Empirical Science of Financial Fluctuations: The Advent of Econophysics

Front Matter....Pages ii-x
Front Matter....Pages 1-1
Quantifying Empirical Economic Fluctuations using the Organizing Principles of Scale Invariance and Universality....Pages 3-11
Price fluctuations and Market Activity....Pages 12-17
Transaction Interval Analysis of High Resolution Foreign Exchange Data....Pages 18-25
Random Matrix Theory and Cross-Correlations of Stock Prices....Pages 27-34
A Random Matrix Theory Approach to Quantifying Collective Behavior of Stock Price Fluctuations....Pages 35-40
Dynamics of correlations in the stock market....Pages 41-50
 False EUR Exchange Rates vs. DKK, CHF, JPY and USD ....Pages 51-60
Crashes : symptoms, diagnoses and remedies....Pages 62-76
Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis....Pages 77-89
A mechanism of international transmission of financial crises....Pages 90-101
High Frequency Data Analysis in an Emerging and a Developed Market....Pages 102-109
Measuring long-range dependence in electricity prices....Pages 110-119
Front Matter....Pages 121-121
Micro-Simulations of Financial Markets and the Stylized Facts....Pages 123-134
Statistical Property of Price Fluctuations in a Multi-Agent Model and the Currency Exchange Market....Pages 135-142
A Speculative Financial Market Model....Pages 143-152
Spin-glass like network model for stock market....Pages 153-158
Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms....Pages 159-170
Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent....Pages 171-178
A Simple Model of Volatility Fluctuations in Asset Markets....Pages 180-185
Self-similarity of price fluctuations and market dynamics....Pages 186-194
Front Matter....Pages 121-121
Survival probability of LIFFE bond futures via the Mittag-Leffler function....Pages 195-206
Why is it Fat-tailed?....Pages 207-213
Market price simulator based on analog electrical circuit....Pages 214-221
Simulation and Analysis of a Power Law Fluctuation Generator....Pages 222-229
Deformation of implied volatility surfaces: an empirical analysis....Pages 230-239
Predictability of Market Prices....Pages 241-249
Time-Space Scaling of Financial Time Series....Pages 250-259
Parameter Estimation of a Generalized Langevin Equation of Market Price....Pages 260-270
Analysis of Stock Markets, Currency Exchanges and Tax Revenues....Pages 271-274
Trading System Applied to Large Mutual Fund Company....Pages 275-286
Front Matter....Pages 287-287
Why Financial Markets Will Remain Marginally Inefficient....Pages 289-293
The Law of Consumer Demand in Japan: A Macroscopic Microeconomic View....Pages 294-303
A functional-analytic and numerical-analytic approach to nonlinear economic models described by the master equation....Pages 304-311
Modelling the Growth Statistics of Economic Organizations....Pages 313-320
Statistical Laws in the Income of Japanese Companies....Pages 321-330
Empirical Identification Of Competitive Strategies: Russian Bank System....Pages 331-340
Pareto’s Law for Income of Individuals....Pages 341-342
Physics of Personal Income....Pages 343-352