New Approaches in Quantitative Modeling of Financial Markets

Editor: Taisei Kaizoji and Mauro Politi, International Christian University, Tokyo, Thomas Lux, University of Kiel

Abstract:

We invite authors to submit papers for the Special Issue on “Quantitative Finance and Economics”. This special issue follows the "First Unconventional Workshop on Quantitative Finance and Economics" held at the International Christian University in Tokyo the 21st–23th of February 2011 (http://firstworkshop.mezoka.com/), but is open also to contributions not presented in it.

The special issue aims to present ideas around open problems and recent frontiers in quantitative finance and economics. Topics may include traditional as well as innovative quantitative finance and economics fields. Researchers and scholars from an interdisciplinary background are specially welcome. Preciselly, topics may include:

  • Statistical and probabilistic methods in economics and finance
  • Multiscaling analysis and modeling
  • Market microstructure modeling
  • Financial and economical networks
  • Agent-based models in economics and finance
  • Markets as complex adaptive systems
  • Crisis forecasting

 



Articles

2012-36
JournalPaper 		Monira Aloud, Edward Tsang, Richard Olsen, and Alexandre Dupuis
A Directional-Change Event Approach for Studying Financial Time Series
September 17, 2012 | downloads: 2023 | JEL: G10
2012-27
JournalPaper 		Marco Raberto, Andrea Teglio, and Silvano Cincotti
Debt Deleveraging and Business Cycles. An Agent-Based Perspective
July 12, 2012 | downloads: 2511 | JEL: E2, E3, E44, E51 | 2 comments | 16 citations (RePEc)
2012-26
JournalPaper 		Chia-Ling Chang and Shu-Heng Chen
Interactions in the New Keynesian DSGE Models: The Boltzmann–Gibbs Machine and Social Networks Approach
July 09, 2012 | downloads: 1983 | JEL: C63, D85, E12, E3, E32
2012-22
JournalPaper 		Ioane Muni Toke and Fabrizio Pomponio
Modelling Trades-Through in a Limit Order Book Using Hawkes Processes
June 14, 2012 | downloads: 2495 | JEL: G14, C51, C32 | 1 citations (RePEc)
2012-5
JournalPaper 		Siew Ann Cheong, Robert Paulo Fornia, Gladys Hui Ting Lee, Jun Liang Kok, Woei Shyr Yim, Danny Yuan Xu, and Yiting Zhang
The Japanese Economy in Crises: A Time Series Segmentation Study
March 09, 2012 | downloads: 3341 | JEL: C21, C31, E32, O53
2011-20
JournalPaper 		Shouji Fujimoto, Atushi Ishikawa, Takayuki Mizuno, and Tsutomu Watanabe
A New Method for Measuring Tail Exponents of Firm Size Distributions
December 07, 2011 | downloads: 1546 | JEL: C16, C18, D20, E23