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000868038 019__ $$a1096352593$$a1096531670$$a1099758763
000868038 020__ $$a9783030113643$$q(electronic book)
000868038 020__ $$a3030113647$$q(electronic book)
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000868038 0247_ $$a10.1007/978-3-030-11364-3$$2doi
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000868038 049__ $$aISEA
000868038 050_4 $$aHB135
000868038 08204 $$a332.01/5195$$223
000868038 24500 $$aNew perspectives and challenges in econophysics and sociophysics /$$cFrédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Nivedita Deo, Kiran Sharma, editors.
000868038 264_1 $$aCham, Switzerland :$$bSpringer,$$c2019.
000868038 300__ $$a1 online resource (x, 272 pages) :$$billustrations
000868038 336__ $$atext$$btxt$$2rdacontent
000868038 337__ $$acomputer$$bc$$2rdamedia
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000868038 4901_ $$aNew economic windows,$$x2039-411X
000868038 504__ $$aIncludes bibliographical references.
000868038 5050_ $$aIntro; Preface; Contents; Part I Econophysics; 1 Strategic Behaviour and Indicative Price Diffusion in Paris Stock Exchange Auctions; Introduction; Auctions, Data and Notations; From Collisions in Event Time to Diffusion in Physical Time; Event Rates; Activity Acceleration; Typical Price Change; Diffusive Properties of Indicative Prices; Discussion; References; 2 Complex Market Dynamics in the Light of Random Matrix Theory; Introduction; Data Description, Methodology and Results; Data Description; Methodology and Results; Recent Applications of RMT in Financial Markets
000868038 5058_ $$aIdentification of Market States and Long-Term Precursors to a Crash StateCharacterization of Catastrophic Instabilities; Concluding Remarks; References; 3 A Few Simulation Results of Basic Models of Limit Order Books; General Framework; Dynamics of the Limit Order Book; Common Notations; Models; Model 1-Poisson Processes; Model 2-Hawkes Processes; Model 3-Point Processes with Cox-Type State-Dependent Intensities; Models Estimation; Likelihood Analysis of the Intensity Process; Estimation of Other Distributions; Simulation Results; Further Improvements; References
000868038 5058_ $$a4 Optimizing Execution Cost Using Stochastic ControlIntroduction; Problem Formulation; Defining Cost-Efficient Execution Strategy; Reduction to Finite Horizon Problem for Integral States; Optimal Investment Strategy for Instantaneous Stock Execution; Allocation Policy for Fiscal Cost Function; Allocation Policy for Constrained Cost Function; Conclusion; References; 5 Hierarchical Financial Structures with Money Cascade; Introduction; Equilibrium Model; Multiscale Model of Turbulence; A Model of Hierarchical Financial Entities; Discussions and Conclusion; References
000868038 5058_ $$a6 Effect of Tobin Tax on Trading Decisions in an Experimental Minority GameIntroduction; The Economics and Econophysics of Tobin Tax; Experimental Minority Game; The Tobin Tax Minority Game Experiment; Results; Trading Choice; Excess Demand; Volatility; Conclusion and Future Work; References; 7 Migration Network of the European Union: Quantifying the Effects of Linguistic Frictions; Introduction; A Structural Model of Migration Network (Chakrabarti and Sengupta, 2017); Households' Problem; Production Process; Equilibrium; Simulating the Migration Network; Calibration Exercise
000868038 5058_ $$aThe Migration Network of EuropeEuropean Immobility Puzzle; Distances in Institution and Culture; Explaining the Missing Flow: Effects of Institutional Factors; Summary and Conclusion; Appendix; Sources of Data; Frictional Variables and Additional Plots; References; 8 Interdependence, Vulnerability and Contagion in Financial and Economic Networks; Introduction; The Global Financial and Economic System; Interconnectedness Across Scales; Correlation and Communities of Global Financial Markets; Shared Portfolios and Lending Relationships; Systemic Risk and Shock Propagation
000868038 506__ $$aAccess limited to authorized users.
000868038 520__ $$aThis book presents results on the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology. Economic and financial markets appear to be in a permanent state of flux. Billions of agents interact with each other, giving rise to complex dynamics of economic quantities at the micro and macro levels. With the availability of huge data sets, researchers can address questions at a much more granular level than was previously possible. Fundamental questions regarding the aggregation of actions and information and the coordination, complexity, and evolution of economic and financial networks are currently receiving much attention in the econophysics research agenda. In parallel, the sociophysics literature has focused on large-scale social data and their interrelations. In this book, leading researchers from different communities - economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others - report on their recent work and their analyses of economic and social behavior. 
000868038 588__ $$aOnline resource; title from PDF title page (SpringerLink, viewed April 11, 2019).
000868038 650_0 $$aEconomics$$xMathematical models.
000868038 650_0 $$aFinance$$xMathematical models.
000868038 650_0 $$aStatistical physics.
000868038 7001_ $$aAbergel, Frédéric,$$eeditor.
000868038 7001_ $$aChakrabarti, B. K.$$q(Bikas K.),$$d1952-$$eeditor.
000868038 7001_ $$aChakraborti, Anirban,$$eeditor.
000868038 7001_ $$aDeo, Nivedita,$$eeditor.
000868038 7001_ $$aSharma, Kiran,$$eeditor.
000868038 77608 $$iPrint version:$$z3030113639$$z9783030113636$$w(OCoLC)1078728809
000868038 830_0 $$aNew economic windows.
000868038 852__ $$bebk
000868038 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-030-11364-3$$zOnline Access$$91397441.1
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