Get Econophysics of Stocks and other Markets - Proceedings of PDF

By Arnab Chatterjee, Bikas K. Chakrabarti

ISBN-10: 8847005019

ISBN-13: 9788847005013

This ebook reports the newest econophysics researches at the fluctuations in inventory, foreign money and different markets. The statistical modeling of markets, utilizing a number of agent-based video game theoretical methods, and their scaling research were mentioned. The major researchers in those fields have suggested on their fresh paintings and in addition reviewed the modern literature. a few historic views in addition to a few reviews and debates on fresh concerns in econophysics learn have additionally been incorporated.

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Additional resources for Econophysics of Stocks and other Markets - Proceedings of the Econophys-Kolkata II

Sample text

F of index changes. 1 Data analyzed: This section uses the daily indices of the Bombay Stock Exchange (BSE) for a period of 3 years between 2000 − 2002. Indices are basically averages of actively traded stocks, which are weighted according to their market value. Trading is done five days a week in this market, each year corresponds roughly to 250 days of elapsed time, the total number of data points in this set is 750. 2 Volatility Volatility is a measure of fluctuations that occur in the market.

While the deviations have been observed and studied in detail in the context of financial markets in earlier studies, we make a comparative analysis here, in the context of volatile versus less volatile situations from the point of view of correlations, participation of stocks in the market and try to quantify volatility in terms of the deviations. 1 Data analyzed and constraints involved: Many of the stocks in BSE are not actively traded and hence not reported regularly in any period of time. Consequently they do not contribute much to the variations in stock price indices.

Cumulative distribution of the number of trades (top left) and the volume of shares traded (top right) for a particular stock (Reliance) in 5-minute intervals at NSE between Jan 1, 2003 to March 31, 2004. The bottom figure shows an almost linear relation between the number of trades in a 5-minute interval and the corresponding trading volume. The broken line indicates the best fit on a doubly logarithmic scale. similar results. As is clear, both of these distributions are non-monotonic, and are suggestive of a log-normal form.

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Econophysics of Stocks and other Markets - Proceedings of the Econophys-Kolkata II by Arnab Chatterjee, Bikas K. Chakrabarti

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