Practical Fruits of Econophysics : Proceedings of the Third Nikkei Econophysics Symposium

Online-Ressource (XII, 390 p. 165 illus., 1 in color, digital)

Includes bibliographical references

Correlated Randomness: Rare and Not-so-Rare Events in Finance; Non-trivial scaling of fluctuations in the trading activity of NYSE; Dynamics and predictability of fluctuations in dollar-yen exchange rates; Temporal characteristics of moving average of foreign exchange markets; Characteristic market behaviors caused by intervention in a foreign exchange market; Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes; Scaling and Memory in Return Loss Intervals: Application to Risk Estimation; Recurrence analysis near the NASDAQ crash of April 2000

Modeling a foreign exchange rate using moving average of Yen-Dollar market dataSystematic tuning of optimal weighted-moving-average of yen-dollar market data; Power law and its transition in the slow convergence to a Gaussian in the S&P500 index; Empirical study of the market impact in the Tokyo Stock Exchange; Econophysics to unravel the hidden dynamics of commodity markets; A characteristic time scale of tick quotes on foreign currency markets; Order book dynamics and price impact

Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010Quantitative Forecasting and Modeling Stock Price Fluctuations; Time series of stock price and of two fractal overlap: Anticipating market crashes?; Short Time Segment Price Forecasts Using Spline Fit Interactions; Successful Price Cycle Forecasts for S&P Futures Using TF3, a Pattern Recognition Algorithms Based on the KNN Method; The Hurst's exponent in technical analysis signals

Financial Markets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF)Market Cycle Turning Point Forecasts by a Two-Parameter Learning Algorithm as a Trading Tool for S&P Futures; The CTRWs in finance: the mean exit time; Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in high-frequency financial time-series; Evidence for Superdiffusion and "Momentum" in Stock Price Changes; Beyond the Third Dimension: Searching for the Price Equation

An agent-based model of financial returns in a limit order marketStock price process and the long-range percolation; What information is hidden in chaotic time series?; Analysis of Evolution of Stock Prices in Terms of Oscillation Theory; Simple stochastic modeling for fat tails in financial markets; Agent Based Simulation Design Principles - Applications to Stock Market; Heterogeneous agents model for stock market dynamics: role of market leaders and fundamental prices; Dynamics of Interacting Strategies

Emergence of two-phase behavior in markets through interaction and learning in agents with bounded rationality

10.1007/4-431-28915-1 [DOI]

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