Financial Markets and Other Applications of Statistical Physics

Presentations

• What physicists should learn about finance (if they want to)

  ORAL

  March 13, 2006, 11:15 AM – March 13, 2006, 11:27 AM

  Authors

  • Anatoly Schmidt

    • EBS Dealing Resources, Parsippany, NJ

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• Relation between bid-ask spread and volatility in financial markets

  ORAL

  March 13, 2006, 11:27 AM – March 13, 2006, 11:39 AM

  Authors

  • Jean-Philippe Bouchaud

    • Service de Physique de l'Etat Condense, CEA-Saclay, France

  • J. Kockelkoren

  • M. Potters

  • M. Wyart

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• An equation of state for the financial markets: connecting order flow to price formation.

  ORAL

  March 13, 2006, 11:39 AM – March 13, 2006, 11:51 AM

  Authors

  • Austin Gerig

    • University of Illinois at Urbana-Champaign

  • Szabolcs Mike

    • Budapest University of Technology and Economics

  • J. Doyne Farmer

    • Santa Fe Institute

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• An empirical analysis of waiting times for price changes and orders in a financial market

  ORAL

  March 13, 2006, 11:51 AM – March 13, 2006, 12:03 PM

  Authors

  • Naoya Sazuka

    • Sony Corporation

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• Dynamics of the return distribution in the Korean financial market

  ORAL

  March 13, 2006, 12:03 PM – March 13, 2006, 12:15 PM

  Authors

  • Jae-Suk Yang

  • Seungbyung Chae

    • Korea Advanced Institute of Science and Technology

  • Woo-Sung Jung

    • Korea Advanced Institute of Science and Technology

  • Hie-Tae Moon

    • Korea Advanced Institute of Science and Technology

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• Grouping in the stock markets of Japan and Korea

  ORAL

  March 13, 2006, 12:15 PM – March 13, 2006, 12:27 PM

  Authors

  • Okyu Kwon

    • Korea Advanced Institute of Science and Technology

  • Woo-Sung Jung

    • Korea Advanced Institute of Science and Technology

  • Taisei Kaizoji

    • International Christian University

  • Seungbyung Chae

    • Korea Advanced Institute of Science and Technology

  • Woong Lee

    • Yonsei University

  • Hie-Tae Moon

    • Korea Advanced Institute of Science and Technology

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• Dynamical Structures of High-Frequency Financial Data

  ORAL

  March 13, 2006, 12:27 PM – March 13, 2006, 12:39 PM

  Authors

  • Kyungsik Kim

    • Department of Physics, Pukyong National University, Pusan 608-737, Korea

  • Seong-Min Yoon

    • Division of Economics, Pukyong National University, Pusan 608-737, Korea

  • Soo Yong Kim

    • Department of Physics, Korea Advanced Institute of Science and Technology, Daejeon 305-701, Korea

  • Yup Kim

    • Department of Physics, Kyung Hee University
    • Department of Physics, Kyung Hee University, Seoul 130-701, Korea

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• Systematic Analysis of Group Identification in Stock Markets

  ORAL

  March 13, 2006, 12:39 PM – March 13, 2006, 12:51 PM

  Authors

  • Dong-Hee Kim

  • Hawoong Jeong

    • Department of Physics, KAIST

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• Virtual Volatility, an Elementary New Concept with Surprising Stock Market Consequences

  ORAL

  March 13, 2006, 12:51 PM – March 13, 2006, 1:03 PM

  Authors

  • Richard Prange

  • A. Christian Silva

    • University of Maryland

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• Volatility, Persistence, and Survival in Financial Markets

  ORAL

  March 13, 2006, 1:03 PM – March 13, 2006, 1:15 PM

  Authors

  • Magdalena Constantin

  • Sankar Das Sarma

    • Condensed Matter Theory Center, Department of Physics, University of Maryland, College Park, MD 20742
    • University of Maryland
    • Condensed Matter Theory Center, Department of Physics, University of Maryland
    • Condensed Matter Theory Center, University of Maryland, College Park

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• Comparing Extremal and Hysteretic Optimization on the Satisfiability Problem

  ORAL

  March 13, 2006, 1:15 PM – March 13, 2006, 1:27 PM

  Authors

  • Bruno Gon\c{c}alves

    • Emory University

  • Stefan Boettcher

    • Emory University, Physics Department
    • Emory University

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• What is the most interesting team sport?

  ORAL

  March 13, 2006, 1:27 PM – March 13, 2006, 1:39 PM

  Authors

  • Federico Vazquez

    • Boston University

  • Eli Ben-Naim

    • Los Alamos National Laboratory

  • Sidney Redner

    • Boston University

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• Diagnosis of weaknesses in modern error correction codes: a physics approach

  ORAL

  March 13, 2006, 1:39 PM – March 13, 2006, 1:51 PM

  Authors

  • Mikhail Stepanov

  • Michael Chertkov

    • LANL
    • Los Alamos National Laboratory

  • Vladimir Chernyak

    • Wayne State University

  • Bane Vasic

    • University of Arizona

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