Empirical Science of Financial Fluctuations

The Advent of Econophysics

  • Hideki Takayasu
Conference proceedings

Table of contents

  1. Front Matter
    Pages ii-x
  2. Empirical Facts of Financial Market Fluctuations

    1. Front Matter
      Pages 1-1
    2. Basic Market Statistics

      1. H. Eugene Stanley, Luis A. Nunes Amaral, Parameswaran Gopikrishnan, Vasiliki Plerou, Bernd Rosenow
        Pages 3-11
      2. P. Gopikrishnan, V. Plerou, X. Gabaix, L. A. N. Amaral, H. E. Stanley
        Pages 12-17
      3. Misako Takayasu, Hideki Takayasu, Mitsuhiro P. Okazaki
        Pages 18-25
    3. Cross-Correlations

      1. B. Rosenow, P. Gopikrishnan, V. Plerou, H. E. Stanley
        Pages 27-34
      2. V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral, H. E. Stanley
        Pages 35-40
      3. S. Drożdż, F. Grümmer, F. Ruf, J. Speth
        Pages 41-50
      4. Kristinka Ivanova, Marcel Ausloos
        Pages 51-60
    4. Market Anomalies

      1. Marcel Ausloos, Kristinka Ivanova, Nicolas Vandewalle
        Pages 62-76
      2. Fabrizio Lillo, Giovanni Bonanno, Rosario N. Mantegna
        Pages 77-89
      3. Zoltán Palágyi, Gábor Kőrösi, Rosario N. Mantegna
        Pages 102-109
  3. Various Approaches to Financial Markets

    1. Front Matter
      Pages 121-121
    2. Agent-Based Modeling

    3. Stochastic Modeling

      1. Yoshi Fujiwara, Hirokazu Fujisaka
        Pages 186-194
      2. Francesco Mainardi, Marco Raberto, Enrico Scalas, Rudolf Gorenflo
        Pages 195-206
      3. Kocho Kubota
        Pages 207-213
      4. Aki-Hiro Sato, Hideki Takayasu
        Pages 214-221
      5. H. Fanchiotti, C. A. García Canal, N. Martínez
        Pages 222-229
      6. Rama Cont, José da Fonseca
        Pages 230-239
    4. Prediction and Investment Strategy

      1. M. Tribelsky, Y. Harada, N. Makarenko, Y. Kuandykov
        Pages 241-249
      2. Yoshiaki Kumagai
        Pages 250-259
      3. Min G. Lee, Akihiko Oba, Hideki Takayasu
        Pages 260-270
      4. H. Fanchiotti, C. A. García Canal, H. García Zúñiga
        Pages 271-274
  4. Other Topics

    1. Front Matter
      Pages 287-287
    2. Relation to Economic Theories

    3. Corporate and Individual Statistics

      1. L. A. N. Amaral, P. Gopikrishnan, V. Plerou, H. E. Stanley
        Pages 313-320
      2. Takayuki Mizuno, Makoto Katori, Hideki Takayasu, Misako Takayasu
        Pages 321-330
      3. Valerian V. Popkov, Dmitri B. Berg
        Pages 331-340
      4. Hideaki Aoyama
        Pages 341-342
      5. Wataru Souma
        Pages 343-352

About these proceedings


Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.


Enconophysics Investment agent-based modeling calculus data analysis dynamics finance financial markets futures microeconomics modeling probability risk management statistical physics volatility

Editors and affiliations

  • Hideki Takayasu
    • 1
  1. 1.Sony Computer Science Laboratories, Inc.Shinagawa-ku, TokyoJapan

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Tokyo 2002
  • Publisher Name Springer, Tokyo
  • eBook Packages Springer Book Archive
  • Print ISBN 978-4-431-66995-1
  • Online ISBN 978-4-431-66993-7
  • Buy this book on publisher's site