Advertisement

Econophysics of Stock and other Markets

Proceedings of the Econophys-Kolkata II

  • Arnab Chatterjee
  • Bikas K Chakrabarti
Conference proceedings

Part of the New Economic Windows book series (NEW)

Table of contents

  1. Front Matter
    Pages I-XIII
    PDF

  2. Markets and their Analysis

    1. Front Matter
      Pages 1-1
      PDF
    2. On Stock-Price Fluctuations in the Periods of Booms and Stagnations
      Taisei Kaizoji
      Pages 3-12
    3. An Outlook on Correlations in Stock Prices
      Anirban Chakraborti
      Pages 13-23
    4. The Power (Law) of Indian Markets: Analysing NSE and BSE Trading Statistics
      Sitabhra Sinha, Raj Kumar Pan
      Pages 24-34
    5. A Random Matrix Approach To Volatility In An Indian Financial Market
      V. Kulkarni, N. Deo
      Pages 35-48
    6. Why do Hurst Exponents of Traded Value Increase as the Logarithm of Company Size?
      Zoltán Eisler, János Kertész
      Pages 49-58
    7. Statistical Distribution of Stock Returns Runs
      Honggang Li, Yan Gao
      Pages 59-66
    8. Fluctuation Dynamics of Exchange Rates on Indian Financial Market
      A. Sarkar, P. Barat
      Pages 67-76
    9. Noise Trading in an Emerging Market: Evidence and Analysis
      Debasis Bagchi
      Pages 77-84
    10. How Random is the Walk: Efficiency of Indian Stock and Futures Markets
      Udayan Kumar Basu
      Pages 85-97

  3. Markets and their Models

    1. Front Matter
      Pages 99-99
      PDF
    2. Models of Financial Market Information Ecology
      Damien Challet
      Pages 101-112
    3. Estimating Phenomenological Parameters in Multi-Assets Markets
      Giacomo Raffaelli, Matteo Marsili
      Pages 113-122
    4. Agents Play Mix-game
      Chengling Gou
      Pages 123-132
    5. Triangular Arbitrage as an Interaction in Foreign Exchange Markets
      Yukihiro Aiba, Naomichi Hatano
      Pages 133-142
    6. Modelling Limit Order Financial Markets
      Robin Stinchcombe
      Pages 143-152
    7. Two Fractal Overlap Time Series and Anticipation of Market Crashes
      Bikas K. Chakrabarti, Arnab Chatterjee, Pratip Bhattacharyya
      Pages 153-158
    8. The Apparent Madness of Crowds: Irrational Collective Behavior Emerging from Interactions among Rational Agents
      Sitabhra Sinha
      Pages 159-162
    9. Agent-Based Modelling with Wavelets and an Evolutionary Artificial Neural Network: Applications to CAC 40 Forecasting
      Serge Hayward
      Pages 163-174
    10. Information Extraction in Scheduling Problems with Non-Identical Machines
      Manipushpak Mitra
      Pages 175-182
    11. Modelling Financial Time Series
      P. Manimaran, J. C. Parikh, P. K. Panigrahi, S. Basu, C. M. Kishtawal, M. B. Porecha
      Pages 183-191
    12. Random Matrix Approach to Fluctuations and Scaling in Complex Systems
      M. S. Santhanam
      Pages 192-200
    13. The Economic Efficiency of Financial Markets
      Yougui Wang
      Pages 201-207
    14. Regional Inequality
      Abhirup Sarkar
      Pages 208-215

  4. Historical Notes

    1. Front Matter
      Pages 217-217
      PDF
    2. A Brief History of Economics: An Outsider’s Account
      Bikas K Chakrabarti
      Pages 219-224
    3. The Nature and Future of Econophysics
      J. Barkley Rosser Jr.
      Pages 225-234

  5. Comments and Discussions

    1. Front Matter
      Pages 235-235
      PDF
    2. Econophys-Kolkata II Workshop Summary
      J. Barkley Rosser Jr.
      Pages 237-239
    3. Econophysics: Some Thoughts on Theoretical Perspectives
      Matteo Marsili
      Pages 240-243
    4. Comments on “Worrying Trends in Econophysics”: Income Distribution Models
      Peter Richmond, Bikas K. Chakrabarti, Arnab Chatterjee, John Angle
      Pages 244-253

About these proceedings

Introduction

This book reviews the latest econophysics researches on the fluctuations in stock, forex and other markets. The statistical modeling of markets, using various agent-based game theoretical approaches, and their scaling analysis have been discussed.

The leading researchers in these fields have reported on their recent work and also reviewed the contemporary literature. Some historical perspectives as well as some comments and debates on recent issues in econophysics research have also been included.

Keywords

Econophysics agents calculus modeling scheduling

Editors and affiliations

  • Arnab Chatterjee
    • 1
  • Bikas K Chakrabarti
    • 1
  1. 1.Theoretical Condensed Matter Physics Division and Centre for Applied Mathematics and Computational ScienceSaha Institute of Nuclear PhysicsKolkataIndia

Bibliographic information