Practical Fruits of Econophysics: Proceedings of the Third Nikkei Econophysics Symposium (Hardcover, 2006)

1. Market's Basic Properties Correlated Randomeness: Rare and Not-so-rare Events in Finance Non-trivial scaling of fluctuations in the trading activity of NYSE Dynamics and predictability of fluctuations in dollar-yen exchange rates Temporal characteristics of moving average of foreign exchange markets Characteristic market behaviors caused by intervention in a foreign exchange market Apples and Oranges: the difference between the Reaction of the Emerging and Mature Markets to Crashes Scaling and Memory in Return Loss Intervals: Application to Risk Estimation Recurrence analysis near the NASDAQ crash of April 2000 Modeling a foreign exchange rate using moving average of Yen-Dollar market data Systematic tuning of optimal weighted-moving-average of yen-dollar market data Power law and its transition in the slow convergence to a Gaussian in the S&P500 index Empirical study of the market impact in the Tokyo Stock Exchange Econophysics to unravel the hidden dynamics of commodity markets A characteristic time scale of tick quotes on foreign currency markets 2. Predictability of Markets Order book dynamics and price impact Prediction oriented variant of financial log-periodicity and speculating about the stock market development until 2010 Quantitative Forecasting and Modeling Stock Price Fluctuations Time series of stock price and of two fractal overlaps: Anticipating market crashes ? Short Time Segment Price Forecasts Using Spline Fit Interactions Successful Price Cycle Forecasts for S&P Futures Using TF3 - a Pattern Recognition Algorithms Based on the KNN Method The Hurst's exponent in technical analysis signals Financial Markets Dynamic Distribution Function, Predictability and Investment Decision-Making (FMDDF) Market Cycle Turning Point Forecasts by a Two-Parameter Learning Algorithm as a Trading Tool for S&P Futures 3. Mathematical models The CTRWs in finance: the mean exit time Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in highfrequency financial time-series Evidence for Superdiffusion and "Momentum" in Stock Price Changes Beyond the Third Dimension: Searching for the Price Equation An agent-based model of financial returns in a limit order market Stock price process and the long-range percolation What information is hidden in chaotic time series? Analysis of Evolution of Stock Prices in Terms of Oscillation Theory Simple stochastic modeling for fat tails in financial markets Agent Based Simulation Design Principles ? Applications to Stock Market Heterogeneous agents model for stock market dynamics: role of market leaders and fundamental prices Dynamics of Interacting Strategies Emergence of two-phase behavior in markets through interaction and learning in agents with bounded rationality Explanation of binarized tick data using investor sentiment and genetic learning A Game-theoretic Stochastic Agents Model for Enterprise Risk Management 4. Correlation and Risk Management Blackouts, risk, and fat-tailed distributions Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure Application of PCA and Random Matrix Theory to Passive Fund Management Testing Methods to Reduce Noise in Financial Correlation Matrices Application of noise level estimation for portfolio optimization Method of Analyzing Weather Derivatives Based on Long-range Weather Forecasts Investment horizons : A time-dependent measure of asset performance Clustering financial time series Risk portofolio management under Zipf analysis based strategies Macro-players in stock markets Conservative Estimation of Default Rate Correlations Are Firm Growth Rates Random? Evidence from Japanese Small Firms Trading Volume and Information Dynamics of Financial Markets Random Matrix Theory Applied to Portfolio Optimization in Japanese Stock Market Growth and Fluctuations for Small-Business Firms 5. Networks