Econophysics of Markets and Business Networks (eBook)

Preface 4
Contents 6
List of Invited Speakers and Contributors 8
Part I Financial Markets 12
Uncovering the Internal Structure of the Indian Financial Market: Large Cross- correlation Behavior in the NSE 13
1 Introduction 13
2 The Indian Financial Market 15
3 The Return Cross-Correlation Matrix 16
4 Time-evolution of the Correlation Structure 24
5 Conclusions 27
References 28
Power Exponential Price Returns in Day- ahead Power Exchanges 30
1 Introduction 30
2 Empirical Analysis of Electricity Log-returns 31
3 Conclusions 41
References 42
Variations in Financial Time Series: Modelling Through Wavelets and Genetic Programming 43
1 Introduction 43
2 Wavelet Coefficients 44
3 Modelling Wavelet Coefficients Using Genetic Programming 46
4 Conclusion 55
References 57
Financial Time-series Analysis: a Brief Overview 58
1 Introduction 58
2 Stochastic Methods in Time-series Analysis 58
3 Random Matrix Methods in Time-series Analysis 68
4 Approximate Entropy Method in Time-series Analysis 72
References 73
Correlations, Delays and Financial Time Series 75
1 Introduction 75
2 Correlated Stocks, Returns and Delays 75
3 Delay Correlation Matrix 78
4 Dominant Modes and Delays 79
5 Discussions 81
References 81
Option Pricing with Log-stable Lévy Processes 82
1 Introduction 82
2 The Model of the Stock Market 83
3 The Option Price 88
4 Conclusions 98
5 Appendix 98
References 100
Inferring the Composition of a Trader Population in a Financial Market 103
1 Introduction 103
2 The Multi-Agent Market Model 104
3 Recursive Optimization Scheme 105
4 Estimation in the Presence of an Ecology of Many Agent Types 113
5 Example for a Foreign-Exchange Rate Series 115
6 Conclusion 116
References 117
Part II Business and Trade Networks 118
Dynamical Structure of Behavioral Similarities of the Market Participants in the Foreign Exchange Market 119
1 Introduction 119
2 Foreign Exchange Market 119
3 Tick Frequencies 120
4 Motivation 121
5 Quantification of Behavioral Similarities 121
6 Agent-based Model 124
7 Empirical Results 126
8 Conclusion 127
References 128
Weighted Networks at the Polish Market 129
1 Introduction 129
2 Bipartite Graph of Companies and Branches 129
3 Companies and Branches Networks 130
4 Weight, Weight Distribution and Networks with Cutoffs 131
5 Degree Distribution 135
6 Entropy of Network Topology 136
7 Conclusions 139
References 139
The International Trade Network 141
References 149
Networks of Firms and the Ridge in the Production Space 150
1 Introduction 150
2 Multigraph in the Economy 151
3 A Ridge in the Production Space 156
4 Summary 158
References 159
Debt-credit Economic Networks of Banks and Firms: the Italian Case 160
1 Introduction 160
2 Multiple vs Single Bank Relationships 161
3 Data Set 163
4 The Network Representation 163
5 Total Network 165
6 Co-financing Banks Network 168
7 Discussion and Conclusions 170
References 171
Econophysicists Collaboration Networks: Empirical Studies and Evolutionary Model 173
1 Introduction 173
2 Empirical Networks and Statistical Results 174
3 Models and Theoretical Analysis 177
4 Extended Model and Comparison with Empirical Results 179
5 Conclusions 181
References 181
Part III Income, Stock and Other Market Models 183
The Macro Model of the Inequality Process and The Surging Relative Frequency of Large Wage Incomes 184
1 The Surge In Wage Income Nouveaux Riches in the U. S., 1961– 2003 184
2 The Micro- and Macro-Models of the Inequality Process ( IP) 188
3 The Dynamics of the Macro Model of the Inequality Process ( IP) 199
4 Conclusions 204
References 210
Is Inequality Inevitable in Society? Income Distribution as a Consequence of Resource Flow in Hierarchical Organizations 213
1 Introduction 214
2 Empirical Data 215
3 Income as Flow along Hierarchical Structure: The Tribute Model 221
4 Conclusions 223
References 223
Knowledge Sharing and R& D Investment
1 Introduction 225
2 The Basic Model 226
3 Concluding Remarks 230
References 230
Preferences Lower Bound in the Queueing Model 231
1 Introduction 231
2 The Model 232
References 235
Kolkata Restaurant Problem as a Generalised El Farol Bar Problem 236
1 Introduction 236
2 Model 237
3 Avalanche Dynamics: Infinite 239
4 Avalanche Dynamics: Finite 241
5 Conclusions 242
References 242
Part IV Comments and Discussions 244
Comments and Criticisms: Econophysics and Sociophysics 245
1 Beyond Econophysics? 245
References 247
2 Econophysics and Sociophysics: Comparison with Earlier Interdisciplinary Developments 247
3 Creating Principle of Econophysics 250
4 Corner and Hope: On The Future Topics of Econophysics 250
References 252
5 A Poor Man’s Thoughts on Economic Networks 252
References 254
6 Whither Econophysics? 254
7 Thoughts on Income and Wealth Distributions 257
References 260
8 Comments on the Econophys-Kolkata III Workshop 260