Econophysics and data driven modelling of market dynamics

During the past decades, the financial market landscape has been dramatically changing: deregulation of markets, growing complexity of products, etc. The ever rising speed and decreasing costs of computational power and networks have lead to the emergence of huge databases that record all transactions and order book movements up to the millisecond. The availability of these data should lead to models that are better empirically founded. The Econophysicists, among many other things, have thus been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. Thus, a major part of the efforts in Econophysics have been the study of empirical data and financial time series analyses. Often, the empirics have guided the theoreticians in designing more realistic and practical models. The recent turmoil on financial markets and the 2008 crash seem to plead for new models and approaches. The Econophysics community thus has an important role to play in market modelling, in the future. In this meeting on "Econophysics and data driven modelling of market dynamics", we would like to focus on such analyses and modelling.

Previous Workshops

ECONOPHYS-KOLKATA VII : Econophysics of Agent-based models , 8-12 November 2012. Proc. Vol.: Econophysics of Agent-based models, Eds. F. Abergel, H. Aoyama, B. K. Chakrabarti, A. Chakraborti, A. Ghosh, New Economic Windows, Springer-Verlag, Milan, 2013.

ECONOPHYS-KOLKATA VI : Econophysics of Systemic Risk and Network Dynamics, 21-25 October 2011. Proc. Vol.: Econophysics of Systemic Risk and Network Dynamics, Eds. F. Abergel, B.K. Chakrabarti, A. Chakraborti, A. Ghosh, New Economic Windows, Springer-Verlag, Milan, 2012.

ECONOPHYS-KOLKATA V : Econophysics of Order-Driven Markets, 9-13 March 2010. Proc. Vol.: Econophysics of Order-driven Markets, Eds. F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra, New Economic Windows, Springer-Verlag, Milan, 2011.

ECONOPHYS-KOLKATA IV : Econophysics of Games and Social Choices, 9-13 March 2009. Proc. Vol.: Econophysics & Economics of Games, Social Choices and Quantitative Techniques, Eds. B. Basu, B. K. Chakrabarti, S. R. Chakravarty, K. Gangopadhyay, New Economic Windows, Springer-Verlag, Milan, 2010.

ECONOPHYS-KOLKATA III: Econophysics & Sociophysics of Markets and Networks, 12-15 March 2007. Proc. Vol.: Econophysics of Markets and Business Networks, Eds. A. Chatterjee, B.K. Chakrabarti, New Economic Windows, Springer-Verlag, Milan, 2007.

ECONOPHYS-KOLKATA II: Econophysics of Stock Markets and Minority Games, 14-17 February 2006. Proc. Vol.: Econophysics of Stock and other Markets, Eds. A. Chatterjee, B.K. Chakrabarti, New Economic Windows, Springer-Verlag, Milan, 2006.

ECONOPHYS-KOLKATA I: Econophysics of Wealth Distributions, 15-19 March 2005. Proc. Vol.: Econophysics of Wealth Distributions, Eds. A. Chatterjee, S. Yarlagadda, B.K. Chakrabarti, New Economic Windows, Springer-Verlag, Milan, 2005.