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"APFA5: Ties between Physics and Economics"
Europhysics News Vol. 38, Issue 3, Page 15 (2007)
download here the whole issue
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Topical Issue on "Applications of Physics in Financial Analysis"
Physica A Vol. 382, Issue 1, Pages 1-358 (1 August 2007)
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Where do we stand on econophysics ?
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A. Carbone, G. Kaniadakis and A.M. Scarfone
Abstract Full Text: [ PDF (116 KB) ] p. xi-xiv
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Detecting the traders' strategies in Minority-Majority games and real stock-prices.
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V. Alfi, A. De Martino, L. Pietronero, A. Tedeschi
Abstract Full Text: [ PDF (506 KB) ] p. 1
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Detrending Moving Average:a closed form approximation of the scaling law.
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S. Arianos, A. Carbone
Abstract Full Text: [ PDF (278 KB) ] p. 9
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Clusters or networks of economies? A macroeconomy study through Gross Domestic product fluctuations
correlations.
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M. Ausloos, R. Lambiotte
Abstract Full Text: [ PDF (410 KB) ] p. 16
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Bayesian networks for enterprise risk assessment.
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C.E. Bonafede, P. Giudici
Abstract Full Text: [ PDF (166 KB) ] p. 22
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The demise of constant price impact functions and single-time step models of speculation.
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D. Challet
Abstract Full Text: [ PDF (169 KB) ] p. 29
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Ideal-gas market models with savings:quenched and annealed cases.
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A. Chatterjee, B.K. Chakrabarti
Abstract Full Text: [ PDF (176 KB) ] p. 36
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A physical unit for value -- Econophysics as arbiter between finance and economics.
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S. Defilla
Abstract Full Text: [ PDF (194 KB) ] p. 42
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Contagion effects in a chartist-fundamentalist model with time delays.
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G. Dibeh
Abstract Full Text: [ PDF (185 KB) ] p. 52
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On the integrated behavior of non-stationary volatility in stock markets.
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A. Dionisio, R. Menezes, D.A. Mendes
Abstract Full Text: [ PDF (232 KB) ] p. 58
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The dynamics of traded value revisited.
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Z. Eisler, J. Kertesz
Abstract Full Text: [ PDF (286 KB) ] p. 66
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Asymmetric conditional volatility in international stock markets.
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N. Ferreira, R. Menezes, D.A. Mendes
Abstract Full Text: [ PDF (165 KB) ] p. 73
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A unified econophysics explanation for the power law exponents of stock market activity.
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X. Gabaix, P. Gopikrishnan, V. Plerou, H.E. Stanley
Abstract Full Text: [ PDF (185 KB) ] p. 81
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Reflections on modern macroeconomics: Can we travel along a safer road?.
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E. Gaffeo, M. Catalano, F. Clementi, D. Delli Gatti, M. Gallegati, A. Russo
Abstract Full Text: [ PDF (226 KB) ] p. 89
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Price forecast in the competitive electricity market by support vector machine.
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C. Gao, E.F. Bompard, R. Napoli, H. Cheng
Abstract Full Text: [ PDF (609 KB) ] p. 98
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Modeling long-range memory trading activity by stochastic differential equations.
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V. Gontis, B. Kaulakys
Abstract Full Text: [ PDF (315 KB) ] p. 114
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Non-parametric extraction of implied asset price distributions.
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J.V. Healy, M. Dixon, B.J. Read, F.F. Cai
Abstract Full Text: [ PDF (177 KB) ] p. 121
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Effective memory of the minority game.
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C.H. Hung, S.S. Liaw
Abstract Full Text: [ PDF (237 KB) ] p. 129
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Response of Firm Agent Network to Exogenous Shock.
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Y. Ikeda, H. Aoyama, H. Iyetomi, Y. Fujiwara, W. Souma, T.Kaizoji
Abstract Full Text: [ PDF (383 KB) ] p. 138
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Self-consistent asset pricing models.
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Y. Malevergne, D. Sornette
Abstract Full Text: [ PDF (651 KB) ] p. 149
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Stock price fluctuations and the mimetic behaviors of traders.
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J. Maskawa
Abstract Full Text: [ PDF (279 KB) ] p. 172
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Delayed information flow effect in economy systems. An ACP model study.
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J. Miskiewicz, M. Ausloos
Abstract Full Text: [ PDF (403 KB) ] p. 179
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Analysis of price diffusion in financial markets using PUCK model.
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T. Mizuno, H. Takayasu, and M. Takayasu
Abstract Full Text: [ PDF (184 KB) ] p. 187
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Medium and small scale analysis of financial data.
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A.P. Nawroth, J. Peinke
Abstract Full Text: [ PDF (264 KB) ] p. 193
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Topology of foreign exchange markets using hierarchical structure methods.
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M. J. Naylor, L. C. Rose, B. J. Moyle
Abstract Full Text: [ PDF (196 KB) ] p. 199
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Market efficiency in foreign exchange markets.
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G. Oh, S. Kim
Abstract Full Text: [ PDF (306 KB) ] p. 209
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Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model.
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J. Perello
Abstract Full Text: [ PDF (253 KB) ] p. 213
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Stylized facts in internal rates of return on stock index and its derivative transactions.
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L. Pichl, T. Kaizoji, T. Yamano
Abstract Full Text: [ PDF (850 KB) ] p. 219
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Geometry of financial markets -– Towards information theory model of markets.
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E. W. Piotrowski, J. Sladkowski
Abstract Full Text: [ PDF (177 KB) ] p. 228
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On the maximum drawdown during speculative bubbles.
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G. Rotundo, M. Navarra
Abstract Full Text: [ PDF (405 KB) ] p. 235
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Asset price dynamics in a financial market with heterogeneous trading strategies and time delays.
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A. Sansone, G. Garofalo
Abstract Full Text: [ PDF (515 KB) ] p. 247
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Frequency analysis of tick quotes on foreign exchange markets and agent-based model.
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A. H. Sato
Abstract Full Text: [ PDF (382 KB) ] p. 258
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A mechanism to derive multi-power law functions: an application in the econophysics framework.
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A.M. Scarfone
Abstract Full Text: [ PDF (334 KB) ] p. 271
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Stochastic volatility of financial markets as the fluctuating rate of trading: an empirical study.
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A. Christian Silva and Victor M. Yakovenko
Abstract Full Text: [ PDF (458 KB) ] p. 278
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Economic fluctuations and statistical physics: Quantifying extremely rare and less rare events in finance.
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H.E. Stanley, X. Gabaix, P. Gopikrishnan, V. Plerou
Abstract Full Text: [ PDF (326 KB) ] p. 286
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Periodic attractors of random truncator maps.
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T. Theodosopoulos, B. Boyer
Abstract Full Text: [ PDF (187 KB) ] p. 302
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Hitting time distributions in financial markets.
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D. Valenti, B. Spagnolo, G. Bonanno
Abstract Full Text: [ PDF (323 KB) ] p. 311
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Stochastic model for market stocks with strong resistances.
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J. Villarroel
Abstract Full Text: [ PDF (211 KB) ] p. 321
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Analysis of a Japan government intervention on the domestic agriculture market.
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N.K. Vitanov, K. Sakai, I.P. Jordanov, S. Managi, K. Demura
Abstract Full Text: [ PDF (223 KB) ] p. 330
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Extracting the exponential bevaviors in the market data.
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K. Watanabe, H. Takayasu, M.Takayasu
Abstract Full Text: [ PDF (238 KB) ] p. 336
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Characterization of foreign exchange market using the threshold-dealer model.
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K. Yamada, H. Takayasu, M.Takayasu
Abstract Full Text: [ PDF (238 KB) ] p. 340
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The matrix rate of return.
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A. Zambrzycka, E.W. Piotrowski
Abstract Full Text: [ PDF (151 KB) ] p. 347
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Topical Issue on "Physics in Society"
The European Physical Journal B Vol. 57, No. 2, Pages 121-224 (May II 2007)
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Tails and Ties.
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A. Carbone, G. Kaniadakis and A.M. Scarfone
Abstract Full Text: [ PDF (102.9 KB) ] p. 121
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A generalized preferential attachment model for business firms growth rates: I Empirical evidence.
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F. Pammolli, D. Fu, S. V. Buldyrev, M. Riccaboni, K. Matia, K. Yamasaki, H. E. Stanley
Abstract Full Text: [ PDF (237.2 KB) ] p. 127 |
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A generalized preferential attachment model for business firms growth rates: II Mathematical treatment.
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S. V. Buldyrev, F. Pammolli, M. Riccaboni, K. Yamasaki, D. Fu, K. Matia, H. E. Stanley
Abstract Full Text: [ PDF (293.6 KB) ] p. 131
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Cluster structure of EU-15 countries derived from the correlation matrix analysis of macroeconomic index.
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M. Gligor, M. Ausloos
Abstract Full Text: [ PDF (285.5 KB) ] p. 139
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Can a few fanatics influence the opinion of a large segment of a society?
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D. Stauffer, M. Sahimi
Abstract Full Text: [ PDF (223.4 KB) ] p. 147
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Fear and its implications for stock markets.
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I. Simonsen, P. T. Ahlgren, M. H. Jensen, R. Donangelo, K. Sneppen
Abstract Full Text: [ PDF (236.3 KB) ] p. 153
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Interplay between topology and dynamics in the World Trade Web.
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D. Garlaschelli, T. Di Matteo, T. Aste, G. Caldarelli, M.I. Loffredo
Abstract Full Text: [ PDF (299.9 KB) ] p. 159
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Transport of multiple users in complex networks.
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S. Carmi, Z. Wu, E. Lopez, S. Havlin, H.E. Stanley
Abstract Full Text: [ PDF (456.2 KB) ] p. 165
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Risk minimization through portfolio replication.
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S. Ciliberti, M. Mezard
Abstract Full Text: [ PDF (301.0 KB) ] p. 175
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Mean exit time and survival probability within the CTRW formalism.
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M. Montero, J. Masoliver
Abstract Full Text: [ PDF (178.9 KB) ] p. 181
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k-generalized statistics in personal income distribution.
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F. Clementi, M. Gallegati, G. Kaniadakis
Abstract Full Text: [ PDF (754.1 KB) ] p. 187
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Chaotic dynamics in optimal monetary policy.
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O. Gomes, V. M. Mendes, D.A. Mendes, J. Sousa Ramos
Abstract Full Text: [ PDF (7.625 KB) ] p. 195
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Kelly criterion revisited: optimal bets.
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E.W. Piotrowski, M. Schroeder
Abstract Full Text: [ PDF (175.3 KB) ] p. 201
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How do output growth rate distributions look like? Some cross-country evidence.
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G. Fagiolo, M. Napoletano, A. Roventini
Abstract Full Text: [ PDF (216.4 KB) ] p.205
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Stylized facts from a psychology-based agent model.
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R. Cross, M. Grinfeld, H. Lamba, T. Seaman
Abstract Full Text: [ PDF (279.4 KB) ] p. 213
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Many-agent models in economic and social sciences.
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M. Patriarca, A. Chakraborti, E. Heinsalu, G. Germano
Abstract Full Text: [ PDF (266.5 KB) ] p. 219
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