- 1. Market's Basic Properties
- Correlated Randomeness: 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 data
- Systematic 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
- 2. Predictability of Markets
- Order book dynamics and price impact
- Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010
- Quantitative Forecasting and Modeling Stock Price Fluctuations
- Time series of stock price and of two fractal overlaps: 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
- 3. Mathematical models
- 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 highfrequency 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 market
- Stock 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
- Explanation of binarized tick data using investor sentiment and genetic learning
- A Game-theoretic Stochastic Agents Model for Enterprise Risk Management
- 4. Correlation and Risk Management
- Blackouts, risk, and fat-tailed distributions
- Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure
- Application of PCA and Random Matrix Theory to Passive Fund Management
- Testing Methods to Reduce Noise in Financial Correlation Matrices
- Application of noise level estimation for portfolio optimization
- Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts
- Investment horizons : A time-dependent measure of asset performance
- Clustering financial time series
- Risk portofolio management under Zipf analysis based strategies
- Macro-players in stock markets
- Conservative Estimation of Default Rate Correlations
- Are Firm Growth Rates Random? Evidence from Japanese Small Firms
- Trading Volume and Information Dynamics of Financial Markets
- Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market
- Growth and Fluctuations for Small-Business Firms
- 5. Networks and Wealth Distributions
- The skeleton of the Shareholders Networks
- Financial Market - A Network Perspective
- Change of ownership networks in Japan
- G7 country Gross Domestic Product (GDP) time correlations - A graph network analysis
- Dependence of Distribution and Velocity of Money on Required Reserve Ratio
- Prospects for Money Transfer Models
- Inequalities of Wealth Distribution in a Society with Social Classes
- Analyzing money distributions in 'ideal gas' models of markets
- Unstable periodic orbits and chaotic transitions among growth patterns of an economy
- Power-law behaviors in high income distribution
- The power-law exponent and the competition rule of the high income model
- 6. New Ideas
- Personal versus economic freedom
- Complexity in an Interacting System of Production
- Four Ingredients for New Approaches to Macroeconomic Modeling
- Competition phase space: theory and practice
- Analysis of Retail Spatial Market System by the Constructive Simulation Method
- Quantum-Monadology Approach to Economic Systems
- Visualization of microstructures of economic flows and adaptive control.
- (source: Nielsen Book Data)
Some economic phenomena are predictable and controllable, and some are impos- sible to foresee. Existing economic theories do not provide satisfactory answers as to what degree economic phenomena can be predicted and controlled, and in what situations. Against this background, people working on the financial front lines in real life have to rely on empirical rules based on experiments that often lack a solid foundation. "Econophysics" is a new science that analyzes economic phenomena empirically from a physical point of view, and it is being studied mainly to offer scientific, objective and significant answers to such problems. This book is the proceedings of the third Nikkei symposium on ''Practical Fruits of Econophysics, " held in Tokyo, November 9-11, 2004. In the first symposium held in 2000, empirical rules were established by analyzing high-frequency finan- cial data, and various kinds of theoretical approaches were confimied. In the second symposium, in 2002, the predictability of imperfections and of economic fluctua- tions was discussed in detail, and methods for applying such studies were reported. The third symposium gave an overview of practical developments that can immedi- ately be applied to the financial sector, or at least provide hints as to how to use the methodology.
(source: Nielsen Book Data)