Skip to main content
SpringerLink
Log in
Book cover

Practical Fruits of Econophysics

Proceedings of The Third Nikkei Econophysics Symposium

  • Conference proceedings
  • © 2006

Overview

Editors:
  1. Hideki Takayasu

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

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  • Latest application and practical results in econophysics are summarized

  • New financial data analysis methods are introduced

  • New market models are introduced

  • Disadvantages and limitations of financial technology are pointed out

  • Dynamical behaviors of markets including predictability are clarified

  • Network structures in economics are discussed based on real data

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 129.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (71 papers)

  1. Predictability of Markets

    1. Time series of stock price and of two fractal overlap: Anticipating market crashes?

      • Bikas K. Chakrabarti, Arnab Chatterjee, Pratip Bhattacharyya
      Pages 107-110

    2. Short Time Segment Price Forecasts Using Spline Fit Interactions

      • Ke Xu, Jun Chen, Jian Yao, Zhaoyang Zhao, Tao Yu, Kamran Dadkhah et al.
      Pages 111-115

    3. 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, Ke Xu
      Pages 116-120

    4. The Hurst’s exponent in technical analysis signals

      • Giulia Rotundo
      Pages 121-125

    5. Financial Markets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF)

      • Gregory Chernizer
      Pages 126-130

    6. 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, Bill C. Giessen
      Pages 131-135

  2. Mathematical Models

    1. Front Matter

      Pages 136-136
      Download chapter PDF

    2. The CTRWs in finance: the mean exit time

      • Jaume Masoliver, Miquel Montero, Josep Perelló
      Pages 137-141

    3. 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, Filip Świtała
      Pages 142-146

    4. Evidence for Superdiffusion and “Momentum” in Stock Price Changes

      • Morrel H. Cohen, Prasana Venkatesh
      Pages 147-151

    5. Beyond the Third Dimension: Searching for the Price Equation

      • Antonella Sabatini
      Pages 152-157

    6. An agent-based model of financial returns in a limit order market

      • Koichi Hamada, Kouji Sasaki, Toshiaki Watanabe
      Pages 158-162

    7. Stock price process and the long-range percolation

      • Koji Kuroda, Joshin Murai
      Pages 163-167

    8. What information is hidden in chaotic time series?

      • Serge F. Timashev, Grigory V. Vstovsky, Anna B. Solovieva
      Pages 168-172

    9. Analysis of Evolution of Stock Prices in Terms of Oscillation Theory

      • Satoshi Nozawa, Toshitake Kohmura
      Pages 173-177

    10. Simple stochastic modeling for fat tails in financial markets

      • Hans-Georg Matuttis
      Pages 178-182

    11. Agent Based Simulation Design Principles — Applications to Stock Market

      • Lev Muchnik, Yoram Louzoun, Sorin Solomon
      Pages 183-188

    12. Heterogeneous agents model for stock market dynamics: role of market leaders and fundamental prices

      • Janusz A. Hołyst, Arkadiusz Potrzebowski
      Pages 189-193

    13. Dynamics of Interacting Strategies

      • Masanao Aoki, Hiroyuki Moriya
      Pages 194-199

    14. Emergence of two-phase behavior in markets through interaction and learning in agents with bounded rationality

      • Sitabhra Sinha, S. Raghavendra
      Pages 200-204
Back to top

Keywords

About this book

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.

Editors and Affiliations

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

    Hideki Takayasu

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation