Suchergebnisse

This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature

1 -- Acep Purqon, Group identification Analysis using Hybrid Method ( (RMT-CN-LPAm+ and RMT-BDM-SA) in Indonesian Stock Market Dynamics 2 -- Alejandro R. H. Montoya, A New Method and new variables to assess symmetry of financial returns time series 3 -- Ananya Lahiri, Fractional Brownian markets with time-varying volatility and high-frequency data 4 -- Andreas Flache, Social integration in a diverse society: social complexity models of the link between segregation and the dynamics of opinion polarization 5 -- Anindya S. Chakarabarti, Executive compensation structure: A spectral graph theoretic formulation 6.-Aparna Mehra, Copula Theory in Portfolio Optimization 7 -- Aparna Sawhney, Tracking Energy Efficiency of the Indian Iron and Steel Industry 8 -- Bikas K. Chakrabarti, Fat tailed distributions for deaths in conflicts and disasters 9 -- Bruce M. Boghosian, Criticality and Duality in an Asset-Exchange Model of Inequality 10 -- Cheong Siew Ann, From the Knowledge of Physics to the Physics of Knowledge 11 -- Damien Challet, Empirical properties of the opening and closing auctions of US equities 11 -- Dipyaman Sanyal, Effect of Tobin Tax in an Experimental Minority Game Market 12 -- Frédéric Abergel, Optimal placement of limit orders in order-driven markets 13 -- Ioane Muni Toke, Estimation of ratios of intensities in a Cox-type model of limit order books 14 -- Irena Vodenska, Network-based modeling of systemic risk propagation in global financial systems 15 -- Kiran Sharma, Financial Market "States": correlations & complexity 16 -- Kousik Guhathakurta, How closely are the Asia Pacific market related to the developed market: a network analysis, 17 -- M. S. Santhanam, Extreme events in time series and on networks 18 -- Nils Bertschinger, Volatility dynamics: Towards early warning signs of financial turmoil?19 -- Pradeep Bhadola, Spectral and Network analysis of financial systems 20 -- Rituparna Sen, High Dimensionality Effects on the Efficient Frontier 21 -- Sanjay Jain, Network anatomy of innovation: Growth and creative destruction in an evolutionary model 22 -- Soumya Datta, Exchange rate dynamics under limited arbitrage and heterogeneous expectations 23 -- Sujoy Chakravarty, Experimantal analysis of The Kolkata Paise Restaurant Problem 24 -- Sunil Kumar, Effect of Crisis on the structure and Dynamics of the Indian Financial Network 25 -- Taisei Kaizoji, Efficiency of Bitcoin Market and Prediction of Bitcoin Price Movements