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Econophysics and Data Driven Modelling of Market Dynamics

✍ Scribed by Frédéric Abergel, Hideaki Aoyama, Bikas K. Chakrabarti, Anirban Chakraborti, Asim Ghosh (eds.)


Publisher
Springer International Publishing
Year
2015
Tongue
English
Leaves
360
Series
New Economic Windows
Edition
1
Category
Library

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✦ Synopsis


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.

✦ Table of Contents


Front Matter....Pages i-xiii
Front Matter....Pages 1-1
Empirical Evidence of Market Inefficiency: Predicting Single-Stock Returns....Pages 3-66
Calibration of a Stock’s Beta Using Option Prices....Pages 67-103
Long-Term Evolution of the Topological Structure of Interactions Among Stocks in the New York Stock Exchange 1925–2012....Pages 105-120
Bitcoin Dynamics: The Inverse Square Law of Price Fluctuations and Other Stylized Facts....Pages 121-128
Are Firms that Are Awarded More Patents More Productive?....Pages 129-142
Nonlinear Dynamics of Stock Markets During Critical Periods....Pages 143-165
Probabilistic Flows of Inhabitants in Urban Areas and Self-organization in Housing Markets....Pages 167-188
Front Matter....Pages 189-189
Performance of Inequality Indices....Pages 191-212
A Dynamical View of Different Solution Paradigms in Two-Person Symmetric Games: Nash Versus Co-action Equilibria....Pages 213-223
Spatio-Temporal Patterns of Development in India: Identifying Geographical Features of Growth and Urbanisation....Pages 225-234
Front Matter....Pages 235-235
Physicists’ Approaches to a Few Economic Problems....Pages 237-286
Socio-Economic Inequalities: A Statistical Physics Perspective....Pages 287-324
Front Matter....Pages 325-325
Judging the Impact of ‘Econophysics’ Through Response to Questionnaire....Pages 327-348
Commentary: Influence of Econophysics Research on Contemporary Researches in Social Sciences....Pages 349-352
Back Matter....Pages 353-353

✦ Subjects


Socio- and Econophysics, Population and Evolutionary Models; Game Theory, Economics, Social and Behav. Sciences; Game Theory/Mathematical Methods; Complex Systems; Complexity


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