Econophysics Approaches to Large-Scale Business Data and Financial Crisis

320 Pages·2010·6 MB·English

by  Tobias Preis

Econophysics Approaches to Large-Scale
Business Data and Financial Crisis

Misako Takayasu (cid:129) Tsutomu Watanabe
Hideki Takayasu
Editors
Econophysics Approaches
to Large-Scale Business Data
and Financial Crisis
Proceedings of the Tokyo Tech–Hitotsubashi
Interdisciplinary Conference + APFA7
123
Editors
MisakoTakayasu HidekiTakayasu
AssociateProfessor SeniorResearcher
DepartmentofComputational FundamentalResearchGroup
IntelligenceandSystemsScience SonyComputerScienceLaboratories
InterdisciplinaryGraduateSchool 3-14-13Higashigotanda,Shinagawa-ku
ofScienceandEngineering Tokyo141-0022,Japan
TokyoInstituteofTechnology [email protected]
4259Nagatsuta,Midori-ku
Yokohama226-8502,Japan
[email protected]
TsutomuWatanabe
Professor
ResearchCenterforPriceDynamics
andInstituteofEconomicResearch
HitotsubashiUniversity
2-1Naka,Kunitachi
Tokyo186-8603,Japan
[email protected]
ISBN978-4-431-53852-3 e-ISBN978-4-431-53853-0
DOI10.1007/978-4-431-53853-0
SpringerTokyoDordrechtHeidelbergLondonNewYork
LibraryofCongressControlNumber:2010924624
(cid:2)c Springer2010
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Preface
In recent years, as part of the increasing “informationization”of industry and the
economy,enterpriseshavebeenaccumulatingvastamountsofdetaileddatasuchas
high-frequencytransactiondata in financialmarketsand point-of-saleinformation
onindividualitemsintheretailsector.Similarly,vastamountsofdataarenowavail-
ableonbusinessnetworksbasedoninterfirmtransactionsandshareholdings.Inthe
past,thesetypesofinformationwerestudiedonlybyeconomistsandmanagement
scholars. More recently, however, researchers from other fields, such as physics,
mathematics,andinformationsciences,havebecomeinterestedinthiskindofdata
and, based on novelempiricalapproachesto searchingfor regularitiesand “laws”
akintothoseinthenaturalsciences,haveproducedintriguingresults.
ThisbookistheproceedingsoftheinternationalconferenceTHICCAPFA7that
was titled “New Approaches to the Analysis of Large-Scale Business and Eco-
nomicData,”heldinTokyo,March1–5,2009.ThelettersTHICdenotetheTokyo
Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference.
Theconferenceseries,titledAPFA(ApplicationsofPhysicsinFinancialAnalysis),
focuses on the analysis of large-scale economic data. It has traditionally brought
physicistsandeconomiststogethertoexchangeviewpointsandexperience(APFA1
inDublin1999,APFA2inLie`ge2000,APFA3inLondon2001,APFA4inWarsaw
2003,APFA5inTorino2006,andAPFA6inLisbon2007).Theaimoftheconfer-
enceistoestablishfundamentalanalyticaltechniquesanddatacollectionmethods,
takingintoaccounttheresultsfromavarietyofacademicdisciplines.
Theworkshopwas supportedby theResearch Institute ofEconomy,Tradeand
Industry (RIETI); IAA; the Physical Society of Japan; the Japanese Economic
Association;theInformationProcessingSocietyofJapan;theJapaneseSocietyfor
ArtificialIntelligence;andtheJapanAssociationforEvolutionaryEconomics.We
would like to acknowledge the following companies for their financial support:
Monex Group, Inc.; Kao Corporation; Nikkei Digital Media, Inc.; Kakaku.com,
Inc.; ASTMAX Co., Ltd.; Sony Computer Science Laboratories, Inc.; and CMD
LaboratoryInc.
MisakoTakayasu
TsutomuWatanabe
HidekiTakayasu
Editors
v

Contents
Part1 FinancialMarketProperties
TrendSwitchingProcessesinFinancialMarkets............................... 3
TobiasPreisandH.EugeneStanley
NonlinearMemoryandRiskEstimationinFinancialRecords............... 27
ArminBundeandMikhailI.Bogachev
MicrostructureandExecutionStrategiesintheGlobalSpot
FXMarket .......................................................................... 49
AnatolyB.Schmidt
TemporalStructureofVolatilityFluctuations.................................. 65
FengzhongWang,KazukoYamasaki,H.EugeneStanley,
andShlomoHavlin
Theoretical Base of the PUCK-Model with Application
toForeignExchangeMarkets .................................................... 79
Misako Takayasu, Kota Watanabe, Takayuki Mizuno,
andHidekiTakayasu
Part2 FinancialCrisisandMacroeconomics
FinancialBubbles,RealEstateBubbles,DerivativeBubbles,
andtheFinancialandEconomicCrisis..........................................101
DidierSornetteandRyanWoodard
GlobalandLocalApproachesDescribingCriticalPhenomena
ontheDevelopingandDevelopedFinancialMarkets..........................149
DariuszGrech
RootCausesoftheHousingBubble..............................................173
TaiseiKaizoji
vii
viii Contents
ReconstructingMacroeconomicsBasedonStatisticalPhysics................183
MasanaoAokiandHiroshiYoshikawa
How to Avoid Fragility of Financial Systems: Lessons
fromtheFinancialCrisisandSt.PetersburgParadox.........................197
HidekiTakayasu
Part3 GeneralMethodsandSocialPhenomena
DataCentricScienceforInformationSociety ..................................211
GenshiroKitagawa
Symbolic Shadowing and the Computation of Entropy
forObservedTimeSeries .........................................................227
Diana A. Mendes, Vivaldo M. Mendes, Nuno Ferreira,
andRuiMenezes
WhatCanBeLearnedfromInverseStatistics? ................................247
PeterTokeHedenAhlgren,HenrikDahl,MogensHøghJensen,
andIngveSimonsen
Communicability and Communities in Complex
Socio-EconomicNetworks.........................................................271
ErnestoEstradaandNaomichiHatano
OnWorldReligionAdherenceDistributionEvolution ........................289
MarcelAusloosandFilippoPetroni
Index.................................................................................313
Contributors
PeterTokeHedenAhlgren NykreditAssetManagement,OttoMoenstedsPlads
9,1780Copenhagen,Denmark,[email protected]
MasanaoAoki DepartmentofEconomics,UniversityofCalifornia,403Hilgard
Avenue,LosAngeles,CA90095-1477,USA,[email protected]
MarcelAusloos GRAPES, Universite´ de Lie`ge,B5 Sart-Tilman,4000Lie`ge,
Belgium,[email protected]
Mikhail I. Bogachev Radio System Department, St. Petersburg State Elec-
trotechnicalUniversity,197376,St.Petersburg,Russia,mikhail.bogachev@physik.
uni-giessen.de
Armin Bunde Institut fu¨r TheoretischePhysik III, Justus-Liebig-Universita¨t
Giessen,35392Giessen,Germany,[email protected]
Henrik Dahl Nykredit Asset Management, Otto Mønsteds Plads9, 1780
Copenhagen,Denmark,[email protected]
Ernesto Estrada Department of Mathematics, Department of Physics and
Institute of ComplexSystems, Universityof Strathclyde,26 RichmondStreet,
GlasgowG11XQ,UK,[email protected]
NunoFerreira DepartmentofQuantitativeMethods,ISCTE-IULandUNIDE,
AvenidaForc¸asArmadas,1649-026Lisbon,Portugal,[email protected]
DariuszGrech InstituteofTheoreticalPhysics,UniversityofWrocław,50-204
Wrocław,Poland,[email protected]
NaomichiHatano InstituteofIndustrialScience,TheUniversityofTokyo,4-6-1
Komaba,Meguro-ku,Tokyo153-8505,Japan,[email protected]
ShlomoHavlin MinervaCenterandDepartmentofPhysics,Bar-IlanUniversity,
Ramat-Gan52900,Israel,[email protected]
MogensHøghJensen NielsBohrInstitute,Blegdamsvej17,2100Copenhagen,
Denmark,[email protected]
TaiseiKaizoji InternationalChristianUniversity,3-10-2Osawa,Mitaka,Tokyo
181-8585,Japan,[email protected]
ix