New Approaches in Quantitative Modeling of Financial Markets

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


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 (, 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



Monira Aloud, Edward Tsang, Richard Olsen, and Alexandre Dupuis
A Directional-Change Event Approach for Studying Financial Time Series
  • September 17, 2012 |
  • Downloads: 7173 |
  • JEL: G10
Marco Raberto, Andrea Teglio, and Silvano Cincotti
Debt Deleveraging and Business Cycles. An Agent-Based Perspective
  • July 12, 2012 |
  • Downloads: 6125 |
  • JEL: E2, E3, E44, E51
  • | 17 citations (RePEc)
  • July 09, 2012 |
  • Downloads: 6262 |
  • JEL: C63, D85, E12, E3, E32
  • June 14, 2012 |
  • Downloads: 7906 |
  • JEL: G14, C51, C32
  • | 1 citations (RePEc)
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: 9845 |
  • JEL: C21, C31, E32, O53
Shouji Fujimoto, Atushi Ishikawa, Takayuki Mizuno, and Tsutomu Watanabe
A New Method for Measuring Tail Exponents of Firm Size Distributions
  • December 07, 2011 |
  • Downloads: 4879 |
  • JEL: C16, C18, D20, E23