Econophysics Approaches to Large-Scale Business Data and Financial Crisis

In recent years, as part of the increasing informationization of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and laws akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled New Approaches to the Analysis of Large-Scale Business and E- nomic Data, held in Tokyo, March 15, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

As the conference was held half a year after the financial crisis of the Autumn of 2008, the papers include detailed reports on the market behaviors during the crisis, discussion on the mechanism of bubbles and crashes, and proposals for avoiding the next crisis Each paper starts from basic introduction and ends with cutting-edge research topics Researchers and students can acquire comprehensive knowledge with minimum time Includes supplementary material: sn.pub/extras

Autorentext

http://www.smp.dis.titech.ac.jp/en/index.php

http://www.ier.hit-u.ac.jp/English/faculty/watanabeT.html

http://www.sonycsl.co.jp/en/lab/frl/hideki-takayasu.html

Klappentext

In recent years, as part of the increasing informationization of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and laws akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled New Approaches to the Analysis of Large-Scale Business and E- nomic Data, held in Tokyo, March 1 5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology) Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Inhalt
Financial Market Properties.- Trend Switching Processes in Financial Markets.- Nonlinear Memory and Risk Estimation in Financial Records.- Microstructure and Execution Strategies in the Global Spot FX Market.- Temporal Structure of Volatility Fluctuations.- Theoretical Base of the PUCK-Model with Application to Foreign Exchange Markets.- Financial Crisis and Macroeconomics.- Financial Bubbles, Real Estate Bubbles, Derivative Bubbles, and the Financial and Economic Crisis.- Global and Local Approaches Describing Critical Phenomena on the Developing and Developed Financial Markets.- Root Causes of the Housing Bubble.- Reconstructing Macroeconomics Based on Statistical Physics.- How to Avoid Fragility of Financial Systems: Lessons from the Financial Crisis and St. Petersburg Paradox.- General Methods and Social Phenomena.- Data Centric Science for Information Society.- Symbolic Shadowing and the Computation of Entropy for Observed Time Series.- What Can Be Learned from Inverse Statistics?.- Communicability and Communities in Complex Socio-Economic Networks.- On World Religion Adherence Distribution Evolution.