New perspectives and challenges in econophysics and sociophysics / Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Nivedita Deo, Kiran Sharma, editors.
This book presents results on the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology. Economic and financial markets appear to be in a permanent state of flux. B...
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Full Text (via Springer) |
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| Other Authors: | , , , , |
| Format: | eBook |
| Language: | English |
| Published: |
Cham, Switzerland :
Springer,
2019.
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| Series: | New economic windows.
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| Subjects: |
Table of Contents:
- Intro; Preface; Contents; Part I Econophysics; 1 Strategic Behaviour and Indicative Price Diffusion in Paris Stock Exchange Auctions; Introduction; Auctions, Data and Notations; From Collisions in Event Time to Diffusion in Physical Time; Event Rates; Activity Acceleration; Typical Price Change; Diffusive Properties of Indicative Prices; Discussion; References; 2 Complex Market Dynamics in the Light of Random Matrix Theory; Introduction; Data Description, Methodology and Results; Data Description; Methodology and Results; Recent Applications of RMT in Financial Markets.
- Identification of Market States and Long-Term Precursors to a Crash StateCharacterization of Catastrophic Instabilities; Concluding Remarks; References; 3 A Few Simulation Results of Basic Models of Limit Order Books; General Framework; Dynamics of the Limit Order Book; Common Notations; Models; Model 1-Poisson Processes; Model 2-Hawkes Processes; Model 3-Point Processes with Cox-Type State-Dependent Intensities; Models Estimation; Likelihood Analysis of the Intensity Process; Estimation of Other Distributions; Simulation Results; Further Improvements; References.
- 4 Optimizing Execution Cost Using Stochastic ControlIntroduction; Problem Formulation; Defining Cost-Efficient Execution Strategy; Reduction to Finite Horizon Problem for Integral States; Optimal Investment Strategy for Instantaneous Stock Execution; Allocation Policy for Fiscal Cost Function; Allocation Policy for Constrained Cost Function; Conclusion; References; 5 Hierarchical Financial Structures with Money Cascade; Introduction; Equilibrium Model; Multiscale Model of Turbulence; A Model of Hierarchical Financial Entities; Discussions and Conclusion; References.
- 6 Effect of Tobin Tax on Trading Decisions in an Experimental Minority GameIntroduction; The Economics and Econophysics of Tobin Tax; Experimental Minority Game; The Tobin Tax Minority Game Experiment; Results; Trading Choice; Excess Demand; Volatility; Conclusion and Future Work; References; 7 Migration Network of the European Union: Quantifying the Effects of Linguistic Frictions; Introduction; A Structural Model of Migration Network (Chakrabarti and Sengupta, 2017); Households' Problem; Production Process; Equilibrium; Simulating the Migration Network; Calibration Exercise.
- The Migration Network of EuropeEuropean Immobility Puzzle; Distances in Institution and Culture; Explaining the Missing Flow: Effects of Institutional Factors; Summary and Conclusion; Appendix; Sources of Data; Frictional Variables and Additional Plots; References; 8 Interdependence, Vulnerability and Contagion in Financial and Economic Networks; Introduction; The Global Financial and Economic System; Interconnectedness Across Scales; Correlation and Communities of Global Financial Markets; Shared Portfolios and Lending Relationships; Systemic Risk and Shock Propagation.