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Empirical Science of Financial Fluctuations


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Preface Part 1. Empirical Facts of Financial Market Fluctuations: 1-1. Basic Market Statistics - Quantifying Empirical Economic Fluctuations using the Organizing Principles of Scale Invariance and Universality - Price Fluctuations and Market Activity - Transaction Interval Analysis of High Resolution Foreign Exchange Data 1-2. Cross-Correlations - Random Matrix Theory and Cross-Correlations of Stock Prices - A Random Matrix Theory Approach to Quantifying Collective Behavior of Stock Price Fluctuations - Dynamics of Correlations in the Stock Market - False EUR Exchange Rates vs. DKK, CHF, JPY and USD 1-3. Market Anomalies - Crashes: Symptoms, diagnoses and remedies - Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crises - A Mechanism of International Transmission of financial Crises - High Frequency Data Analysis in an Emerging and in a Developed Market - Measuring Long-Range Dependence in Electricity Prices Part 2. Various Approaches to Financial Markets: 2-1. Agent-Based Modeling - Micro-Simulations of Financial Markets and the Stylized Facts - Statistical Property of Price Fluctuations in a Multi-Agent Model - A Speculative Financial Market Model - Spin-Grass Like Network Model for Stock Market - Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms - Deviation of ARCH(1) Process from Market Price Changes: Based on Feteministic Microscopic Multi-Agent 2-2. Stochastic Modeling - A Simple Model of Volatility Fluctuations in Asset Markets - Self-Similarity of Price Fluctuations and Market Dynamics - Survival Probability of LIFFE bond Futures via the Mittag-Leffler Function - Why is Fat-Tailed? - Market Price Simulator Based on Analog Electrical Circuit - Simulation and Analysis of a Power Law Fluctuation Generator - Deformation of Implied Volatility Surfaces: An Empirical Analysis 2-3. Prediction and Investment Strategy - Predictability of Market Prices - Time-Spaces Scaling of Financial Time Series - Parameter Estimation of a Generalized Langevin Equation of Market Price - Analysis of Stock Markets, Currency Exchanges and Tax Revenues - Trading System Applied to Large Mutual Fund Company Part 3. Other Topics: 3-1. Relation to Economic Theories - Why Financial Markets Will Remain Marginally Inefficient - The Law of Consumer Demand in Japan: A Macroscopic Microeconomic View - A Functional-Analytic and Numerical-Analytic Approach to Nonlinear Economic Models Described by the Master Equation 3-2. Corporate and Individual Statistics - Modelling the Growth Statistics of Economic Organizations - Statistical Laws in the Income of Japanese Companies - Empirical Identification of Competitive Strategies: Russian Bank System - Paretos Las for Income of Individuals - Physics of Personal Income.

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