Econophysics Approaches to Large-Scale Business Data and Financial Crisis: Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7
In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ‘ 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.
1111329730
Econophysics Approaches to Large-Scale Business Data and Financial Crisis: Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7
In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ‘ 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.
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Econophysics Approaches to Large-Scale Business Data and Financial Crisis: Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7

Econophysics Approaches to Large-Scale Business Data and Financial Crisis: Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7

Econophysics Approaches to Large-Scale Business Data and Financial Crisis: Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7

Econophysics Approaches to Large-Scale Business Data and Financial Crisis: Proceedings of Tokyo Tech-Hitotsubashi Interdisciplinary Conference + APFA7

Overview

In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ‘ 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Product Details

ISBN-13: 9784431538523
Publisher: Springer Japan
Publication date: 07/07/2010
Edition description: 2010
Pages: 315
Product dimensions: 6.20(w) x 9.30(h) x 0.90(d)

About the Author

http://www.smp.dis.titech.ac.jp/en/index.php

http://www.ier.hit-u.ac.jp/English/faculty/watanabeT.html

http://www.sonycsl.co.jp/en/lab/frl/hideki-takayasu.html

Table of Contents

Part 1 Financial Market Properties

Trend Switching Processes in Financial Markets Tobias Preis H. Eugene Stanley 3

Nonlinear Memory and Risk Estimation in Financial Records Armin Bunde Mikhail I. Bogachev 27

Microstructure and Execution Strategies in the Global Spot FX Market Anatoly B. Schmidt 49

Temporal Structure of Volatility Fluctuations Fengzhong Wang Kazuko Yamasaki H. Eugene Stanley Shlomo Havlin 65

Theoretical Base of the PUCK-Model with Application to Foreign Exchange Markets Misako Takayasu Kota Watanabe Takayuki Mizuno Hideki Takayasu 79

Part 2 Financial Crisis and Macroeconomics

Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis Didier Sornette Ryan Woodard 101

Global and Local Approaches Describing Critical Phenomena on the Developing and Developed Financial Markets Dariusz Grech 149

Root Causes of the Housing Bubble Taisei Kaizoji 173

Reconstructing Macroeconomics Based on Statistical Physics Masanao Aoki Hiroshi Yoshikawa 183

How to Avoid Fragility of Financial Systems: Lessons from the Financial Crisis and St. Petersburg Paradox Hideki Takayasu 197

Part 3 General Methods and Social Phenomena

Data Centric Science for Information Society Genshiro Kitagawa 211

Symbolic Shadowing and the Computation of Entropy for Observed Time Series Diana A. Mendes Vivaldo M. Mendes Nuno Ferreira Rui Menezes 227

What Can Be Learned from Inverse Statistics? Peter Toke Heden Ahlgren Henrik Dahl Mogens Høgh Jensen Ingve Simonsen 247

Communicability and Communities in Complex Socio-Economic Networks Ernesto Estrada Naomichi Hatano 271

On World Religion Adherence Distribution Evolution Marcel Ausloos Filippo Petroni 289

Index 313

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