The Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium

Front Matter....Pages II-X
Front Matter....Pages 1-1
Economic Fluctuations and Statistical Physics: The Puzzle of Large Fluctuations....Pages 3-17
Triangular Arbitrage in the Foreign Exchange Market....Pages 18-23
Time-scale dependence of correlations among foreign currencies....Pages 24-29
Univariate and multivariate statistical aspects of equity volatility....Pages 30-42
Time dependent correlations and response in stock market data and models....Pages 43-50
Distributions and Long-Range Correlations in the Trading of US Stocks....Pages 51-57
Time Evolution of Fractal Structure by Price-Axis Scaling and Foreign Exchange Intervention Operations....Pages 58-63
Preliminary Study on the Fluctuations of Daily Returns in Stock Market Based on Phase Transition Theory....Pages 64-69
Physical Properties of the Korean Stock Market....Pages 70-77
Correlation coefficients between stocks and those distributions of returns in the Tokyo Stock Exchange....Pages 78-82
Epochs in Market Sector Index Data — Empirical or Optimistic?....Pages 83-89
Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous....Pages 91-102
Patterns of speculation in real estate and stocks....Pages 103-116
Generalized Technical Analysis. Effects of transaction volume and risk....Pages 117-124
Enhancement of the prediction of actual market prices by modifying the regularity structure of a signal....Pages 125-130
New complex approach to market price predictions....Pages 131-136
Inferring of Trade Direction by Imbalance from Intra-Day Data....Pages 137-139
Chaotic Structure in Intraday Data of JGB Futures Price....Pages 140-145
Trend identification and financial trading strategy by using stochastic trend model with Markov switching slope change and ARCH....Pages 146-149
Pairs-trading strategy: empirical analysis in Japanese stock market....Pages 150-153
Front Matter....Pages 1-1
Self-modulation processes in financial markets....Pages 155-160
Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach....Pages 161-168
First-Passage Problem in Foreign Exchange Rate....Pages 169-173
The Analysis of Financial Time Series Data by Independent Component Analysis....Pages 174-180
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market....Pages 182-191
Statistical Properties of Commodity Price Fluctuations....Pages 192-197
International trade: Do two poles attract each other?....Pages 198-203
Emergence of power-law behaviors in online auctions....Pages 204-209
Econophysics vs Cardiophysics: the Dual Face of Multifractality....Pages 210-215
If the World were a Village of 100 Traders....Pages 217-222
Market Simulation Displaying Multifractality....Pages 223-228
Random graph herding model....Pages 229-234
Multivariable Modeling on Complex Behavior of a Foreign Exchange Market....Pages 235-240
Gibbs measure and Markov chain modeling for stock markets....Pages 241-246
Front Matter....Pages 247-247
Entropy in the Economy....Pages 249-255
Investment strategy based on a company growth model....Pages 256-261
Growth and Fluctuations of Personal Income I....Pages 262-267
Growth and Fluctuations of Personal (and Company’s) Income II....Pages 268-273
A model of high income distribution....Pages 274-279
Ideal Gas-Like Distributions in Economics: Effects of Saving Propensity....Pages 280-285
Front Matter....Pages 247-247
Enterprise money system - an ultimate risk hedge....Pages 287-292
Visualization of business networks....Pages 293-298
Bankruptcy Prediction Using Decision Tree....Pages 299-302
Premium Forecasting of an Insurance Company....Pages 303-308
A View from an Economist on Econo-physics....Pages 310-315
A New Model of Labor Market Dynamics....Pages 316-321
Formulating Social Interactions in Utility Theory of Economics*....Pages 322-329
Collective Behaviour and Diversity in Economic Communities: Some Insights from an Evolutionary Game....Pages 330-337
A Complex Adaptive Model of Economic Production Networks....Pages 338-343