Empirical Science of Financial Fluctuations

Contents

Preface

Part 1. Empirical Facts of Financial Market Fluctuations:

1-1. Basic Market Statistics
- Quantifying Empirical Economic Fluctuations using the Organizing Principles of Scale Invariance and Universality
- Price Fluctuations and Market Activity
- Transaction Interval Analysis of High Resolution Foreign Exchange Data
1-2. Cross-Correlations
- Random Matrix Theory and Cross-Correlations of Stock Prices
- A Random Matrix Theory Approach to Quantifying Collective Behavior of Stock Price Fluctuations
- Dynamics of Correlations in the Stock Market
- False EUR Exchange Rates vs. DKK, CHF, JPY and USD
1-3. Market Anomalies
- Crashes: Symptoms, diagnoses and remedies
- Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crises
- A Mechanism of International Transmission of financial Crises
- High Frequency Data Analysis in an Emerging and in a Developed Market
- Measuring Long-Range Dependence in Electricity Prices

Part 2. Various Approaches to Financial Markets:

2-1. Agent-Based Modeling
- Micro-Simulations of Financial Markets and the Stylized Facts
- Statistical Property of Price Fluctuations in a Multi-Agent Model
- A Speculative Financial Market Model
- Spin-Grass Like Network Model for Stock Market
- Three Bodies Trading Model in Financial Markets and Its Numerical Simulation Methodology with Genetic Algorithms
- Deviation of ARCH(1) Process from Market Price Changes: Based on Feteministic Microscopic Multi-Agent
2-2. Stochastic Modeling
- A Simple Model of Volatility Fluctuations in Asset Markets - Self-Similarity of Price Fluctuations and Market Dynamics
- Survival Probability of LIFFE bond Futures via the Mittag-Leffler Function
- Why is Fat-Tailed?
- Market Price Simulator Based on Analog Electrical Circuit
- Simulation and Analysis of a Power Law Fluctuation Generator
- Deformation of Implied Volatility Surfaces: An Empirical Analysis
2-3. Prediction and Investment Strategy
- Predictability of Market Prices
- Time-Spaces Scaling of Financial Time Series
- Parameter Estimation of a Generalized Langevin Equation of Market Price
- Analysis of Stock Markets, Currency Exchanges and Tax Revenues
- Trading System Applied to Large Mutual Fund Company

Part 3. Other Topics:

3-1. Relation to Economic Theories
- Why Financial Markets Will Remain Marginally Inefficient
- The Law of Consumer Demand in Japan: A Macroscopic Microeconomic View
- A Functional-Analytic and Numerical-Analytic Approach to Nonlinear Economic Models Described by the Master Equation
3-2. Corporate and Individual Statistics
- Modelling the Growth Statistics of Economic Organizations
- Statistical Laws in the Income of Japanese Companies
- Empirical Identification of Competitive Strategies: Russian Bank System
- Pareto Las for Income of Individuals
- Physics of Personal Income.