Lavoisier S.A.S.
14 rue de Provigny
94236 Cachan cedex
FRANCE

Heures d'ouverture 08h30-12h30/13h30-17h30
Tél.: +33 (0)1 47 40 67 00
Fax: +33 (0)1 47 40 67 02


Url canonique : www.lavoisier.fr/livre/autre/econophysics-and-data-driven-modelling-of-market-dynamics/abergel/descriptif_3049318
Url courte ou permalien : www.lavoisier.fr/livre/notice.asp?ouvrage=3049318

0 article 

 Frais de port 0,01€*

Exclusivité web : à partir de 35 euros d’achat, frais de port à 1 centime pour les expéditions vers la France métropolitaine, la Suisse et l’UE avec Colissimo ou GLS

Econophysics and Data Driven Modelling of Market Dynamics, Softcover reprint of the original 1st ed. 2015 New Economic Windows Series

Langue : Anglais

Coordonnateurs : Abergel Frédéric, Aoyama Hideaki, Chakrabarti Bikas K., Chakraborti Anirban, Ghosh Asim

Couverture de l’ouvrage Econophysics and Data Driven Modelling of Market Dynamics
This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature.
How to measure lead-lag relationships from high frequency data?.- Correlation and Interdependencies in coupled financial networks.- The Asian Economic Observatory Network (AEON) Proposal on Data-Driven Agent-Based Modeling of the Asian Economies.- On the nature of inequalities from socio-economic data.- Inequality in Societies, Academic Institutions and Science Journals: Gini and k-indices.- Relation between Total Factor Productivity and Patents of Firms.- Financial Distress Propagation in Japanese Credit Network.- Agent Based modelling of Housing Asset Bubble: a habit or subsistence utility function based investigation.- Nonlinear dynamics of stock markets during critical periods.- Probabilistic flows of inhabitants in urban areas and self-organization in housing markets.- Statistically significant fits of Hawkes processes to FX data.- Financial market reactions to exogenous shocks.- Testing Contagion in Financial Time Series.- Newton's Revenge: the Inverse Square Law of Price Fluctuations in the Bitcoin Market.- Wealth Exchange Models with preference in interaction.- Network Analysis of Crisis in the Global Financial Network.- Can selfish rational agents achieve co-operation?.- Patterns of development: Identifying critical factors behind urban growth in the Indian context.- Long-term evolution of the interaction structure in the New York Stock Exchange 1925-2012.- Judging the impact of 'Econophysics' through questionnaire.- Econophysics and Random Market analysis.

Frédéric Abergel is Professor and Director of the Laboratory of Mathematics Applied to Systems and Director, BNP Paribas Chair of Quantitative Finance, École Centrale Paris, France. His research interests are financial markets, modelling of derivatives, and empirical properties of financial data. Since 2008 Professor Abergel has been a member of the organizing and scientific committees of the annual Financial Risks International Forum, Paris and he is also organizer of the annual econophysics conference EP-KOL, Kolkata. He is managing editor of the journal Quantitative Finance.

Hideaki Aoyama is a Professor in the Department of Physics, Graduate School of Science, Kyoto University, Japan. His research interests are theoretical physics, high-energy physics, mathematical physics, and econophysics. He is a Lifetime Member of both the American Physical Society and Sigma Xi, The Scientific Research Society. Professor Aoyama is Scientific Chief Advisor to Credit Risk Database (Tokyo) and Principal Advisor on Physical Science to the Renewable Energy Foundation (London). His previous books include Econophysics and Companies – Statistical Life and Death in Complex Business Networks (Cambridge University Press).

Bikas K. Chakrabarti is Senior Professor of Physics at the Saha Institute of Nuclear Physics, Kolkata, India and Visiting Professor of Economics, Indian Statistical Institute, Kolkata, India. Professor Chakrabarti is an elected Fellow of the Indian Academy of Sciences and the Indian National Science Academy and in 1997 received the Shanti Swarup Bhatnagar Prize from the CSIR (Council of Scientific and Industrial Research). His research interests include condensed matter physics, statistical physics, and computational physics and he is the author of more than 150 papers in refereed journals and co-author of two books.

Anirban Chakraborti is Professor in the School of Computational and Integrative Sciences, Jawaharlal Nehru University, New Delhi, I

Presents reports on recent research and reviews of contemporary developments in Econophysics

Includes comments and debates on the latest issues

Written by leading scientists from all over the world

Includes supplementary material: sn.pub/extras

Date de parution :

Ouvrage de 353 p.

15.5x23.5 cm

Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).

Prix indicatif 52,74 €

Ajouter au panier

Date de parution :

Ouvrage de 353 p.

15.5x23.5 cm

Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).

Prix indicatif 52,74 €

Ajouter au panier