Econophysics of Stock and other Markets

Proceedings of the Econophys-Kolkata II

Editors:

ISBN: 978-88-470-0501-3 (Print) 978-88-470-0502-0 (Online)

Table of contents (27 chapters)

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  1. Front Matter

    Pages I-XIII

  2. Markets and their Analysis

    1. Front Matter

      Pages 1-1

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      Book Chapter

      Pages 3-12

      On Stock-Price Fluctuations in the Periods of Booms and Stagnations

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      Pages 13-23

      An Outlook on Correlations in Stock Prices

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      Pages 24-34

      The Power (Law) of Indian Markets: Analysing NSE and BSE Trading Statistics

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      Pages 35-48

      A Random Matrix Approach To Volatility In An Indian Financial Market

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      Pages 49-58

      Why do Hurst Exponents of Traded Value Increase as the Logarithm of Company Size?

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      Pages 59-66

      Statistical Distribution of Stock Returns Runs

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      Pages 67-76

      Fluctuation Dynamics of Exchange Rates on Indian Financial Market

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      Pages 77-84

      Noise Trading in an Emerging Market: Evidence and Analysis

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      Pages 85-97

      How Random is the Walk: Efficiency of Indian Stock and Futures Markets

  3. Markets and their Models

    1. Front Matter

      Pages 99-99

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      Pages 101-112

      Models of Financial Market Information Ecology

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      Pages 113-122

      Estimating Phenomenological Parameters in Multi-Assets Markets

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      Pages 123-132

      Agents Play Mix-game

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      Pages 133-142

      Triangular Arbitrage as an Interaction in Foreign Exchange Markets

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      Pages 143-152

      Modelling Limit Order Financial Markets

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      Pages 153-158

      Two Fractal Overlap Time Series and Anticipation of Market Crashes

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      Pages 159-162

      The Apparent Madness of Crowds: Irrational Collective Behavior Emerging from Interactions among Rational Agents

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      Pages 163-174

      Agent-Based Modelling with Wavelets and an Evolutionary Artificial Neural Network: Applications to CAC 40 Forecasting

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      Pages 175-182

      Information Extraction in Scheduling Problems with Non-Identical Machines

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      Book Chapter

      Pages 183-191

      Modelling Financial Time Series

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      Book Chapter

      Pages 192-200

      Random Matrix Approach to Fluctuations and Scaling in Complex Systems

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