Econophysics Approaches To Large Scale Business Data And Financial Crisis

Author : Misako Takayasu,Tsutomu Watanabe,Hideki Takayasu
Publisher : Springer Science & Business Media
Page : 320 pages
File Size : 43,5 Mb
Release : 2010-04-27
Category : Science
ISBN : 9784431538530

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Econophysics Approaches to Large-Scale Business Data and Financial Crisis by Misako Takayasu,Tsutomu Watanabe,Hideki Takayasu Pdf

In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Author : Misako Takayasu,Tsutomu Watanabe,Hideki Takayasu
Publisher : Unknown
Page : 328 pages
File Size : 44,6 Mb
Release : 2010-11-20
Category : Electronic
ISBN : 4431538542

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Econophysics Approaches to Large-Scale Business Data and Financial Crisis by Misako Takayasu,Tsutomu Watanabe,Hideki Takayasu Pdf

Author : Peter Richmond,Jürgen Mimkes,Stefan Hutzler
Publisher : OUP Oxford
Page : 288 pages
File Size : 53,5 Mb
Release : 2013-09-05
Category : Mathematics
ISBN : 9780191662195

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Econophysics and Physical Economics by Peter Richmond,Jürgen Mimkes,Stefan Hutzler Pdf

An understanding of the behaviour of financial assets and the evolution of economies has never been as important as today. This book looks at these complex systems from the perspective of the physicist. So called 'econophysics' and its application to finance has made great strides in recent years. Less emphasis has been placed on the broader subject of macroeconomics and many economics students are still taught traditional neo-classical economics. The reader is given a general primer in statistical physics, probability theory, and use of correlation functions. Much of the mathematics that is developed is frequently no longer included in undergraduate physics courses. The statistical physics of Boltzmann and Gibbs is one of the oldest disciplines within physics and it can be argued that it was first applied to ensembles of molecules as opposed to being applied to social agents only by way of historical accident. The authors argue by analogy that the theory can be applied directly to economic systems comprising assemblies of interacting agents. The necessary tools and mathematics are developed in a clear and concise manner. The body of work, now termed econophysics, is then developed. The authors show where traditional methods break down and show how the probability distributions and correlation functions can be properly understood using high frequency data. Recent work by the physics community on risk and market crashes are discussed together with new work on betting markets as well as studies of speculative peaks that occur in housing markets. The second half of the book continues the empirical approach showing how by analogy with thermodynamics, a self-consistent attack can be made on macroeconomics. This leads naturally to economic production functions being equated to entropy functions - a new concept for economists. Issues relating to non-equilibrium naturally arise during the development and application of this approach to economics. These are discussed in the context of superstatistics and adiabatic processes. As a result it does seem ultimately possible to reconcile the approach with non-equilibrium systems, and the ideas are applied to study income and wealth distributions, which with their power law distribution functions have puzzled many researchers ever since Pareto discovered them over 100 years ago. This book takes a pedagogical approach to these topics and is aimed at final year undergraduate and beginning gradaute or post-graduate students in physics, economics, and business. However, the experienced researcher and quant should also find much of interest.

Author : Franck Jovanovic,Christophe Schinckus
Publisher : Oxford University Press
Page : 249 pages
File Size : 40,8 Mb
Release : 2017
Category : Business & Economics
ISBN : 9780190205034

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Econophysics and Financial Economics by Franck Jovanovic,Christophe Schinckus Pdf

This work provides an extensive analytic comparison between models and results from econophysics and financial economics in an accessible and common vocabulary. Unlike other publications dedicated to econophysics, it situates this field in the evolution of financial economics by laying the foundations for common theoretical framework and models.

Author : Frantisek Slanina
Publisher : Oxford University Press
Page : 427 pages
File Size : 40,8 Mb
Release : 2013-12
Category : Business & Economics
ISBN : 9780199299683

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Essentials of Econophysics Modelling by Frantisek Slanina Pdf

This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the economic processes as interactions of inanimate particles. Here, the methods of physics are especially useful. Examples of systems modelled in such a way include books of stock-market orders, and redistribution of wealth among individuals. Network effects are investigated in the interaction of economic agents. The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.

Author : Kishore Chandra Dash
Publisher : Cambridge Scholars Publishing
Page : 222 pages
File Size : 43,8 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.

Author : Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh
Publisher : Springer Science & Business Media
Page : 302 pages
File Size : 44,5 Mb
Release : 2013-09-07
Category : Science
ISBN : 9783319000237

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Econophysics of Agent-Based Models by Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh Pdf

The primary goal of this book is to present the research findings and conclusions of physicists, economists, mathematicians and financial engineers working in the field of "Econophysics" who have undertaken agent-based modelling, comparison with empirical studies and related investigations. Most standard economic models assume the existence of the representative agent, who is “perfectly rational” and applies the utility maximization principle when taking action. One reason for this is the desire to keep models mathematically tractable: no tools are available to economists for solving non-linear models of heterogeneous adaptive agents without explicit optimization. In contrast, multi-agent models, which originated from statistical physics considerations, allow us to go beyond the prototype theories of traditional economics involving the representative agent. This book is based on the Econophys-Kolkata VII Workshop, at which many such modelling efforts were presented. In the book, leading researchers in their fields report on their latest work, consider recent developments and review the contemporary literature.

Author : Aki-Hiro Sato
Publisher : Springer
Page : 281 pages
File Size : 40,9 Mb
Release : 2014-07-29
Category : Mathematics
ISBN : 9784431549741

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Applied Data-Centric Social Sciences by Aki-Hiro Sato Pdf

Applied data-centric social sciences aim to develop both methodology and practical applications of various fields of social sciences and businesses with rich data. Specifically, in the social sciences, a vast amount of data on human activities may be useful for understanding collective human nature. In this book, the author introduces several mathematical techniques for handling a huge volume of data and analysing collective human behaviour. The book is constructed from data-oriented investigation, with mathematical methods and expressions used for dealing with data for several specific problems. The fundamental philosophy underlying the book is that both mathematical and physical concepts are determined by the purposes of data analysis. This philosophy is shown throughout exemplar studies of several fields in socio-economic systems. From a data-centric point of view, the author proposes a concept that may change people’s minds and cause them to start thinking from the basis of data. Several goals underlie the chapters of the book. The first is to describe mathematical and statistical methods for data analysis, and toward that end the author delineates methods with actual data in each chapter. The second is to find a cyber-physical link between data and data-generating mechanisms, as data are always provided by some kind of data-generating process in the real world. The third goal is to provide an impetus for the concepts and methodology set forth in this book to be applied to socio-economic systems.

Author : Jay Cullen
Publisher : Edward Elgar Publishing
Page : 264 pages
File Size : 55,7 Mb
Release : 2014-10-23
Category : Law
ISBN : 9781782549291

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Executive Compensation in Imperfect Financial Markets by Jay Cullen Pdf

This important book discusses the issue of executive compensation in Anglo-American financial markets following the financial crisis. The book begins by contextualizing the problem facing financial institutions in the US and the UK and argues that appr

Author : Anatoly B. Schmidt
Publisher : John Wiley & Sons
Page : 195 pages
File Size : 55,7 Mb
Release : 2011-07-05
Category : Business & Economics
ISBN : 9781118093658

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Financial Markets and Trading by Anatoly B. Schmidt Pdf

An informative guide to market microstructure and trading strategies Over the last decade, the financial landscape has undergone a significant transformation, shaped by the forces of technology, globalization, and market innovations to name a few. In order to operate effectively in today's markets, you need more than just the motivation to succeed, you need a firm understanding of how modern financial markets work and what professional trading is really about. Dr. Anatoly Schmidt, who has worked in the financial industry since 1997, and teaches in the Financial Engineering program of Stevens Institute of Technology, puts these topics in perspective with his new book. Divided into three comprehensive parts, this reliable resource offers a balance between the theoretical aspects of market microstructure and trading strategies that may be more relevant for practitioners. Along the way, it skillfully provides an informative overview of modern financial markets as well as an engaging assessment of the methods used in deriving and back-testing trading strategies. Details the modern financial markets for equities, foreign exchange, and fixed income Addresses the basics of market dynamics, including statistical distributions and volatility of returns Offers a summary of approaches used in technical analysis and statistical arbitrage as well as a more detailed description of trading performance criteria and back-testing strategies Includes two appendices that support the main material in the book If you're unprepared to enter today's markets you will underperform. But with Financial Markets and Trading as your guide, you'll quickly discover what it takes to make it in this competitive field.

Author : Aki-Hiro Sato
Publisher : Springer
Page : 266 pages
File Size : 45,5 Mb
Release : 2019-07-04
Category : Business & Economics
ISBN : 9789811071942

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Applications of Data-Centric Science to Social Design by Aki-Hiro Sato Pdf

The intention behind this book is to illustrate the deep relation among human behavior, data-centric science, and social design. In fact, these three issues have been independently developing in different fields, although they are, of course, deeply interrelated to one another. Specifically, fundamental understanding of human behavior should be employed for investigating our human society and designing social systems. Insights and both quantitative and qualitative understandings of collective human behavior are quite useful when social systems are designed. Fundamental principles of human behavior, theoretical models of human behavior, and information cascades are addressed as aspects of human behavior. Data-driven investigation of human nature, social behavior, and societal systems are developed as aspects of data-centric science. As design aspects, how to design social systems from heterogeneous memberships is explained. There is also discussion of these three aspects—human behavior, data-centric science, and social design—independently and with regard to the relationships among them.

Author : Hideki Takayasu,Nobuyasu Ito,Itsuki Noda,Misako Takayasu
Publisher : Springer
Page : 346 pages
File Size : 49,9 Mb
Release : 2015-08-10
Category : Science
ISBN : 9783319205915

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Proceedings of the International Conference on Social Modeling and Simulation, plus Econophysics Colloquium 2014 by Hideki Takayasu,Nobuyasu Ito,Itsuki Noda,Misako Takayasu Pdf

The proceedings of the international conference “SMSEC2014”, a joint conference of the first “Social Modeling and Simulations” and the 10th “Econophysics Colloquium”, held in Kobe in November 2014 with 174 participants, are gathered herein. Cutting edge scientific researches on various social phenomena are reviewed. New methods for analysis of big data such as financial markets, automobile traffics, epidemic spreading, world-trades and social media communications are provided to clarify complex interaction and distributions underlying in these social phenomena. Robustness and fragility of social systems are discussed based on agent models and complex network models. Techniques about high performance computers are introduced for simulation of complicated social phenomena. Readers will feel the researchers minds that deep and quantitative understanding will make it possible to realize comprehensive simulations of our whole society in the near future, which will contribute to wide fields of industry also to scientific policy decision.

Author : Ottmar Edenhofer
Publisher : Cambridge University Press
Page : 1457 pages
File Size : 40,6 Mb
Release : 2015-01-26
Category : Law
ISBN : 9781107058217

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Climate Change 2014: Mitigation of Climate Change by Ottmar Edenhofer Pdf

This latest Fifth Assessment Report of the IPCC will again form the standard reference for all those concerned with climate change and its consequences.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 44,5 Mb
Release : 2024-06-11
Category : Electronic
ISBN : 9789814465502

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Proceedings of the First Interdisciplinary Chess Interactions Conference by Anonim Pdf

Author : Anatoly B Schmidt
Publisher : World Scientific
Page : 353 pages
File Size : 55,9 Mb
Release : 2021-10-04
Category : Business & Economics
ISBN : 9789811239519

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Modern Equity Investing Strategies by Anatoly B Schmidt Pdf

This book will satisfy the demand among college majors in Finance and Financial Engineering, and mathematically-versed practitioners for description of both the classical approaches to equity investing and new investment strategies scattered in the periodic literature. Besides the major portfolio management theories (mean variance theory, CAPM, and APT), the book addresses several important topics: portfolio diversification, optimal ESG portfolios, factor models (smart betas), robust portfolio optimization, risk-based asset allocation, statistical arbitrage, alternative data based investing, back-testing of trading strategies, modern market microstructure, algorithmic trading, and agent-based modeling of financial markets. The book also includes the basic elements of time series analysis in the Appendix for self-contained presentation of the material. While the book covers technical concepts and models, it will not overburden the reader with math beyond the Finance undergraduates' curriculum.