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In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Statistical science --- Quantitative methods (economics) --- Operational research. Game theory --- Discrete mathematics --- Mathematical statistics --- Probability theory --- Mathematics --- Classical mechanics. Field theory --- Statistical physics --- Business economics --- Information systems --- Artificial intelligence. Robotics. Simulation. Graphics --- waarschijnlijkheidstheorie --- grafentheorie --- datamining --- stochastische analyse --- statistiek --- econometrie --- fysica --- kansrekening --- data acquisition --- dynamica

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In recent years, as part of the increasing informationization  of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and laws  akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled New Approaches to the Analysis of Large-Scale Business and E- nomic Data,  held in Tokyo, March 1-5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)-Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Statistical science --- Quantitative methods (economics) --- Operational research. Game theory --- Discrete mathematics --- Mathematical statistics --- Probability theory --- Mathematics --- Classical mechanics. Field theory --- Statistical physics --- Business economics --- Information systems --- Artificial intelligence. Robotics. Simulation. Graphics --- waarschijnlijkheidstheorie --- grafentheorie --- datamining --- stochastische analyse --- statistiek --- econometrie --- fysica --- kansrekening --- data acquisition --- dynamica --- Business enterprises --- Mathematical physics --- 303.8 --- 305.971 --- 333.605 --- AA / International- internationaal --- Business organizations --- Businesses --- Companies --- Enterprises --- Firms --- Organizations, Business --- Business --- Finance --- Econometrische behandeling van een onderwerp --- Speciale gevallen in econometrische modelbouw --- Nieuwe financiële instrumenten

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In recent years, as part of the increasing “informationization” of industry and the economy, enterprises have been accumulating vast amounts of detailed data such as high-frequency transaction data in nancial markets and point-of-sale information onindividualitems in theretail sector. Similarly,vast amountsof data arenow ava- able on business networks based on inter rm transactions and shareholdings. In the past, these types of information were studied only by economists and management scholars. More recently, however, researchers from other elds, such as physics, mathematics, and information sciences, have become interested in this kind of data and, based on novel empirical approaches to searching for regularities and “laws” akin to those in the natural sciences, have produced intriguing results. This book is the proceedings of the international conference THICCAPFA7 that was titled “New Approaches to the Analysis of Large-Scale Business and E- nomic Data,” held in Tokyo, March 1–5, 2009. The letters THIC denote the Tokyo Tech (Tokyo Institute of Technology)–Hitotsubashi Interdisciplinary Conference. The conference series, titled APFA (Applications of Physics in Financial Analysis), focuses on the analysis of large-scale economic data. It has traditionally brought physicists and economists together to exchange viewpoints and experience (APFA1 in Dublin 1999, APFA2 in Liege ` 2000, APFA3 in London 2001, APFA4 in Warsaw 2003, APFA5 in Torino 2006, and APFA6 in Lisbon 2007). The aim of the conf- ence is to establish fundamental analytical techniques and data collection methods, taking into account the results from a variety of academic disciplines.

Business enterprises -- Finance -- Congresses. --- Business enterprises -- Finance. --- Business enterprises. --- Mathematical physics -- Congresses. --- Mathematical physics. --- Business enterprises --- Mathematical physics --- Business & Economics --- Physics --- Physical Sciences & Mathematics --- Economic Theory --- Atomic Physics --- Finance --- Econophysics --- Business mathematics --- Statistical methods --- Mathematical models --- Funding --- Funds --- Arithmetic, Commercial --- Business --- Business arithmetic --- Business math --- Commercial arithmetic --- Mathematics --- Physics. --- Data mining. --- Probabilities. --- Statistical physics. --- Dynamical systems. --- Statistics. --- Econometrics. --- Statistical Physics, Dynamical Systems and Complexity. --- Data Mining and Knowledge Discovery. --- Probability Theory and Stochastic Processes. --- Statistics for Business/Economics/Mathematical Finance/Insurance. --- Economics --- Currency question --- Statistical physics --- Distribution (Probability theory. --- Complex Systems. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Statistical Physics and Dynamical Systems. --- Statistical analysis --- Statistical data --- Statistical science --- Econometrics --- Economics, Mathematical --- Statistics --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Mathematical statistics --- Algorithmic knowledge discovery --- Factual data analysis --- KDD (Information retrieval) --- Knowledge discovery in data --- Knowledge discovery in databases --- Mining, Data --- Database searching --- Statistics . --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Risk --- Dynamical systems --- Kinetics --- Mechanics, Analytic --- Force and energy --- Mechanics --- Statics

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Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds. "Free lunch" is in the form of (a) negative spreads in a currency pair and (b) triangular arbitrage relationship involving three currency pairs. The latter occur much more often than the former. Such arbitrage opportunities tend to occur when the markets are active and volatile. Over the 12-year, tick-data samples, the number of free lunch opportunities has dramatically declined and the probability of the opportunities disappearing within one second has steadily increased. The size of expected profits is higher than transaction costs; trades that simultaneously take place on both sides of ask and bid (or three currency trades in case of triangular arbitrage) occur more often when free lunch appeared one second earlier than otherwise, suggesting that free lunch opportunities are actively taken. The probability of its disappearance within one second was less than 50% in 1999, but increased to about 90% by 2009. Less frequent occurrence and quicker disappearance in recent years are attributable to changes in trading microstructure: an introduction and proliferation of the Primary Customer system (weaker banks can use stronger banks' credit lines) and of direct connection of traders' programmed computers to the EBS computer.