Chapter 9. Econophysics of Stock and Foreign Currency Exchange Markets

  1. Bikas K. Chakrabarti2,
  2. Anirban Chakraborti3 and
  3. Arnab Chatterjee2
  1. Marcel Ausloos

Published Online: 11 DEC 2006

DOI: 10.1002/9783527610006.ch9

Econophysics and Sociophysics: Trends and Perspectives

Econophysics and Sociophysics: Trends and Perspectives

How to Cite

Ausloos, M. (2006) Econophysics of Stock and Foreign Currency Exchange Markets, in Econophysics and Sociophysics: Trends and Perspectives (eds B. K. Chakrabarti, A. Chakraborti and A. Chatterjee), Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim, Germany. doi: 10.1002/9783527610006.ch9

Editor Information

  1. 2

    Theoretical Condensed Matter Physics Division/Centre for Applied Mathematics and Computational Science, Saha Institute of Nuclear Physics, 1/AF Bidhannagar, Kolkata 700 064, India

  2. 3

    Department of Physics, Banaras Hindu University, Varanasi 221 005, India

Author Information

  1. SUPRATECS, B5 Universite de Liege, Sart Tilman, 4000 Liege, Belgium

Publication History

  1. Published Online: 11 DEC 2006
  2. Published Print: 6 OCT 2006

ISBN Information

Print ISBN: 9783527406708

Online ISBN: 9783527610006

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Keywords:

  • econophysics;
  • sociophysics;
  • stock;
  • foreign currency exchange markets;
  • statistical models;
  • phenomenological models;
  • microscopic models;
  • Lux–Marchesi model

Summary

This chapter contains sections titled:

  • A Few Robust Techniques

    • Detrended Fluctuation Analysis Technique

    • Zipf Analysis Technique

    • Other Techniques for Searching for Correlations in Financial Indices

  • Statistical, Phenomenological and “Microscopic” Models

    • ARCH, GARCH, EGARCH, IGARCH, FIGARCH Models

    • Distribution of Returns

    • Crashes

    • Crash Models

    • The Maslov Model

    • The Sandpile Model

    • Percolation Models

    • The Cont–Bouchaud model

    • Crash Precursor Patterns

  • The Lux–Marchesi Model

    • The Spin Models

  • References