Chatterjee Econophysics of Markets and Business Networks

Proceedings of the Econophys-Kolkata III
1. Auflage 2007
ISBN: 978-88-470-0665-2
Verlag: Springer-Verlag
Format: PDF
Kopierschutz: Wasserzeichen (»Systemvoraussetzungen)

E-Book, Englisch, 266 Seiten

Econophysics research studies, which apply methods developed by physicists to solve problems in economics, enable you to deepen your understanding of what financial systems are and how they operate. Articles in this book identify and explain the statistical behavior of the underlying networks in trading, banking, and stock markets as well as other financial systems. Authors also debate the latest issues arising from these econophysics studies.

Autoren/Hrsg.

Chatterjee, Arnab

Inhaltsverzeichnis

1;Preface;4
2;Contents;6
3;List of Invited Speakers and Contributors;8
4;Part I Financial Markets;12
4.1;Uncovering the Internal Structure of the Indian Financial Market: Large Cross- correlation Behavior in the NSE;13
4.1.1;1 Introduction;13
4.1.2;2 The Indian Financial Market;15
4.1.3;3 The Return Cross-Correlation Matrix;16
4.1.4;4 Time-evolution of the Correlation Structure;24
4.1.5;5 Conclusions;27
4.1.6;References;28
4.2;Power Exponential Price Returns in Day- ahead Power Exchanges;30
4.2.1;1 Introduction;30
4.2.2;2 Empirical Analysis of Electricity Log-returns;31
4.2.3;3 Conclusions;41
4.2.4;References;42
4.3;Variations in Financial Time Series: Modelling Through Wavelets and Genetic Programming;43
4.3.1;1 Introduction;43
4.3.2;2 Wavelet Coefficients;44
4.3.3;3 Modelling Wavelet Coefficients Using Genetic Programming;46
4.3.4;4 Conclusion;55
4.3.5;References;57
4.4;Financial Time-series Analysis: a Brief Overview;58
4.4.1;1 Introduction;58
4.4.2;2 Stochastic Methods in Time-series Analysis;58
4.4.3;3 Random Matrix Methods in Time-series Analysis;68
4.4.4;4 Approximate Entropy Method in Time-series Analysis;72
4.4.5;References;73
4.5;Correlations, Delays and Financial Time Series;75
4.5.1;1 Introduction;75
4.5.2;2 Correlated Stocks, Returns and Delays;75
4.5.3;3 Delay Correlation Matrix;78
4.5.4;4 Dominant Modes and Delays;79
4.5.5;5 Discussions;81
4.5.6;References;81
4.6;Option Pricing with Log-stable Lévy Processes;82
4.6.1;1 Introduction;82
4.6.2;2 The Model of the Stock Market;83
4.6.3;3 The Option Price;88
4.6.4;4 Conclusions;98
4.6.5;5 Appendix;98
4.6.6;References;100
4.7;Inferring the Composition of a Trader Population in a Financial Market;103
4.7.1;1 Introduction;103
4.7.2;2 The Multi-Agent Market Model;104
4.7.3;3 Recursive Optimization Scheme;105
4.7.4;4 Estimation in the Presence of an Ecology of Many Agent Types;113
4.7.5;5 Example for a Foreign-Exchange Rate Series;115
4.7.6;6 Conclusion;116
4.7.7;References;117
5;Part II Business and Trade Networks;118
5.1;Dynamical Structure of Behavioral Similarities of the Market Participants in the Foreign Exchange Market;119
5.1.1;1 Introduction;119
5.1.2;2 Foreign Exchange Market;119
5.1.3;3 Tick Frequencies;120
5.1.4;4 Motivation;121
5.1.5;5 Quantification of Behavioral Similarities;121
5.1.6;6 Agent-based Model;124
5.1.7;7 Empirical Results;126
5.1.8;8 Conclusion;127
5.1.9;References;128
5.2;Weighted Networks at the Polish Market;129
5.2.1;1 Introduction;129
5.2.2;2 Bipartite Graph of Companies and Branches;129
5.2.3;3 Companies and Branches Networks;130
5.2.4;4 Weight, Weight Distribution and Networks with Cutoffs;131
5.2.5;5 Degree Distribution;135
5.2.6;6 Entropy of Network Topology;136
5.2.7;7 Conclusions;139
5.2.8;References;139
5.3;The International Trade Network;141
5.3.1;References;149
5.4;Networks of Firms and the Ridge in the Production Space;150
5.4.1;1 Introduction;150
5.4.2;2 Multigraph in the Economy;151
5.4.3;3 A Ridge in the Production Space;156
5.4.4;4 Summary;158
5.4.5;References;159
5.5;Debt-credit Economic Networks of Banks and Firms: the Italian Case;160
5.5.1;1 Introduction;160
5.5.2;2 Multiple vs Single Bank Relationships;161
5.5.3;3 Data Set;163
5.5.4;4 The Network Representation;163
5.5.5;5 Total Network;165
5.5.6;6 Co-financing Banks Network;168
5.5.7;7 Discussion and Conclusions;170
5.5.8;References;171
5.6;Econophysicists Collaboration Networks: Empirical Studies and Evolutionary Model;173
5.6.1;1 Introduction;173
5.6.2;2 Empirical Networks and Statistical Results;174
5.6.3;3 Models and Theoretical Analysis;177
5.6.4;4 Extended Model and Comparison with Empirical Results;179
5.6.5;5 Conclusions;181
5.6.6;References;181
6;Part III Income, Stock and Other Market Models;183
6.1;The Macro Model of the Inequality Process and The Surging Relative Frequency of Large Wage Incomes;184
6.1.1;1 The Surge In Wage Income Nouveaux Riches in the U. S., 1961– 2003;184
6.1.2;2 The Micro- and Macro-Models of the Inequality Process ( IP);188
6.1.3;3 The Dynamics of the Macro Model of the Inequality Process ( IP);199
6.1.4;4 Conclusions;204
6.1.5;References;210
6.2;Is Inequality Inevitable in Society? Income Distribution as a Consequence of Resource Flow in Hierarchical Organizations;213
6.2.1;1 Introduction;214
6.2.2;2 Empirical Data;215
6.2.3;3 Income as Flow along Hierarchical Structure: The Tribute Model;221
6.2.4;4 Conclusions;223
6.2.5;References;223
6.3;Knowledge Sharing and R&D Investment;225
6.3.1;1 Introduction;225
6.3.2;2 The Basic Model;226
6.3.3;3 Concluding Remarks;230
6.3.4;References;230
6.4;Preferences Lower Bound in the Queueing Model;231
6.4.1;1 Introduction;231
6.4.2;2 The Model;232
6.4.3;References;235
6.5;Kolkata Restaurant Problem as a Generalised El Farol Bar Problem;236
6.5.1;1 Introduction;236
6.5.2;2 Model;237
6.5.3;3 Avalanche Dynamics: Infinite;239
6.5.4;4 Avalanche Dynamics: Finite;241
6.5.5;5 Conclusions;242
6.5.6;References;242
7;Part IV Comments and Discussions;244
7.1;Comments and Criticisms: Econophysics and Sociophysics;245
7.1.1;1 Beyond Econophysics?;245
7.1.2;References;247
7.1.3;2 Econophysics and Sociophysics: Comparison with Earlier Interdisciplinary Developments;247
7.1.4;3 Creating Principle of Econophysics;250
7.1.5;4 Corner and Hope: On The Future Topics of Econophysics;250
7.1.6;References;252
7.1.7;5 A Poor Man’s Thoughts on Economic Networks;252
7.1.8;References;254
7.1.9;6 Whither Econophysics?;254
7.1.10;7 Thoughts on Income and Wealth Distributions;257
7.1.11;References;260
7.1.12;8 Comments on the Econophys-Kolkata III Workshop;260