Practical Fruits of Econophysics

1..Market’s Basic Properties

1. Correlated Randomness: Rare and Not-so-Rare Events in Finance
H. E. Stanley, Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou

2. Non-trivial scaling of fluctuations in the trading activity of NYSE
János Kertész, Zoltán Eisler

3. Dynamics and predictability of fluctuations in dollar-yen exchange rates
A. A. Tsonis, K. Nakada, H. Takayasu

4. Temporal characteristics of moving average of foreign exchange markets
Misako Takayasu, Takayuki Mizuno, Takaaki Ohnishi, Hideki Takayasu

5. Characteristic market behaviors caused by intervention in a foreign exchange market
Takayuki Mizuno, Yukiko Umeno Saito, Tsutomu Watanabe, Hideki Takayasu

6. Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes
Adel Sharkasi, Martin Crane, Heather J. Ruskin

7. Scaling and Memory in Return Loss Intervals: Application to Risk Estimation
Kazuko Yamasaki, Lev Muchnik, Shlomo Havlin, Armin Bunde, H. Eugene Stanley

8. Recurrence analysis near the NASDAQ crash of April 2000
Annalisa Fabretti, Marcel Ausloos

9. Modeling a foreign exchange rate using moving average of Yen-Dollar market data
Takayuki Mizuno, Misako Takayasu, Hideki Takayasu

10. Systematic tuning of optimal weighted-moving-average of yen-dollar market data
Takaaki Ohnishi, Takayuki Mizuno, Kazuyuki Aihara, Misako Takayasu, Hideki Takayasu

11. Power law and its transition in the slow convergence to a Gaussian in the S&P500 index
Ken Kiyono, Zbigniew R. Struzik, Yoshiharu Yamamoto

12. Empirical study of the market impact in the Tokyo Stock Exchange
Jun-ichi Maskawa

13. Econophysics to unravel the hidden dynamics of commodity markets
Sary Levy-Carciente, Klaus Jaffé, Fabiola Londoño, Tirso Palm, Manuel Pérez, Miguel Piñango, Pedro Reyes

14. A characteristic time scale of tick quotes on foreign currency markets
Aki-Hiro Sato

2..Predictability of Markets

15. Order book dynamics and price impact
Philipp Weber, Bernd Rosenow

16. Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010
Stan Drozdz, Frank Grümmer, Franz Ruf, Josef Speth

17. Quantitative Forecasting and Modeling Stock Price Fluctuations
Serge Hayward

18. Time series of stock price and of two fractal overlap: Anticipating market crashes?
Bikas K. Chakrabarti, Arnab Chatterjee, Pratip Bhattacharyya

19. Short Time Segment Price Forecasts Using Spline Fit Interactions
Ke Xu, Jun Chen, Jian Yao, Zhaoyang Zhao, Tao Yu, Kamran Dadkhah, Bill C. Giessen

20. Successful Price Cycle Forecasts for S&P Futures Using TF3, a Pattern Recognition Algorithms Based on the KNN Method
Bill C. Giessen, Zhaoyang Zhao, Tao Yu, Jun Chen, Jian Yao, Ke Xu

21. The Hurst’s exponent in technical analysis signals
Giulia Rotundo

22. Financial Markets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF)
Gregory Chernizer

23. Market Cycle Turning Point Forecasts by a Two-Parameter Learning Algorithm as a Trading Tool for S&P Futures
Jian Yao, Jun Chen, Ke Xu, Zhaoyang Zhao, Tao Yu, Bill C. Giessen

3..Mathematical Models

24. The CTRWs in finance: the mean exit time
Jaume Masoliver, Miquel Montero, Josep Perelló

25. Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in high-frequency financial time-series
Marzena Kozlowska, Ryszard Kutner, Filip Switala

26. Evidence for Superdiffusion and “Momentum” in Stock Price Changes
Morrel H. Cohen, Prasana Venkatesh

27. Beyond the Third Dimension: Searching for the Price Equation
Antonella Sabatini

28. An agent-based model of financial returns in a limit order market
Koichi Hamada, Kouji Sasaki, Toshiaki Watanabe

29. Stock price process and the long-range percolation
Koji Kuroda, Joshin Murai

30. What information is hidden in chaotic time series?
Serge F. Timashev, Grigory V. Vstovsky, Anna B. Solovieva

31. Analysis of Evolution of Stock Prices in Terms of Oscillation Theory
Satoshi Nozawa, Toshitake Kohmura

32. Simple stochastic modeling for fat tails in financial markets
Hans-Georg Matuttis

33. Agent Based Simulation Design Principles — Applications to Stock Market
Lev Muchnik, Yoram Louzoun, Sorin Solomon

34. Heterogeneous agents model for stock market dynamics: role of market leaders and fundamental prices
Janusz A. Holyst, Arkadiusz Potrzebowski

35. Dynamics of Interacting Strategies
Masanao Aoki, Hiroyuki Moriya

36. Emergence of two-phase behavior in markets through interaction and learning in agents with bounded rationality
Sitabhra Sinha, S. Raghavendra

37. Explanation of binarized tick data using investor sentiment and genetic learning
Takashi Yamada, Kazuhiro Ueda

38. A Game-theoretic Stochastic Agents Model for Enterprise Risk Management
Yuichi Ikeda, Shigeru Kawamoto, Osamu Kubo, Yasuhiro Kobayashi, Chihiro Fukui

4..Correlation and Risk Management

39. Blackouts, risk, and fat-tailed distributions
Rafal Weron, Ingve Simonsen

40. Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure
Imre Kondor, Szilárd Pafka, Richárd Karádi, Gábor Nagy

41. Application of PCA and Random Matrix Theory to Passive Fund Management
Yoshi Fujiwara, Wataru Souma, Hideki Murasato, Hiwon Yoon

42. Testing Methods to Reduce Noise in Financial Correlation Matrices
Per-Johan Andersson, Andreas Öberg, Thomas Guhr

43. Application of noise level estimation for portfolio optimization
Krzysztof Urbanowicz, Janusz A. Holyst

44. Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts
Masashi Egi, Shun Takahashi, Takeshi Ieshima, Kaoru Hijikata

45. Investment horizons : A time-dependent measure of asset performance
Ingve Simonsen, Anders Johansen, Mogens H. Jensen

46. Clustering financial time series
Nicolas Basalto, Francesco Carlo

47. Risk portofolio management under Zipf analysis based strategies
M. Ausloos, Ph. Bronlet

48. Macro-players in stock markets
Bertrand M. Roehner

49. Conservative Estimation of Default Rate Correlations
Bernd Rosenow, Rafael Weißbach

50. Are Firm Growth Rates Random? Evidence from Japanese Small Firms
Yukiko Saito, Tsutomu Watanabe

51. Trading Volume and Information Dynamics of Financial Markets
S.G. Redsun, R.D. Jones, R.E. Frye, K.D. Myers

52. Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market
Masashi Egi, Takashi Matsushita, Seiji Futatsugi, Keizaburo Murakami

53. Growth and Fluctuations for Small-Business Firms
Yoshi Fujiwara, Hideaki Aoyama, Wataru Souma

5..Networks and Wealth Distributions

54. The skeleton of the Shareholders Networks
Guido Caldarelli, Stefano Battiston, Diego Garlaschelli

55. Financial Market - A Network Perspective
Jukka-Pekka Onnela, Jari Saramäki, Kimmo Kaski, János Kertész

56. Change of ownership networks in Japan
Wataru Souma, Yoshi Fujiwara, Hideaki Aoyama

57. G7 country Gross Domestic Product (GDP) time correlations. A graph network analysis
J. Miskiewicz, M. Ausloos

58. Dependence of Distribution and Velocity of Money on Required Reserve Ratio
Ning Xi, Ning Ding, Yougui Wang

59. Prospects for Money Transfer Models
Yougui Wang, Ning Ding, Ning Xi

60. Inequalities of Wealth Distribution in a Society with Social Classes
J. R. Iglesias, S. Risau-Gusman, M. F. Laguna

61. Analyzing money distributions in ‘ideal gas’ models of markets
Arnab Chatterjee, Bikas K. Chakrabarti, Robin B. Stinchcombe

62. Unstable periodic orbits and chaotic transitions among growth patterns of an economy
Ken-ichi Ishiyama, Yoshitaka Saiki

63. Power-law behaviors in high income distribution
Sasuke Miyazima, Keizo Yamamoto

64. The power-law exponent and the competition rule of the high income model
Keizo Yamamoto, Sasuke Miyazima, Hiroshi Yamamoto, Toshiya Ohtsuki, Akihiro Fujihara

6..New Ideas

65. Personal versus economic freedom
Katarzyna Sznajd-Weron, Józef Sznajd

66. Complexity in an Interacting System of Production
Yuji Aruka, Jürgen Mimkes

67. Four Ingredients for New Approaches to Macroeconomic Modeling
Masanao Aoki

68. Competition phase space: theory and practice
Dmitri B. Berg, Valerian V. Popkov

69. Analysis of Retail Spatial Market System by the Constructive Simulation Method
Hirorhide Nagatsuka, Katsuya Nakagawa

70. Quantum-Monadology Approach to Economic Systems
Teruaki Nakagomi

71. Visualization of microstructures of economic flows and adaptive control
Yoshitake Yamazaki, Zhong-can Ou-Yang, Herbert Gleiter, Kunquan Lu, Dianhong Shen, Xing Zhu

DRM-restrictions

Printing: not available
Clipboard copying: not available

Keywords: BUSINESS & ECONOMICS / Management Science BUS042000