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Econophysics and Data Driven Modelling of Market Dynamics

  • Frédéric Abergel
  • Hideaki Aoyama
  • Bikas K. Chakrabarti
  • Anirban Chakraborti
  • Asim Ghosh

Part of the New Economic Windows book series (NEW)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Market Analysis and Modelling

    1. Front Matter
      Pages 1-1
    2. Sofiene El Aoud, Frédéric Abergel
      Pages 67-103
    3. Chandrashekar Kuyyamudi, Anindya S. Chakrabarti, Sitabhra Sinha
      Pages 105-120
    4. Soumya Easwaran, Manu Dixit, Sitabhra Sinha
      Pages 121-128
    5. Shouji Fujimoto, Atushi Ishikawa, Takayuki Mizuno, Tsutomu Watanabe
      Pages 129-142
  3. Miscellaneous

    1. Front Matter
      Pages 189-189
    2. Anurag Chaplot, Rituparna Sen
      Pages 191-212
  4. Reviews

    1. Front Matter
      Pages 235-235
    2. Anirban Chakraborti, Yoshi Fujiwara, Asim Ghosh, Jun-ichi Inoue, Sitabhra Sinha
      Pages 237-286
  5. Discussions and Commentary

  6. Back Matter
    Pages 353-353

About this book

Introduction

This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature.

Keywords

Complexity of Financial Products Data-Driven Agent-Based Modeling of the Asian Economies Data-driven Modelling in Market Dynamics Market Modelling Nonlinear Dynamics of Stock Markets in Critical Periods Relationships of Coupled Financial Networks

Editors and affiliations

  • Frédéric Abergel
    • 1
  • Hideaki Aoyama
    • 2
  • Bikas K. Chakrabarti
    • 3
  • Anirban Chakraborti
    • 4
  • Asim Ghosh
    • 5
  1. 1.Laboratory of Mathematics Applied to SystemCentraleSupélecChâtenay-MalabryFrance
  2. 2.Department of PhysicsKyoto UniversityKyotoJapan
  3. 3.Saha Institute of Nuclear PhysicsKolkataIndia
  4. 4.School of Computational and Integrative SciencesJawaharlal Nehru UniversityNew DelhiIndia
  5. 5.Saha Institute of Nuclear PhysicsKolkataIndia

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-08473-2
  • Copyright Information Springer International Publishing Switzerland 2015
  • Publisher Name Springer, Cham
  • eBook Packages Physics and Astronomy
  • Print ISBN 978-3-319-08472-5
  • Online ISBN 978-3-319-08473-2
  • Series Print ISSN 2039-411X
  • Series Online ISSN 2039-4128
  • Buy this book on publisher's site
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