Empirical Science of Financial Fluctuations

Financial fluctuations were generally neglected in classical economics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals and phase transitions. This volume is the proceedings of a workshop at which international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies and risk management. The papers herein relate econophysics to other models, present new models and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing recent econophysics results, this volume is intended as a reference for both economic theorists and practitioners.