Empirical Science of Financial Fluctuations: The Advent of Econophysics [Paperback]

Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.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.- 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. What is a strong currency?.- Crashes : Symptoms, Diagnoses and Remedies.- Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis.- A Mechanism of International Transmission of Financial Crises.- High Frequency Data Analysis in an Emerging and a Developed Market.- Measuring Long-Range Dependence in Electricity Prices.- Micro-Simulations of Financial Markets and the Stylized Facts.- Statistical Property of Price Fluctuations in a Multi-Agent Model and the Currency Exchange Market.- A Speculative Financial Market ModellƒJ