We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of a comprehensive market data enables us to identify all motions of the fluid particles. Correlations between the...

Gathers the proceedings of the Third Nikkei Econophysics Symposium, "Business Models in the 21st Century - Risk Management and Expectations for Econophysics," held in Tokyo in November 2004. This volume includes research on the practical application of econophysics. It is aimed at professionals,...

Here we analyze tick data of yen–dollar exchange using random walk methods. We find that there exists a characteristic time scale approximately at 10 min. According to the results at time scales shorter than 10 min, the market exhibits anti-persistence meaning that it self-organizes so as to...

Analyzing historical data of price indices, we find an extraordinary growth phenomenon in several examples of hyper-inflation in which, price changes are approximated nicely by double-exponential functions of time. In order to explain such behavior we introduce the general coarse-graining...

The existence of a phase transition in a computer network model is indicated by an abrupt change in packet density, critical slowing down and fractal properties of the characteristic time series. The network operates most efficiently in the vicinity of the critical point.

In order to describe price changes in open markets we introduce a virtual balanced price which is determined by the distribution of dealers’ expectation at a time. The dealers do not know directly the virtual balanced price but they can only guess it from the time series of market prices. By...

We show that random walks in a moving potential function, with its center at the moving average of market prices, are represented in the form of the self-modulation model. From this point of view we confirm the existence of non-trivial autocorrelation in real market price changes. By...

By analyzing a huge amount of point-of-sale data collected from Japanese supermarkets, we find power law relationships between price and sales numbers. The estimated values of the exponents of these power laws depend on the category of products; however, they are independent of the stores,...