From the contents:
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 ...
EAN/ISBN : 9784431289159
Publisher(s): Springer, Berlin, Springer Japan
Format: ePub/PDF

Author(s): Takayasu, Hideki