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Minority Games
The Minority Game is a physicist's attempt to explain market behaviour by the interaction between traders. With a minimal set of ingredients and drastic assumptions, this model reproduces market ecology among different types of traders. Its emphasis is on speculative trading and information flow. The book first describes the philosophy lying behind the conception of the Minority Game in 1997, and includes in particular a discussion about the El Farol bar problem. It then reviews the main steps in later developments, including both the theory and its applications to market phenomena. 'Minority Games' gives a colourful and stylized, but also realistic picture of how financial markets operate.
Collectives and the Design of Complex Systems
Many complex systems found in nature can be viewed as function optimizers. In particular, they can be viewed as such optimizers of functions in extremely high dimensional spaces. Given the difficulty of performing such high-dimensional op timization with modern computers, there has been a lot of exploration of computa tional algorithms that try to emulate those naturally-occurring function optimizers. Examples include simulated annealing (SA [15,18]), genetic algorithms (GAs) and evolutionary computation [2,3,9,11,20-22,24,28]. The ultimate goal of this work is an algorithm that can, for any provided high-dimensional function, come close to extremizing that function. Particularly desirable would be such an algorithm that works in an adaptive and robust manner, without any explicit knowledge of the form of the function being optimized. In particular, such an algorithm could be used for distributed adaptive control---one of the most important tasks engineers will face in the future, when the systems they design will be massively distributed and horribly messy congeries ofcomputational systems.
Econophysics of Systemic Risk and Network Dynamics
The primary goal of the book is to present the ideas and research findings of active researchers such as physicists, economists, mathematicians and financial engineers working in the field of “Econophysics,” who have undertaken the task of modeling and analyzing systemic risk, network dynamics and other topics. Of primary interest in these studies is the aspect of systemic risk, which has long been identified as a potential scenario in which financial institutions trigger a dangerous contagion mechanism, spreading from the financial economy to the real economy. This type of risk, long confined to the monetary market, has spread considerably in the recent past, culminating in the subprime crisis of 2008. As such, understanding and controlling systemic risk has become an extremely important societal and economic challenge. The Econophys-Kolkata VI conference proceedings are dedicated to addressing a number of key issues involved. Several leading researchers in these fields report on their recent work and also review contemporary literature on the subject.
Market Microstructure
The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.
The Guidance of an Enterprise Economy
A rigorous theory of money, credit, and bankruptcy in the context of a mixed economy, uniting Walrasian general equilibrium with macroeconomic dynamics and Schumpeterian innovation. This book offers a rigorous study of control, guidance, and coordination problems of an enterprise economy, with attention to the roles of money and financial institutions. The approach is distinctive in drawing on game theory, methods of physics and experimental gaming, and, more generally, a broader evolutionary perspective from the biological and behavioral sciences. The proposed theory unites Walrasian general equilibrium with macroeconomic dynamics and Schumpeterian innovation utilizing strategic market game...
Econophysics and Sociophysics: Recent Progress and Future Directions
This book presents the proceedings from ECONOPHYS-2015, an international workshop held in New Delhi, India, on the interrelated fields of “econophysics” and “sociophysics”, which have emerged from the application of statistical physics to economics and sociology. Leading researchers from varied communities, including economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others, report on their recent work, discuss topical issues, and review the relevant contemporary literature. A society can be described as a group of people who inhabit the same geographical or social territory and are mutually involved through their shared participation in diff...
Econophysics
What is Econophysics The discipline of econophysics is an unconventional interdisciplinary research field that applies ideas and methods that were initially established by physicists in order to tackle difficulties in economics. These challenges typically involve uncertainty or stochastic processes and nonlinear dynamics. It has also been referred to as statistical finance, which is a phrase that refers to its roots in statistical physics. Some of its applications to the study of financial markets involve statistical finance. There is a strong connection between econophysics and social physics. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Econophy...
Complex Networks and Their Applications XI
This book highlights cutting-edge research in the field of network science, offering scientists, researchers, students, and practitioners a unique update on the latest advances in theory and a multitude of applications. It presents the peer-reviewed proceedings of the XI International Conference on Complex Networks and their Applications (COMPLEX NETWORKS 2022). The carefully selected papers cover a wide range of theoretical topics such as network models and measures; community structure, network dynamics; diffusion, epidemics, and spreading processes; resilience and control as well as all the main network applications, including social and political networks; networks in finance and economics; biological and neuroscience networks and technological networks.
