
Financial Market - A Network Perspective: Jukka-Pekka Onnela, Jari Saramäki, Kimmo Kaski and János Kertész
Change of ownership networks in Japan: Wataru Souma, Yoshi Fujiwara and Hideaki Aoyama
G7 country Gross Domestic Product (GDP) time correlations. A graph network analysis: J. Miśkiewicz and Marcel Ausloos
Dependence of Distribution and Velocity of Money on Required Reserve Ratio: Ning Xi, Ning Ding and Yougui Wang
Prospects for Money Transfer Models: Yougui Wang, Ning Ding and Ning Xi
Inequalities of Wealth Distribution in a Society with Social Classes: J. R. Iglesias, S. Risau-Gusman and M. F. Laguna
Analyzing money distributions in ‘ideal gas’ models of markets: Arnab Chatterjee, Bikas K. Chakrabarti and Robin B. Stinchcombe
Unstable periodic orbits and chaotic transitions among growth patterns of an economy: Ken-ichi Ishiyama and Yoshitaka Saiki
Power-law behaviors in high income distribution: Sasuke Miyazima and Keizo Yamamoto
The power-law exponent and the competition rule of the high income model: Keizo Yamamoto, Sasuke Miyazima, Hiroshi Yamamoto, Toshiya Ohtsuki and Akihiro Fujihara
Personal versus economic freedom: Katarzyna Sznajd-Weron and Józef Sznajd
Complexity in an Interacting System of Production: Yuji Aruka and Jürgen Mimkes
Four Ingredients for New Approaches to Macroeconomic Modeling: Masanao Aoki
Competition phase space: theory and practice: Dmitri B. Berg and Valerian V. Popkov
Analysis of Retail Spatial Market System by the Constructive Simulation Method: Hirorhide Nagatsuka and Katsuya Nakagawa
Quantum-Monadology Approach to Economic Systems: Teruaki Nakagomi
Visualization of microstructures of economic flows and adaptive control: Yoshitake Yamazaki, Zhong-can Ou-Yang, Herbert Gleiter, Kunquan Lu, Dianhong Shen and Xing Zhu

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DOI: 10.1007/4-431-28915-1

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