Econophysics and Data Driven Modelling of Market Dynamics (eBook)

Frédéric Abergel is Professor and Director of the Laboratory of Mathematics Applied to Systems and Director, BNP Paribas Chair of Quantitative Finance, École Centrale Paris, France. His research interests are financial markets, modelling of derivatives, and empirical properties of financial data. Since 2008 Professor Abergel has been a member of the organizing and scientific committees of the annual Financial Risks International Forum, Paris and he is also organizer of the annual econophysics conference EP-KOL, Kolkata. He is managing editor of the journal Quantitative Finance.Hideaki Aoyama is a Professor in the Department of Physics, Graduate School of Science, Kyoto University, Japan. His research interests are theoretical physics, high-energy physics, mathematical physics, and econophysics. He is a Lifetime Member of both the American Physical Society and Sigma Xi, The Scientific Research Society. Professor Aoyama is Scientific Chief Advisor to Credit Risk Database (Tokyo) and Principal Advisor on Physical Science to the Renewable Energy Foundation (London). His previous books include Econophysics and Companies – Statistical Life and Death in Complex Business Networks (Cambridge University Press).Bikas K. Chakrabarti is Senior Professor of Physics at the Saha Institute of Nuclear Physics, Kolkata, India and Visiting Professor of Economics, Indian Statistical Institute, Kolkata, India. Professor Chakrabarti is an elected Fellow of the Indian Academy of Sciences and the Indian National Science Academy and in 1997 received the Shanti Swarup Bhatnagar Prize from the CSIR (Council of Scientific and Industrial Research). His research interests include condensed matter physics, statistical physics, and computational physics and he is the author of more than 150 papers in refereed journals and co-author of two books.Anirban Chakraborti is Professor in the School of Computational and Integrative Sciences, Jawaharlal Nehru University, New Delhi, India. His research focuses on statistical physics and its interdisciplinary application to problems in complex systems in economic and social sciences, and combinatorial optimization. In 2009 he received the Indian National Science Academy Young Scientist Medal. He is co-author or co-editor of seven books, including most recently Econophysics of Agent-Based Models (Springer, Italy) and Econophysics of Income and Wealth Distributions (Cambridge University Press).Asim Ghosh is Senior Research Fellow in the Theoretical Condensed Matter Physics Division, Saha Institute of Nuclear Physics, India. He is co-editor of the books Econophysics of Systemic Risk and Network Dynamics (Springer, Italy) and Econophysics of Agent­Based Models (Springer Italy) and the author of a number of papers in peer-reviewed journals.

How to measure lead-lag relationships from high frequency data?.- Correlation and Interdependencies in coupled financial networks.- The Asian Economic Observatory Network (AEON) Proposal on Data-Driven Agent-Based Modeling of the Asian Economies.- On the nature of inequalities from socio-economic data.- Inequality in Societies, Academic Institutions and Science Journals: Gini and k-indices.- Relation between Total Factor Productivity and Patents of Firms.- Financial Distress Propagation in Japanese Credit Network.- Agent Based modelling of Housing Asset Bubble: a habit or subsistence utility function based investigation.- Nonlinear dynamics of stock markets during critical periods.- Probabilistic flows of inhabitants in urban areas and self-organization in housing markets.- Statistically significant fits of Hawkes processes to FX data.- Financial market reactions to exogenous shocks.- Testing Contagion in Financial Time Series.- Newton's Revenge: the Inverse Square Law of Price Fluctuations in the Bitcoin Market.- Wealth Exchange Models with preference in interaction.- Network Analysis of Crisis in the Global Financial Network.- Can selfish rational agents achieve co-operation?.- Patterns of development: Identifying critical factors behind urban growth in the Indian context.- Long-term evolution of the interaction structure in the New York Stock Exchange 1925-2012.- Judging the impact of 'Econophysics' through questionnaire.- Econophysics and Random Market analysis.