By Taisei Kaizoji (auth.), Arnab Chatterjee, Bikas K Chakrabarti (eds.)
This ebook studies the most recent econophysics researches at the fluctuations in inventory, currency and different markets. The statistical modeling of markets, utilizing numerous agent-based online game theoretical ways, and their scaling research were discussed.
The best researchers in those fields have pronounced on their contemporary paintings and in addition reviewed the modern literature. a few ancient views in addition to a few reviews and debates on fresh matters in econophysics examine have additionally been included.
Read Online or Download Econophysics of Stock and other Markets: Proceedings of the Econophys-Kolkata II PDF
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Additional resources for Econophysics of Stock and other Markets: Proceedings of the Econophys-Kolkata II
Example text
First, it attempts to understand quantitatively the closely related aspects of volatility such as synchronization and participation of stocks in the market using the random matrix technique and second, to show that this technique may be used to set up a quantity which possesses a strong predictive power for the volatility of the market. 36 V. Kulkarni and N. Deo We start with a brief empirical analysis of the BSE index and show the volatility pattern. The next section deals with the random matrix approach and the financial correlation matrix.
Binning this data appropriately we can obtain the probability density function, and by integrating it over a suitable range, the cumulative distribution function (CDF), which is essentially the probability that a return is larger than a given value. Fig. 1 shows the CDF for daily price returns for the same stock in BSE (left) and NSE (right). Note that, we have shown the tails for the positive and negative returns in the same figure. The distribution for the two exchanges are almost identical, and both show long tails consistent with a power law decay.
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