New perspectives and challenges in econophysics and sociophysics. (2019)

• Record Type: Book
• Further Information: Note: Frédéric Abergel, Bikas K. Chakrabarti, Anirban Chakraborti, Nivedita Deo, Kiran Sharma, editors.
• Editors: Abergel, Frédéric; Chakrabarti, B. K (Bikas K.), 1952-; Chakraborti, Anirban; Deo, Nivedita; Sharma, Kiran
• Contents: Intro; 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 Identification 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 4 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 6 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 The 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
• Publisher Details: Cham, Switzerland : Springer
• Publication Date: 2019
• Extent: 1 online resource (x, 272 pages), illustrations (some color)
• Subjects: 332.01/5195; Economics -- Mathematical models; Finance -- Mathematical models; Statistical physics; Electronic books; Electronic books
• Languages: English
• ISBNs: 9783030113643; 3030113647
• Related ISBNs: 9783030113636; 3030113639
• Notes: Note: Includes bibliographical references.; Note: Online resource; title from PDF title page (SpringerLink, viewed April 11, 2019).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.