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Econophysics Approaches to Large-Scale Business Data and Financial Crisis

Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7

  • Conference proceedings
  • © 2010

Overview

Editors:
  1. Misako Takayasu

    1. Department of Computational, Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, Midori-ku, Japan

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  2. Tsutomu Watanabe

    1. Research Center for Price Dynamics and Institute of Economic Research, Hitotsubashi University, Kunitachi, Japan

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  3. Hideki Takayasu

    1. Fundamental Research Group, Sony Computer Science Laboratories, Shinagawa-ku, Japan

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  • As the conference was held half a year after the financial crisis of the Autumn of 2008, the papers include detailed reports on the market behaviors during the crisis, discussion on the mechanism of bubbles and crashes, and proposals for avoiding the next crisis
  • Each paper starts from basic introduction and ends with cutting-edge research topics
  • Researchers and students can acquire comprehensive knowledge with minimum time
  • Includes supplementary material: sn.pub/extras

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Table of contents (15 papers)

  1. Front Matter

    Pages i-xi
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  2. Financial Market Properties

    1. Front Matter

      Pages 1-1
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    2. Trend Switching Processes in Financial Markets

      • Tobias Preis, H. Eugene Stanley
      Pages 3-26

    3. Nonlinear Memory and Risk Estimation in Financial Records

      • Armin Bunde, Mikhail I. Bogachev
      Pages 27-48

    4. Microstructure and Execution Strategies in the Global Spot FX Market

      • Anatoly B. Schmidt
      Pages 49-63

    5. Temporal Structure of Volatility Fluctuations

      • Fengzhong Wang, Kazuko Yamasaki, H. Eugene Stanley, Shlomo Havlin
      Pages 65-77

    6. Theoretical Base of the PUCK-Model with Application to Foreign Exchange Markets

      • Misako Takayasu, Kota Watanabe, Takayuki Mizuno, Hideki Takayasu
      Pages 79-98

  4. General Methods and Social Phenomena

    1. Front Matter

      Pages 209-209
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    2. Data Centric Science for Information Society

      • Genshiro Kitagawa
      Pages 211-225

    3. Symbolic Shadowing and the Computation of Entropy for Observed Time Series

      • Diana A. Mendes, Vivaldo M. Mendes, Nuno Ferreira, Rui Menezes
      Pages 227-246

    4. What Can Be Learned from Inverse Statistics?

      • Peter Toke Heden Ahlgren, Henrik Dahl, Mogens Høgh Jensen, Ingve Simonsen
      Pages 247-270

    5. Communicability and Communities in Complex Socio-Economic Networks

      • Ernesto Estrada, Naomichi Hatano
      Pages 271-288

    6. On World Religion Adherence Distribution Evolution

      • Marcel Ausloos, Filippo Petroni
      Pages 289-312

  5. Back Matter

    Pages 313-315
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Keywords

About this book

In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Reviews

From the reviews:

“The conference organizers Misako Takayasu, Hideki Takayasu and Tsutomu Watanabe have collected in a volume the papers presented at the APFA 7 conference. … the volume provides a good guide to get information on current research conducted in Econophysics and to first approach extremely timely topics such as the role of bubbles in finance, systemic risk and the role of large amounts of data in research of economic and social complex systems.” (R. N. Mantegna, Il Nuovo Saggiatore, Vol. 27 (5-6), 2011)

Editors and Affiliations

  • Department of Computational, Intelligence and Systems Science, Interdisciplinary Graduate School of Science and Engineering, Tokyo Institute of Technology, Midori-ku, Japan

    Misako Takayasu

  • Research Center for Price Dynamics and Institute of Economic Research, Hitotsubashi University, Kunitachi, Japan

    Tsutomu Watanabe

  • Fundamental Research Group, Sony Computer Science Laboratories, Shinagawa-ku, Japan

    Hideki Takayasu

About the editors

http://www.smp.dis.titech.ac.jp/en/index.php

http://www.ier.hit-u.ac.jp/English/faculty/watanabeT.html

http://www.sonycsl.co.jp/en/lab/frl/hideki-takayasu.html

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