Econophysics And Data Driven Modelling Of Market Dynamics

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Econophysics and Data Driven Modelling of Market Dynamics

Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh
Econophysics and Data Driven Modelling of Market Dynamics Book PDF

Author : Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh
Publisher : Springer
Page : 353 pages
File Size : 49,6 Mb
Release : 2015-01-27
Category : Science
ISBN : 9783319084732

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Econophysics and Data Driven Modelling of Market Dynamics by Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh Pdf

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.

Dynamics of Markets

Joseph L. McCauley
Dynamics of Markets Book PDF

Author : Joseph L. McCauley
Publisher : Cambridge University Press
Page : 246 pages
File Size : 52,8 Mb
Release : 2004-05-06
Category : Business & Economics
ISBN : 0521824478

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Dynamics of Markets by Joseph L. McCauley Pdf

Text introducing a new empirically-based model of financial market dynamics.

Econophysics of Order-driven Markets

Frédéric Abergel,Bikas K Chakrabarti,Anirban Chakraborti,Manipushpak Mitra
Econophysics of Order driven Markets Book PDF

Author : Frédéric Abergel,Bikas K Chakrabarti,Anirban Chakraborti,Manipushpak Mitra
Publisher : Springer Science & Business Media
Page : 309 pages
File Size : 49,8 Mb
Release : 2011-04-06
Category : Business & Economics
ISBN : 9788847017665

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Econophysics of Order-driven Markets by Frédéric Abergel,Bikas K Chakrabarti,Anirban Chakraborti,Manipushpak Mitra Pdf

The primary goal of the book is to present the ideas and research findings of active researchers from various communities (physicists, economists, mathematicians, financial engineers) working in the field of "Econophysics", who have undertaken the task of modelling and analyzing order-driven markets. Of primary interest in these studies are the mechanisms leading to the statistical regularities ("stylized facts") of price statistics. Results pertaining to other important issues such as market impact, the profitability of trading strategies, or mathematical models for microstructure effects, are also presented. Several leading researchers in these fields report on their recent work and also review the contemporary literature. Some historical perspectives, comments and debates on recent issues in Econophysics research are also included.

The Story of Econophysics

Kishore Chandra Dash
The Story of Econophysics Book PDF

Author : Kishore Chandra Dash
Publisher : Cambridge Scholars Publishing
Page : 222 pages
File Size : 43,9 Mb
Release : 2019-08-22
Category : Business & Economics
ISBN : 9781527538887

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The Story of Econophysics by Kishore Chandra Dash Pdf

This book will appeal to the lay-reader with an interest in the history of what is today termed ‘Econophysics’, looking at various works throughout the ages that have led to the emergence of this field. It begins with a discussion of the philosophers and scientists who have contributed to this discipline, before moving on to considering the contributions of different institutions, books, journals and conferences in nurturing the subject.

Econophysics and Sociophysics: Recent Progress and Future Directions

Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Dhruv Raina,Irena Vodenska
Econophysics and Sociophysics Recent Progress and Future Directions Book PDF

Author : Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Dhruv Raina,Irena Vodenska
Publisher : Springer
Page : 256 pages
File Size : 41,8 Mb
Release : 2017-01-11
Category : Science
ISBN : 9783319477053

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Econophysics and Sociophysics: Recent Progress and Future Directions by Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Dhruv Raina,Irena Vodenska Pdf

This book presents the proceedings from ECONOPHYS-2015, an international workshop held in New Delhi, India, on the interrelated fields of “econophysics” and “sociophysics”, which have emerged from the application of statistical physics to economics and sociology. Leading researchers from varied communities, including economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others, report on their recent work, discuss topical issues, and review the relevant contemporary literature. A society can be described as a group of people who inhabit the same geographical or social territory and are mutually involved through their shared participation in different aspects of life. It is possible to observe and characterize average behaviors of members of a society, an example being voting behavior. Moreover, the dynamic nature of interaction within any economic sector comprising numerous cooperatively interacting agents has many features in common with the interacting systems of statistical physics. It is on these bases that interest has grown in the application within sociology and economics of the tools of statistical mechanics. This book will be of value for all with an interest in this flourishing field.

New Perspectives and Challenges in Econophysics and Sociophysics

Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Kiran Sharma
New Perspectives and Challenges in Econophysics and Sociophysics Book PDF

Author : Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Kiran Sharma
Publisher : Springer
Page : 272 pages
File Size : 42,8 Mb
Release : 2019-04-02
Category : Science
ISBN : 9783030113643

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New Perspectives and Challenges in Econophysics and Sociophysics by Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Kiran Sharma Pdf

This book presents the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology. Economic and financial markets appear to be in a permanent state of flux. Billions of agents interact with each other, giving rise to complex dynamics of economic quantities at the micro and macro levels. With the availability of huge data sets, researchers can address questions at a much more granular level than was previously possible. Fundamental questions regarding the aggregation of actions and information and the coordination, complexity, and evolution of economic and financial networks are currently receiving much attention in the econophysics research agenda. In parallel, the sociophysics literature has focused on large-scale social data and their interrelations. In this book, leading researchers from different communities – economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others – report on their recent work and their analyses of economic and social behavior.

Blockchain Economics and Financial Market Innovation

Umit Hacioglu
Blockchain Economics and Financial Market Innovation Book PDF

Author : Umit Hacioglu
Publisher : Springer Nature
Page : 568 pages
File Size : 40,6 Mb
Release : 2019-12-03
Category : Business & Economics
ISBN : 9783030252755

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Blockchain Economics and Financial Market Innovation by Umit Hacioglu Pdf

This book discusses various aspects of blockchains in economic systems and investment strategies in crypto markets. It first addresses the topic from a conceptual and theoretical point of view, and then analyzes it from an assessment and investment angle. Further, it examines the opportunities and limitations of the taxation of crypto currency, as well as the political implications, such as regulation of speculation with crypto currencies. The book is intended for academicians and students in the fields of economics and finance.

Income Distribution Dynamics of Economic Systems

Marcelo Byrro Ribeiro
Income Distribution Dynamics of Economic Systems Book PDF

Author : Marcelo Byrro Ribeiro
Publisher : Cambridge University Press
Page : 335 pages
File Size : 47,6 Mb
Release : 2020-03-26
Category : Business & Economics
ISBN : 9781107092532

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Income Distribution Dynamics of Economic Systems by Marcelo Byrro Ribeiro Pdf

An overview of the distributive dynamics of economic systems in a broad theoretical and empirical sense from the econophysical viewpoint.

Time Series Analysis and Forecasting

Ignacio Rojas,Héctor Pomares
Time Series Analysis and Forecasting Book PDF

Author : Ignacio Rojas,Héctor Pomares
Publisher : Springer
Page : 384 pages
File Size : 51,8 Mb
Release : 2016-05-30
Category : Business & Economics
ISBN : 9783319287256

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Time Series Analysis and Forecasting by Ignacio Rojas,Héctor Pomares Pdf

This volume presents selected peer-reviewed contributions from The International Work-Conference on Time Series, ITISE 2015, held in Granada, Spain, July 1-3, 2015. It discusses topics in time series analysis and forecasting, advanced methods and online learning in time series, high-dimensional and complex/big data time series as well as forecasting in real problems. The International Work-Conferences on Time Series (ITISE) provide a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing the disciplines of computer science, mathematics, statistics and econometrics.

Alternative Assets and Cryptocurrencies

Christian Hafner
Alternative Assets and Cryptocurrencies Book PDF

Author : Christian Hafner
Publisher : MDPI
Page : 218 pages
File Size : 51,9 Mb
Release : 2019-07-26
Category : Business & Economics
ISBN : 9783038979784

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Alternative Assets and Cryptocurrencies by Christian Hafner Pdf

Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.

Limit Order Books

Frédéric Abergel,Marouane Anane,Anirban Chakraborti,Aymen Jedidi,Ioane Muni Toke
Limit Order Books Book PDF

Author : Frédéric Abergel,Marouane Anane,Anirban Chakraborti,Aymen Jedidi,Ioane Muni Toke
Publisher : Cambridge University Press
Page : 241 pages
File Size : 41,5 Mb
Release : 2016-05-09
Category : Business & Economics
ISBN : 9781107163980

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Limit Order Books by Frédéric Abergel,Marouane Anane,Anirban Chakraborti,Aymen Jedidi,Ioane Muni Toke Pdf

This text presents different models of limit order books and introduces a flexible open-source library, useful to those studying trading strategies.

Economic Foundations for Social Complexity Science

Yuji Aruka,Alan Kirman
Economic Foundations for Social Complexity Science Book PDF

Author : Yuji Aruka,Alan Kirman
Publisher : Springer
Page : 277 pages
File Size : 49,9 Mb
Release : 2017-09-25
Category : Business & Economics
ISBN : 9789811057052

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Economic Foundations for Social Complexity Science by Yuji Aruka,Alan Kirman Pdf

This book focuses on how important massive information is and how sensitive outcomes are to information. In this century humans now are coming up against the massive utilization of information in various contexts. The advent of super intelligence is drastically accelerating the evolution of the socio-economic system. Our traditional analytic approach must therefore be radically reformed in order to adapt to an information-sensitive framework, which means giving up myopic purification and the elimination of all considerations of massive information. In this book, authors who have shared and exchanged their ideas over the last 20 years, offer thorough examinations of the theoretical–ontological basis of complex economic interaction, econophysics, and agent-based modeling during the last several decades. This book thus provides the indispensable philosophical-scientific foundations for this new approach, and then moves on to empirical–epistemological studies concerning changes in sentiments and other movements in financial markets.

Coordination and Cooperation in Complex Adaptive Systems: Theory and Application

Xiaojie Chen,Tatsuya Sasaki,Isamu Okada
Coordination and Cooperation in Complex Adaptive Systems Theory and Application Book PDF

Author : Xiaojie Chen,Tatsuya Sasaki,Isamu Okada
Publisher : Frontiers Media SA
Page : 155 pages
File Size : 43,5 Mb
Release : 2019-07-31
Category : Electronic
ISBN : 9782889458448

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Coordination and Cooperation in Complex Adaptive Systems: Theory and Application by Xiaojie Chen,Tatsuya Sasaki,Isamu Okada Pdf

During the past decade, plenty of studies have been carried out in the literature to address the coordination and cooperation problems in complex adaptive systems, and have continued to grow. This Research Topic eBook publishes 14 papers by 39 authors, and most of these published papers present current research illustrating the depth and breadth of ongoing work on the coordination and cooperation problems in complex adaptive systems. It thus provides a timely discussion for researchers on the hotspots and challenges of the study on coordination and cooperation in theoretical models and applied systems.

From Galileo to Modern Economics

Gianfranco Tusset
From Galileo to Modern Economics Book PDF

Author : Gianfranco Tusset
Publisher : Springer
Page : 210 pages
File Size : 49,9 Mb
Release : 2018-09-08
Category : Business & Economics
ISBN : 9783319956121

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From Galileo to Modern Economics by Gianfranco Tusset Pdf

Empirical laws are rare in economics. This book describes efforts to anchor economic knowledge to invariant empirical laws. It links 17th and 18th century Galilean monetary economists to econophysics, a field that emerged in the mid-1990s. This virtual journey from past to present is charted by episodes on aggregates and empirical primacy. It includes the virtually unknown story of 19th century scholars who, by searching for a stricter mathematical approach, paved the way to an ‘engineering’ view of economics. Then there are celebrities like Pareto and his first empirical law governing the distribution of wealth. Pareto and Amoroso sparked a debate on the skewed distribution that spanned decades, ranging from finance to market transformations, to econophysics, with its concepts and tools inherited from statistical physics. The last stage of the journey goes through econophysics and the recent gradual advances it has made, which show how its position vis-à-vis economics has been changing.

Experimental Econophysics

Ji-Ping Huang
Experimental Econophysics Book PDF

Author : Ji-Ping Huang
Publisher : Springer
Page : 192 pages
File Size : 51,8 Mb
Release : 2014-08-05
Category : Science
ISBN : 9783662442340

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Experimental Econophysics by Ji-Ping Huang Pdf

Experimental Econophysics describes the method of controlled human experiments, which is developed by physicists to study some problems in economics or finance, namely, stylized facts, fluctuation phenomena, herd behavior, contrarian behavior, hedge behavior, cooperation, business cycles, partial information, risk management, and stock prediction. Experimental econophysics together with empirical econophysics are two branches of the field of econophysics. The latter one has been extensively discussed in the existing books, while the former one has been seldom touched. In this book, the author will focus on the branch of experimental econophysics. Empirical econophysics is based on the analysis of data in real markets by using some statistical tools borrowed from traditional statistical physics. Differently, inspired by the role of controlled experiments and system modelling (for computer simulations and/or analytical theory) in developing modern physics, experimental econophysics specially relies on controlled human experiments in the laboratory (producing data for analysis) together with agent-based modelling (for computer simulations and/or analytical theory), with an aim at revealing the general cause-effect relationship between specific parameters and emergent properties of real economic/financial markets. This book covers the basic concepts, experimental methods, modelling approaches, and latest progress in the field of experimental econophysics.