By Arnab Chatterjee, Bikas K. Chakrabarti
This ebook experiences the most recent econophysics researches at the fluctuations in inventory, foreign money and different markets. The statistical modeling of markets, utilizing numerous agent-based video game theoretical techniques, and their scaling research were discussed.
The best researchers in those fields have stated on their fresh paintings and likewise reviewed the modern literature. a few historic views in addition to a few reviews and debates on fresh concerns in econophysics study have additionally been included.
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Extra info for Econophysics of Stock and other Markets
Example text
The central vertex is considered to be the parent of all other nodes in the tree, and is also known as the root of the tree. It is used as the reference point in the tree, against which the locations of all other nodes are relative. Thus all other nodes in the tree are children of the central vertex. Although there is an arbitrariness in the choice of the central vertex, we propose that it is central, in the sense that any change in its price strongly affects the course of events in the market on the whole.
30 Sitabhra Sinha and Raj Kumar Pan composite of several stocks, this behavior can be understood as a consequence of the power law decay for the tails of individual stock price returns, provided the movement of these stocks are correlated. As is evident from Fig 4 (right), this condition is indeed satisfied in the Indian market. In a later section we provide a more detailed look into the cross-correlation structure of these price fluctuations. These findings assume importance in view of the recent claims that emerging markets behave very differently from developed markets, in particular, exhibiting an exponentially decaying return distribution [7].
For this purpose, the average magnitude of correlations of prices of every stock m with all stocks n = 1, 2, · · · , N is < |C| >m for m = 1, 2, · · · , N is varied with the corresponding components of U 70 (deviating) and U 2 (lying within the bulk). While we find a strong linear positive relationship (shown in Figure 10) between the two at all times for the U 70 , the eigenvector belonging to the RMT range (Figure 11) shows almost zero dependence. In this final sub-section we make use of this dependence to set up a Variability Index, which is strongly correlated with the variability of BSE index.