| Preface |
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Market's Basic Properties |
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Correlated Randomeness: Rare and Not-So-Rare Events in Finance |
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2 | (17) |
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Parameswaran Gopikrishnan |
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Non-Trivial Scaling of Fluctuations in the Trading Activity of NYSE |
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19 | (5) |
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Dynamics and Predictability of Fluctuations in Dollar-Yen Exchange Rates |
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24 | (5) |
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Temporal Characteristics of Moving Average of Foreign Exchange Markets |
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29 | (4) |
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Characteristic Market Behaviors Caused by Intervention in a Foreign Exchange Market |
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33 | (5) |
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Apples and Oranges: the Difference between the Reaction of the Emerging and Mature Markets to Crashes |
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38 | (5) |
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Scaling and Memory in Return Loss Intervals: Application to Risk Estimation |
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43 | (9) |
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Recurrence Analysis Near the NASDAQ Crash of April 2000 |
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52 | (5) |
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Modeling a Foreign Exchange Rate Using Moving Average of Yen-Dollar Market Data |
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57 | (5) |
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Systematic Tuning of Optimal Weighted-Moving-Average of Yen-Dollar Market Data |
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62 | (5) |
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Power Law and its Transition in the Slow Convergence to a Gaussian in the S&P500 Index |
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67 | (5) |
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Empirical Study of the Market Impact in the Tokyo Stock Exchange |
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72 | (5) |
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Econophysics to Unravel the Hidden Dynamics of Commodity Markets |
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77 | (5) |
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A Characteristic Time Scale of Tick Quotes on Foreign Currency Markets |
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82 | (6) |
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Predictability of Markets |
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Order Book Dynamics and Price Impact |
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88 | (5) |
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Prediction Oriented Variant of Financial Log-Periodicity and Speculating about the Stock Market Development until 2010 |
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93 | (6) |
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Quantitative Forecasting and Modeling Stock Price Fluctuations |
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99 | (8) |
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Time Series of Stock Price and of Two Fractal Overlap: Anticipating Market Crashes? |
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107 | (4) |
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Short Time Segment Price Forecasts Using Spline Fit Interactions |
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111 | (5) |
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Successful Price Cycle Forecasts for S&P Futures Using TF3---a Pattern Recognition Algorithms Based on the KNN Method |
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116 | (5) |
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The Hurst's Exponent in Technical Analysis Signals |
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121 | (5) |
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Financial Markets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF) |
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126 | (5) |
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Market Cycle Turning Point Forecasts by a Two-Parameter Learning Algorithm as a Trading Tool for S&P Futures |
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131 | (6) |
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The CTRWs in Finance: the Mean Exit Time |
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137 | (5) |
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Discretized Continuous-Time Hierarchical Walks and Flights as Possible Bases of the Non-Linear Long-Term Autocorrelations Observed in Highfrequency Financial Time-Series |
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142 | (5) |
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Evidence for Superdiffusion and ``Momentum'' in Stock Price Changes |
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147 | (5) |
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Beyond the Third Dimension: Searching for the Price Equation |
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152 | (6) |
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An Agent-Based Model of Financial Returns in a Limit Order Market |
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158 | (5) |
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Stock Price Process and the Long-Range Percolation |
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163 | (5) |
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What Information is Hidden in Chaotic Time Series? |
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168 | (5) |
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Analysis of Evolution of Stock Prices in Terms of Oscillation Theory |
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173 | (5) |
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Simple Stochastic Modeling for Fat Tails in Financial Markets |
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178 | (5) |
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Agent Based Simulation Design Principles---Applications to Stock Market |
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183 | (6) |
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Heterogeneous Agents Model for Stock Market Dynamics: Role of Market Leaders and Fundamental Prices |
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189 | (5) |
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Dynamics of Interacting Strategies |
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194 | (6) |
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Emergence of Two-Phase Behavior in Markets through Interaction and Learning in Agents with Bounded Rationality |
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200 | (5) |
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Explanation of Binarized Tick Data Using Investor Sentiment and Genetic Learning |
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205 | (5) |
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A Game-Theoretic Stochastic Agents Model for Enterprise Risk Management |
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210 | (5) |
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Correlation and Risk Management |
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Blackouts, Risk, and Fat-Tailed Distributions |
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215 | (5) |
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Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure |
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220 | (6) |
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Application of PCA and Random Matrix Theory to Passive Fund Management |
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226 | (5) |
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Testing Methods to Reduce Noise in Financial Correlation Matrices |
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231 | (5) |
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Application of Noise Level Estimation for Portfolio Optimization |
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236 | (5) |
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Method of Analyzing Weather Derivatives Based on Long-Range Weather Forecasts |
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241 | (5) |
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Investment Horizons: A Time-Dependent Measure of Asset Performance |
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246 | (6) |
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Clustering Financial Time Series |
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252 | (5) |
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Risk Portofolio Management under Zipf Analysis Based Strategies |
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257 | (5) |
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Macro-Players in Stock Markets |
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262 | (10) |
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Conservative Estimation of Default Rate Correlations |
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272 | (5) |
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Are Firm Growth Rates Random? Evidence from Japanese Small Firms |
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277 | (6) |
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Trading Volume and Information Dynamics of Financial Markets |
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283 | (3) |
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Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market |
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286 | (5) |
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Growth and Fluctuations for Small-Business Firms |
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291 | (6) |
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Networks and Wealth Distributions |
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The Skeleton of the Shareholders Networks |
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297 | (5) |
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Financial Market---A Network Perspective |
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302 | (5) |
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Change of Ownership Networks in Japan |
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307 | (5) |
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G7 country Gross Domestic Product (GDP) Time Correlations---A Graph Network Analysis |
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312 | (5) |
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Dependence of Distribution and Velocity of Money on Required Reserve Ratio |
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317 | (5) |
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Prospects for Money Transfer Models |
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322 | (5) |
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Inequalities of Wealth Distribution in a Society with Social Classes |
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327 | (6) |
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Analyzing Money Distributions in `Ideal Gas' Models of Markets |
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333 | (6) |
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Unstable Periodic Orbits and Chaotic Transitions among Growth Patterns of an Economy |
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339 | (5) |
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Power-Law Behaviors in High Income Distribution |
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344 | (5) |
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The Power-Law Exponent and the Competition Rule of the High Income Model |
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349 | (6) |
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Personal Versus Economic Freedom |
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355 | (5) |
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Complexity in an Interacting System of Production |
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360 | (6) |
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Four Ingredients for New Approaches to Macroeconomic Modeling |
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366 | (5) |
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Competition Phase Space: Theory and Practice |
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371 | (5) |
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Analysis of Retail Spatial Market System by the Constructive Simulation Method |
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376 | (5) |
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Quantum-Monadology Approach to Economic Systems |
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381 | (5) |
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Visualization of Microstructures of Economic Flows and Adaptive Control |
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386 | |
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