Econophysics of Stocks and other Markets - Proceedings of the Econophys-Kolkata II

This book reviews the latest econophysics researches on the fluctuations in stock, forex and other markets. The statistical modeling of markets, using various agent-based game theoretical approaches, and their scaling analysis have been discussed. The leading researchers in these fields have reported on their recent work and also reviewed the contemporary literature. Some historical perspectives as well as some comments and debates on recent issues in econophysics research have also been included. Cover ......Page 1 Econophysics of Stock and other Markets - Proceedings of the Econophys-Kolkata II......Page 4 ISBN-10 8847005019 ISBN-13 9788847005013......Page 5 Preface......Page 6 Contents......Page 8 List of Invited Speakers and Contributors......Page 11 Part I Markets and their Analysis......Page 16 1 Introduction......Page 17 2 Empirical analysis......Page 18 3 Concluding remarks......Page 23 References......Page 25 1 Introduction......Page 27 2 Analysing correlations in stock price time series......Page 28 References......Page 37 1 Introduction......Page 38 2 The Indian nancial market......Page 39 3 Price return distribution of individual stocks......Page 40 4 Distribution of trading volume and number of trades......Page 44 5 Correlated stock movement in the Indian market......Page 46 References......Page 47 1 Introduction......Page 49 2 Empirical analysis of BSE index......Page 50 3 Random matrix approach......Page 53 References......Page 61 1 Introduction......Page 63 3 Size dependent properties of trading activity......Page 64 4 Scaling theory......Page 68 References......Page 71 1 Introduction......Page 73 2 Statistical analysis on length of runs......Page 74 3 Statistical analysis on magnitude of runs......Page 78 4 Conclusion......Page 79 References......Page 80 1 Introduction......Page 81 2 Data......Page 82 3 Method of analysis and results......Page 83 4 Conclusion......Page 89 References......Page 90 1 Introduction......Page 91 3 Methodology......Page 92 4 Data......Page 93 5 Results......Page 94 References......Page 98 1 Prelude......Page 99 2 Eÿcient market hypothesis and serial correlation; market beta......Page 100 3 National stock exchange (NSE); Nifty and Nifty Futures......Page 104 4 Review of earlier work......Page 105 5 Observations......Page 107 References......Page 108 Part II Markets and their Models......Page 114 Models of Financial Market Information Ecology......Page 115 1 De nition......Page 117 4 Market information structure......Page 121 References......Page 125 1 Introduction......Page 127 2 The model......Page 129 3 Fitting algorithm......Page 130 5 Conclusions......Page 134 References......Page 135 1 Introduction......Page 137 2 Mix-game model and simulation condition......Page 138 3 Simulation results and discussions......Page 139 5 Summary and conclusions......Page 145 References......Page 146 1 Introduction......Page 147 2 A macroscopic model of triangular arbitrage transaction......Page 148 3 A microscopic model of triangular arbitrage transaction......Page 150 4 The microscopic parameters and the macroscopic spring constant......Page 152 5 Summary......Page 154 References......Page 155 1 Introduction......Page 157 2 Brief review of previous data analysis identifying processes and generic features of limit order markets......Page 158 3 Resulting minimal model and properties......Page 161 4 Generalisations; basic analytic approach......Page 162 5 Simpli ed model analysis......Page 164 Acknowledgements......Page 165 References......Page 166 2 The two fractal-overlap model of earthquake......Page 167 3 The Cantor set overlap time series......Page 169 4 The stock price time series......Page 170 5 Summary......Page 171 References......Page 172 1 Introduction......Page 173 2 Collective irrationality in an agent-based model......Page 174 References......Page 176 1 Data generating mechanism......Page 177 2 Traders’ heterogeneity......Page 178 4 Multiresolution analysis......Page 179 6 Data analysis......Page 180 7 Low and high frequencies......Page 181 8 Multiscale prediction......Page 183 9 Conclusion......Page 187 References......Page 188 1 Introduction......Page 189 2 The model......Page 190 3 Results......Page 192 References......Page 195 1 Introduction......Page 197 2 Discrete wavelets – separation of trend from uctuations......Page 199 3 Model of the trend series......Page 202 4 Statistical properties of uctuations......Page 203 References......Page 205 1 Introduction......Page 206 2 Quantum levels as time series: formalism......Page 207 3 RMT and time series models......Page 209 4 Detrended uctuation analysis and RMT......Page 210 5 Application to real time series......Page 211 6 Conclusions......Page 212 References......Page 213 1 Introduction......Page 215 2 Measuring the market economic eÿciency......Page 216 4 Discussion and conclusion......Page 220 References......Page 221 1 Introduction......Page 222 2 The model......Page 223 References......Page 230 Part III Historical Notes......Page 232 A Brief History of Economics: An Outsider’s Account......Page 233 1 De nitional issues......Page 239 2 Relations between the disciplines......Page 240 3 Problems being studied, methods being used......Page 241 5 Is econophysics heterodox?......Page 242 6 The past as future......Page 245 References......Page 246 Part IV Comments and Discussions......Page 250 Econophys-Kolkata II Workshop Summary......Page 251 Econophysics: Some Thoughts on Theoretical Perspectives......Page 254 References......Page 256 1 Comments on models developed to describe and understand income and wealth distributions, by Peter Richmond......Page 258 2 Comments on ideal-gas like models of income distribution, by Bikas K. Chakrabarti and Arnab Chatterjee......Page 259 3 A Comment on Gallegati et al.’s “Worrying trends in econophysics”, by John Angle......Page 261 References......Page 266 Successful or not, we all (have to?) go to various markets and participate in their activities. Yet, solittle is understoodabout their functionings. E orts to model various markets are now substantial. Econophysicists have also come up recently with several innovative models and their analyses. This book is a proceedings of the International Workshop on \Eco- physics of StockMarkets and Minority Games", heldinKolkataduringFeb- ary 14-17, 2006, under the auspices of the Centre for Applied Mathem- ics and Computational Science, Saha Institute of Nuclear Physics, Kolkata. This is the second event in the Econophys-Kolkata series of meetings; the Econophys-Kolkata I was held in March 2005 ( Econophysics of Wealth Distributions, published in the same New Economic Windows series by Springer, Milan in 2005). We understand from the enthusiastic response of the participants that the one-day trip to the Sunderbans (Tiger Reserve; a world heritage point) along with the lecture-sessions on the vessel had been hugely enjoyable and successful. The concluding session had again very lively discussions on the workshop topics as well as on econophysics in general, i- tiated by J. Barkley Rosser, Matteo Marsili, Rosario Mantegna and Robin Stinchcombe (Chair). We plan to hold the next meeting in this series, on \Econophysics and Debates on Complexity Issues in Economics and Sociology" early next year. We are very happy that several leading economists and physicists engaged intheserecentdevelopmentsintheeconophysicsofmarkets, theiranalysisand modellingcouldcomeandparticipate.