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雷达卡
by Frédéric Abergel (Editor), Bikas K. Chakrabarti (Editor), Anirban Chakraborti (Editor), Nivedita Deo (Editor), Kiran Sharma (Editor)
About the Author
Frédéric Abergel is Director of the Laboratory of Mathematics Applied to Systems, école Centrale Paris, France, where he holds the BNP Paribas Chair of Quantitative Finance. His previous posts include head of the equity, commodity, and hybrid quantitative analytics group at Natixis and head of the Paris quantitative analytics group for Barclays Capital. His research interests are financial markets, modeling of derivatives, and the empirical properties of financial data. He is Managing Editor of the journal Quantitative Finance and is the author of many publications.
Bikas K. Chakrabarti is Professor of Physics at the Saha Institute of Nuclear Physics, Kolkata, India. He is responsible for major achievements in the fields of quantum annealing and analog quantum computation, statistical physics of fracture and breakdown, and statistical physics of social sciences. Professor Chakrabarti is Executive Editor (region: India) for the European Physical Journal B and an editorial board member for various other journals. He has authored or co-authored ten books and more than 180 papers in refereed journals.
Anirban Chakraborti is Professor in the School of Computational and Integrative Sciences at Jawaharlal Nehru University (JNU), New Delhi, India. He is Coordinator of the Mathematical and Computational Empowerment Cell at JNU and a Consultant for TCS Innovation Labs, Delhi. His research interests include econophysics and sociophysics, complex systems, computational finance, statistical physics, and nanosciences. He is an editorial board member for the series Physics of Society: Econophysics and Sociophysics (Cambridge University Press) and the journal Complexity Economics.
Nivedita Deo is Professor in the Department of Physics and Astrophysics at the University of Delhi, India. In addition to the University of Delhi, she has taught at Mount Holyoke College, Tufts University, and Purdue University in the United States. She was also a Visiting Professor to the Santa Fe Institute in 1999–2000. Among her research interests are the statistical mechanics of superstrings, quantum chaos, physics of nanostructures, and applications of statistical physics to economics and finance.
Kiran Sharma is a Senior Research Fellow at the School of Computational and Integrative Sciences (SCIS), Jawaharlal Nehru University, New Delhi, India. Her research focuses on the analysis and modeling of socioeconomic complex systems and computational finance, which includes data analyses, mathematical modeling, and development of visualization tools in studies of financial time series, language spreading, scientific collaborations, EEG signal analysis, etc.
About this book
This book presents 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.
Brief contents
Part I. Econophysics
1. Strategic Behaviour and Indicative Price Diffusion in Paris Stock Exchange Auctions
2. Complex Market Dynamics in the Light of Random Matrix Theory
3. A Few Simulation Results of Basic Models of Limit Order Books
4. Optimizing Execution Cost Using Stochastic Control
5. Hierarchical Financial Structures with Money Cascade
6. Effect of Tobin Tax on Trading Decisions in an Experimental Minority Game
7. Migration Network of the European Union: Quantifying the Effects of Linguistic Frictions
8. Interdependence, Vulnerability and Contagion in Financial and Economic Networks
9. Multi-layered Network Structure: Relationship Between Financial and Macroeconomic Dynamics
10. Evolution and Dynamics of the Currency Network
11. Some Statistical Problems with High Dimensional Financial data
12. Modeling Nelson–Siegel Yield Curve Using Bayesian Approach
13. Pareto Efficiency, Inequality and Distribution Neutral Fiscal Policy—An Overview
14. Tracking Efficiency of the Indian Iron and Steel Industry
Part II. Sociophysics
15. Social Integration in a Diverse Society: Social Complexity Models of the Link Between Segregation and Opinion Polarization
16. Competitive Novel Dual Rumour Diffusion Model
17. Dynamical Evolution of Anti-social Phenomena: A Data Science Approach
Part III. Miscellaneous
18. International Center for Social Complexity, Econophysics and Sociophysics Studies: A Proposal
Series: New Economic Windows
Pages: 272
Publisher: Springer; 1st ed. 2019 edition (May 15, 2019)
Language: English
ISBN-10: 3030113639
ISBN-13: 978-3030113636
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