Econophysics of Stock and other Markets: Proceedings of the Econophys-Kolkata II

Cover\r......Page 1
Econophysics of Stock and other Markets - Proceedings of the Econophys-Kolkata II......Page 4
ISBN-10 8847005019  ISBN-13 9788847005013......Page 5
Preface......Page 6
Contents......Page 8
List of Invited Speakers and Contributors......Page 11
Part I Markets and their Analysis......Page 16
1 Introduction......Page 17
2 Empirical analysis......Page 18
3 Concluding remarks......Page 23
References......Page 25
1 Introduction......Page 27
2 Analysing correlations in stock price time series......Page 28
References......Page 37
1 Introduction......Page 38
2 The Indian nancial market......Page 39
3 Price return distribution of individual stocks......Page 40
4 Distribution of trading volume and number of trades......Page 44
5 Correlated stock movement in the Indian market......Page 46
References......Page 47
1 Introduction......Page 49
2 Empirical analysis of BSE index......Page 50
3 Random matrix approach......Page 53
References......Page 61
1 Introduction......Page 63
3 Size dependent properties of trading activity......Page 64
4 Scaling theory......Page 68
References......Page 71
1 Introduction......Page 73
2 Statistical analysis on length of runs......Page 74
3 Statistical analysis on magnitude of runs......Page 78
4 Conclusion......Page 79
References......Page 80
1 Introduction......Page 81
2 Data......Page 82
3 Method of analysis and results......Page 83
4 Conclusion......Page 89
References......Page 90
1 Introduction......Page 91
3 Methodology......Page 92
4 Data......Page 93
5 Results......Page 94
References......Page 98
1 Prelude......Page 99
2 Eÿcient market hypothesis and serial correlation; market beta......Page 100
3 National stock exchange (NSE); Nifty and Nifty Futures......Page 104
4 Review of earlier work......Page 105
5 Observations......Page 107
References......Page 108
Part II Markets and their Models......Page 114
Models of Financial Market Information Ecology......Page 115
1 De nition......Page 117
4 Market information structure......Page 121
References......Page 125
1 Introduction......Page 127
2 The model......Page 129
3 Fitting algorithm......Page 130
5 Conclusions......Page 134
References......Page 135
1 Introduction......Page 137
2 Mix-game model and simulation condition......Page 138
3 Simulation results and discussions......Page 139
5 Summary and conclusions......Page 145
References......Page 146
1 Introduction......Page 147
2 A macroscopic model of triangular arbitrage transaction......Page 148
3 A microscopic model of triangular arbitrage transaction......Page 150
4 The microscopic parameters and the macroscopic spring constant......Page 152
5 Summary......Page 154
References......Page 155
1 Introduction......Page 157
2 Brief review of previous data analysis identifying processes and generic features of limit order markets......Page 158
3 Resulting minimal model and properties......Page 161
4 Generalisations; basic analytic approach......Page 162
5 Simpli ed model analysis......Page 164
Acknowledgements......Page 165
References......Page 166
2 The two fractal-overlap model of earthquake......Page 167
3 The Cantor set overlap time series......Page 169
4 The stock price time series......Page 170
5 Summary......Page 171
References......Page 172
1 Introduction......Page 173
2 Collective irrationality in an agent-based model......Page 174
References......Page 176
1 Data generating mechanism......Page 177
2 Traders’ heterogeneity......Page 178
4 Multiresolution analysis......Page 179
6 Data analysis......Page 180
7 Low and high frequencies......Page 181
8 Multiscale prediction......Page 183
9 Conclusion......Page 187
References......Page 188
1 Introduction......Page 189
2 The model......Page 190
3 Results......Page 192
References......Page 195
1 Introduction......Page 197
2 Discrete wavelets – separation of trend from uctuations......Page 199
3 Model of the trend series......Page 202
4 Statistical properties of uctuations......Page 203
References......Page 205
1 Introduction......Page 206
2 Quantum levels as time series: formalism......Page 207
3 RMT and time series models......Page 209
4 Detrended uctuation analysis and RMT......Page 210
5 Application to real time series......Page 211
6 Conclusions......Page 212
References......Page 213
1 Introduction......Page 215
2 Measuring the market economic eÿciency......Page 216
4 Discussion and conclusion......Page 220
References......Page 221
1 Introduction......Page 222
2 The model......Page 223
References......Page 230
Part III Historical Notes......Page 232
A Brief History of Economics: An Outsider’s Account......Page 233
1 De nitional issues......Page 239
2 Relations between the disciplines......Page 240
3 Problems being studied, methods being used......Page 241
5 Is econophysics heterodox?......Page 242
6 The past as future......Page 245
References......Page 246
Part IV Comments and Discussions......Page 250
Econophys-Kolkata II Workshop Summary......Page 251
Econophysics: Some Thoughts on Theoretical Perspectives......Page 254
References......Page 256
1 Comments on models developed to describe and understand income and wealth distributions, by Peter Richmond......Page 258
2 Comments on ideal-gas like models of income distribution, by Bikas K. Chakrabarti and Arnab Chatterjee......Page 259
3 A Comment on Gallegati et al.’s “Worrying trends in econophysics”, by John Angle......Page 261
References......Page 266