Chapter 9. Econophysics of Stock and Foreign Currency Exchange Markets
- Bikas K. Chakrabarti2,
- Anirban Chakraborti3,
- Arnab Chatterjee2
Published Online: 11 DEC 2006
DOI: 10.1002/9783527610006.ch9
Copyright © 2006 Wiley-VCH Verlag GmbH & Co. KGaA
Book Title
Econophysics and Sociophysics: Trends and Perspectives
Additional Information
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
- 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
- 3
Department of Physics, Banaras Hindu University, Varanasi 221 005, India
Publication History
- Published Online: 11 DEC 2006
- Published Print: 6 OCT 2006
ISBN Information
Print ISBN: 9783527406708
Online ISBN: 9783527610006
- Summary
- Chapter
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