Econophysics of markets and business networks: proceedings of the Econophys-Kolkata III

Cover
......Page 1
Econophysics of Markets and Business Networks - Proceedings of the Econophys-Kolkata III......Page 2
ISBN 9788847006645......Page 3
Preface......Page 6
Contents......Page 8
List of Invited Speakers and Contributors......Page 10
Part I Financial Markets......Page 14
1 Introduction......Page 16
2 The Indian Financial Market......Page 18
3 The Return Cross-Correlation Matrix......Page 19
4 Time-evolution of the Correlation Structure......Page 27
5 Conclusions......Page 30
References......Page 31
1 Introduction......Page 34
2 Empirical Analysis of Electricity Log-returns......Page 35
3 Conclusions......Page 45
References......Page 46
1 Introduction......Page 48
2 Wavelet Coefficients......Page 49
3 Modelling Wavelet Coefficients Using Genetic Programming......Page 51
4 Conclusion......Page 60
References......Page 62
2 Stochastic Methods in Time-series Analysis......Page 64
3 Random Matrix Methods in Time-series Analysis......Page 74
4 Approximate Entropy Method in Time-series Analysis......Page 78
References......Page 79
2 Correlated Stocks, Returns and Delays......Page 82
3 Delay Correlation Matrix......Page 85
4 Dominant Modes and Delays......Page 86
References......Page 88
1 Introduction......Page 90
2 The Model of the Stock Market......Page 91
3 The Option Price......Page 96
5 Appendix......Page 106
References......Page 108
1 Introduction......Page 112
2 The Multi-Agent Market Model......Page 113
3 Recursive Optimization Scheme......Page 114
4 Estimation in the Presence of an Ecology of Many Agent Types......Page 122
5 Example for a Foreign-Exchange Rate Series......Page 124
6 Conclusion......Page 125
References......Page 126
Part II Business and Trade Networks......Page 128
2 Foreign Exchange Market......Page 130
3 Tick Frequencies......Page 131
5 Quantification of Behavioral Similarities......Page 132
6 Agent-based Model......Page 135
7 Empirical Results......Page 137
8 Conclusion......Page 138
References......Page 139
2 Bipartite Graph of Companies and Branches......Page 140
3 Companies and Branches Networks......Page 141
4 Weight, Weight Distribution and Networks with Cutoffs......Page 142
5 Degree Distribution......Page 146
6 Entropy of Network Topology......Page 147
References......Page 150
The International Trade Network......Page 152
References......Page 160
1 Introduction......Page 162
2 Multigraph in the Economy......Page 163
3 A Ridge in the Production Space......Page 168
4 Summary......Page 170
References......Page 171
1 Introduction......Page 172
2 Multiple vs Single Bank Relationships......Page 173
4 The Network Representation......Page 175
5 Total Network......Page 177
6 Co-financing Banks Network......Page 180
7 Discussion and Conclusions......Page 182
References......Page 183
1 Introduction......Page 186
2 Empirical Networks and Statistical Results......Page 187
3 Models and Theoretical Analysis......Page 190
4 Extended Model and Comparison with Empirical Results......Page 192
References......Page 194
Part III Income, Stock and Other Market Models......Page 196
1 The Surge In Wage Income Nouveaux Riches in the U.S., 1961–2003......Page 198
2 The Microand Macro-Models of the Inequality Process (IP)......Page 202
3 The Dynamics of the Macro Model of the Inequality Process (IP)......Page 213
4 Conclusions......Page 218
References......Page 224
Is Inequality Inevitable in Society? Income Distribution as a Consequence of Resource Flow in Hierarchical Organizations......Page 228
1 Introduction......Page 229
2 Empirical Data......Page 230
3 Income as Flow along Hierarchical Structure: The Tribute Model......Page 236
References......Page 238
1 Introduction......Page 240
2 The Basic Model......Page 241
References......Page 245
1 Introduction......Page 246
2 The Model......Page 247
References......Page 250
1 Introduction......Page 252
2 Model......Page 253
3 Avalanche Dynamics: Infinite T......Page 255
4 Avalanche Dynamics: Finite T......Page 257
References......Page 258
Part IV Comments and Discussions......Page 260
1 Beyond Econophysics?......Page 262
2 Econophysics and Sociophysics: Comparison with Earlier Interdisciplinary Developments......Page 264
4 Corner and Hope: On The Future Topics of Econophysics......Page 267
5 A Poor Man’s Thoughts on Economic Networks......Page 269
6 Whither Econophysics?......Page 271
7 Thoughts on Income and Wealth Distributions......Page 274
8 Comments on the Econophys-Kolkata III Workshop......Page 277