Print

Print


*****  To join INSNA, visit http://www.insna.org  *****

Hi Matt,

Besides the network book Networks, Crowds, and Markets, by D. Easley
and J. Kleinberg
(Cambridge University Press, Cambridge, 2010), the following are some
general and standard references from econophysics on
finance-complexity-networks.

Best,

--Moses



An Introduction to Econophysics: Correlations and Complexity in
Finance, R. N. Mantegna and H. E. Stanley (Cambridge University Press,
Cambridge, 1999).

The Statistical Mechanics of Financial Markets, Johannes Voit
(Springer; 3rd edition, 2005).

Why Stock Markets Crash: Critical Events in Complex Financial Systems,
D. Sornette (Princeton University Press, Princeton, 2004).

Jean-Philippe Bouchaud, Marc Potters (2003). Theory of Financial Risk
and Derivative Pricing. Cambridge University Press.

Econophysics and Finance, Joseph McCauley, Dynamics of Markets
(Cambridge University Press, Cambridge, 2004).

Why Stock Markets Crash: Critical Events in Complex Financial Systems,
Didier Sornette (Princeton University Press, 2004).

Mathematical modelling of collective behavior in socio-economic and
life sciences, Giovanni Naldi, Lorenzo Pareschi, Giuseppe Toscani
(Birkhauser, 2010).

"The application of continuous-time random walks in finance and
economics".  Enrico Scalas (2006). Physica A 362 (2): 225–239. Bibcode
2006PhyA..362..225S.

"Statistical properties of the volatility of price fluctuations".  Y.
Liu, P. Gopikrishnan, P. Cizeau, M. Meyer, C.-K. Peng, and H. E.
Stanley (1999). Physical Review E 60 (2): 1390.

"Is economics the next physical science?" J. D. Farmer, M. Shubik, and
E. Smith, Physics Today 58 (9), 37–42 (2005).

"Income Tax Evasion Dynamics: Evidence from an Agent-based
Econophysics Model." Michael Pickhardt and Goetz Seibold (2011).
arXiv:1112.0233.

"Random matrix approach to cross correlations in financial data".
Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luis
Amaral, Thomas Guhr and H. Eugene Stanley (2002). Physical Review E 65
(6): 066126.

"Scaling and memory in volatility return intervals in financial
markets". K. Yamasaki, L. Muchnik, S. Havlin, A. Bunde, and H.E.
Stanley (2005). PNAS 102 (26): 9424–8.

"Bubble trouble: Can a Law Describe Bubbles and Crashes in Financial
Markets?". Tobias Preis; H. Eugene Stanley (2011). Physics World 24
(5): 29–32.

"Switching processes in financial markets". Tobias Preis, T.; Johannes
J. Schneider; H. Eugene Stanley (2011). Proceedings of the National
Academy of Sciences 108 (19): 7674–7678.


On Sat, Dec 10, 2011 at 12:25 PM, Matt Moore <[log in to unmask]> wrote:
> *****  To join INSNA, visit http://www.insna.org  *****
>
> Hello,
>
> I'm interested in network research that examines financial markets (esp. systemic risks). I'm aware of:
> - ETH Zurich (esp. Stefano Battiston & James Glattgelder)
> - New England Complex Systems Institute (esp. Yavni Bar-Yam)
> - George Sugihara @ Scripps Institution of Oceanography
>
> Who else would people on this list recommend looking up?
>
> Many thanks,
>
> Matt Moore
>
> _____________________________________________________________________
> SOCNET is a service of INSNA, the professional association for social
> network researchers (http://www.insna.org). To unsubscribe, send
> an email message to [log in to unmask] containing the line
> UNSUBSCRIBE SOCNET in the body of the message.

_____________________________________________________________________
SOCNET is a service of INSNA, the professional association for social
network researchers (http://www.insna.org). To unsubscribe, send
an email message to [log in to unmask] containing the line
UNSUBSCRIBE SOCNET in the body of the message.