Introduction to Econophysics

Correlations and Complexity in Finance
Author: Rosario N. Mantegna,H. Eugene Stanley
Publisher: Cambridge University Press
ISBN: 9781139431224
Category: Business & Economics
Page: N.A
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This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.

Econophysics and Physical Economics


Author: Peter Richmond,Jürgen Mimkes,Stefan Hutzler
Publisher: Oxford University Press
ISBN: 0199674701
Category: Business & Economics
Page: 272
View: 6024

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This book summarises progress in the understanding of financial markets and economics based on the established methodology of statistical physics. With many physics departments offering undergraduate and postgraduate lectures in econophysics the book may serve as a valuable textbook. It should also be of interest to researchers in finance and business schools. Economics has come in for some criticism in recent years. This book offers a radically new approach tothe fundamentals of this subject that offers the potential for increased insight and understanding. It should be of interest to all serious students of the subject.

Econophysics

An Introduction
Author: Sitabhra Sinha,Arnab Chatterjee,Anirban Chakraborti,Bikas K. Chakrabarti
Publisher: John Wiley & Sons
ISBN: 3527408150
Category: Science
Page: 352
View: 9786

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Filling the gap for an up-to-date textbook in this relatively new interdisciplinary research field, this volume provides readers with a thorough and comprehensive introduction. Based on extensive teaching experience, it includes numerous worked examples and highlights in special biographical boxes some of the most outstanding personalities and their contributions to both physics and economics. The whole is rounded off by several appendices containing important background material.

Stochastic Processes

From Physics to Finance
Author: Wolfgang Paul,Jorg Baschnagel
Publisher: Springer Science & Business Media
ISBN: 3319003275
Category: Science
Page: 280
View: 5049

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This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.

Econophysics

Background and Applications in Economics, Finance, and Sociophysics
Author: Gheorghe Săvoiu
Publisher: Academic Press
ISBN: 0124046266
Category: Business & Economics
Page: 168
View: 3633

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The remarkable evolution of econophysics research has brought the deep synthesis of ideas derived from economics and physics to subjects as diverse as education, banking, finance, and the administration of large institutions. The original papers in this collection present a broad summary of these advances, written by interdisciplinary specialists. Included are studies on subjects in the development of econophysics; on the perspectives offered by econophysics on large problems in economics and finance, including the 2008-9 financial crisis; and on higher education and group decision making. The introductions and insights they provide will benefit everyone interested in applications of this new transdisciplinary science. Ten papers present an updated version of the origins, issues, and applications of econophysics Economics and finance chapters consider lessons learned from the 2008-9 financial crisis Sociophysics chapters propose new thinking on educational reforms and group decision making

Patterns of Speculation

A Study in Observational Econophysics
Author: Bertrand M. Roehner
Publisher: Cambridge University Press
ISBN: 9781139432344
Category: Business & Economics
Page: N.A
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The main objective of this 2002 book is to show that behind the bewildering diversity of historical speculative episodes it is possible to find hidden regularities, thus preparing the way for a unified theory of market speculation. Speculative bubbles require the study of various episodes in order for a comparative perspective to be obtained and the analysis developed in this book follows a few simple but unconventional ideas. Investors are assumed to exhibit the same basic behavior during speculative episodes whether they trade stocks, real estate, or postage stamps. The author demonstrates how some of the basic concepts of dynamical system theory, such as the notions of impulse response, reaction times and frequency analysis, play an instrumental role in describing and predicting speculative behavior. This book will serve as a useful introduction for students of econophysics, and readers with a general interest in economics as seen from the perspective of physics.

Theory of Financial Risk and Derivative Pricing

From Statistical Physics to Risk Management
Author: Jean-Philippe Bouchaud,Marc Potters
Publisher: Cambridge University Press
ISBN: 1139440276
Category: Business & Economics
Page: N.A
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Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Classical Econophysics


Author: Allin F. Cottrell,Paul Cockshott,Gregory John Michaelson,Ian P. Wright,Victor Yakovenko
Publisher: Routledge
ISBN: 1134020759
Category: Business & Economics
Page: 384
View: 8897

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This monograph examines the domain of classical political economy using the methodologies developed in recent years both by the new discipline of econo-physics and by computing science. This approach is used to re-examine the classical subdivisions of political economy: production, exchange, distribution and finance. The book begins by examining the most basic feature of economic life – production – and asks what it is about physical laws that allows production to take place. How is it that human labour is able to modify the world? It looks at the role that information has played in the process of mass production and the extent to which human labour still remains a key resource. The Ricardian labour theory of value is re-examined in the light of econophysics, presenting agent based models in which the Ricardian theory of value appears as an emergent property. The authors present models giving rise to the class distribution of income, and the long term evolution of profit rates in market economies. Money is analysed using tools drawn both from computer science and the recent Chartalist school of financial theory. Covering a combination of techniques drawn from three areas, classical political economy, theoretical computer science and econophysics, to produce models that deepen our understanding of economic reality, this new title will be of interest to higher level doctoral and research students, as well as scientists working in the field of econophysics.

Essentials of Econophysics Modelling


Author: Frantisek Slanina
Publisher: OUP Oxford
ISBN: 0191009075
Category: Science
Page: 432
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This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the economic processes as interactions of inanimate particles. Here, the methods of physics are especially useful. Examples of systems modelled in such a way include books of stock-market orders, and redistribution of wealth among individuals. Network effects are investigated in the interaction of economic agents. The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.

Econophysics and Sociophysics

Trends and Perspectives
Author: Bikas K. Chakrabarti,Anirban Chakraborti,Arnab Chatterjee
Publisher: John Wiley & Sons
ISBN: 352760958X
Category: Science
Page: 648
View: 9890

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Using tricks to handle coupled nonlinear dynamical many-body systems, several advancements have already been made in understanding the behavior of markets/economic/social systems and their dynamics. The book intends to provide the reader with updated reviews on such major developments in both econophysics and sociophysics, by leading experts in the respective fields. This is the first book providing a panoramic view of these developments in the last decade.

Macro-Econophysics

New Studies on Economic Networks and Synchronization
Author: Hideaki Aoyama,Yoshi Fujiwara,Yuichi Ikeda,Hiroshi Iyetomi,Wataru Souma,Hiroshi Yoshikawa
Publisher: Cambridge University Press
ISBN: 1108225802
Category: Science
Page: N.A
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The concepts of statistical physics and big data play an important role in the evidence-based analysis and interpretation of macroeconomic principles. The techniques of complex networks, big data, and statistical physics are useful to understand theories of economic systems, and the authors have applied these to understand the intricacies of complex macroeconomic problems. Recent research work using tools and techniques of big data, statistical physics, complex networks, and statistical science is covered, and basic graph algorithms and statistical measures of complex networks are described. The application of big data and statistical physics tools to assess price dynamics, inflation, systemic risks, and productivity is discussed. Chapter-end summary and numerical problems are provided to reinforce understanding of concepts.

My Life as a Quant

Reflections on Physics and Finance
Author: Emanuel Derman
Publisher: John Wiley & Sons
ISBN: 1118428889
Category: Business & Economics
Page: 308
View: 9948

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In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy particle physicists to migrate to Wall Street. Page by page, Derman details his adventures in this field—analyzing the incompatible personas of traders and quants, and discussing the dissimilar nature of knowledge in physics and finance. Throughout this tale, he also reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets.

Financial Market Complexity


Author: Neil F. Johnson,Paul Jefferies,Pak Ming Hui
Publisher: Courier Corporation
ISBN: 9780198526650
Category: Business & Economics
Page: 254
View: 8989

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This work draws on ideas from the science of complexity and complex systems, to address the following questions: how do financial markets behave?; why is this?; and what can we do to minimize risk, given this behaviour?

Econophysics and Financial Economics

An Emerging Dialogue
Author: Franck Jovanovic,Christophe Schinckus
Publisher: Oxford University Press
ISBN: 0190205032
Category:
Page: 248
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What is econophysics? What makes an econophysicist? Why are financial economists reluctant to use results from econophysics? Can we overcome disputes concerning hypotheses used in financial economics and that make no sense for econophysicists? How can we create a profitable dialogue betweenfinancial economists and econophysicists? How do we develop a common theoretical framework allowing the creation of more efficient models for the financial industry? This book moves beyond the disciplinary frontiers in order to initiate the development of a common theoretical framework that makes sense for both traditionally trained financial economists and econophysicists. Unlike other publications dedicated to econophysics, this book is written by twofinancial economists and it situates econophysics in the evolution of financial economics. The major issues that concern the collaboration between the two fields are analyzed in detail. More specifically, this book explains the theoretical and methodological foundations of these two fields in anaccessible vocabulary providing the first extensive analytic comparison between models and results from both fields. The book also identifies the major conceptual gate-keepers that complicate dialogue between the two communities while it provides elements to overcome them. By mixing conceptual, historical, theoretical and formal arguments our analysis bridges the current deaf dialogue between financial economists and econophysicists. This book details the recent results in econophysics that bring it closer to financial economics. So doing, it identifies what remainsto be done for econophysicists to contribute significantly to financial economics. Beyond the clarification of the current situation, this book also proposes a generic model compatible with the two fields, defining minimal conditions for common models. Finally, this book provides a research agendafor a more fruitful collaboration between econophysicists and financial economists, creating new research opportunities. In this perspective, it lays the foundations for common theoretical framework and models.

Introduction to Phase Transitions and Critical Phenomena


Author: Harry Eugene Stanley
Publisher: Oxford University Press on Demand
ISBN: 9780195053166
Category: Literary Criticism
Page: 308
View: 7241

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The book is at the level at which a graduate student who has studied condensed matter physics can begin to comprehend the nature of phase transitions, which involve the transformation of one state of matter into another. (A simple example is the melting of a solid to become a liquid.) Such a transformation is termed 'critical' when, after a certain amount of the substance changes phase, the entire bulk virtually instantaneously also makes the transition. A second, updated edition is planned for future publication, but in the mean time this paperback reissue will be useful in teaching the fundamental principles of this extremely interesting subject.

Sociophysics: An Introduction


Author: Parongama Sen,Bikas K. Chakrabarti
Publisher: Oxford University Press
ISBN: 0199662452
Category: Computers
Page: 283
View: 7209

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This book discusses the study and analysis of the physical aspects of social systems and models, inspired by the analogy with familiar models of physical systems and possible applications of statistical physics tools. Unlike the traditional analysis of the physics of macroscopic many-body or condensed matter systems, which is now an established and mature subject, the upsurge in the physical analysis and modelling of social systems, which are clearly many-body dynamical systems, is a recent phenomenon. Though the major developments in sociophysics have taken place only recently, the earliest attempts of proposing "Social Physics" as a discipline are more than one and a half centuries old. Various developments in the mainstream physics of condensed matter systems have inspired and induced the recent growth of sociophysical analysis and models. In spite of the tremendous efforts of many scientists in recent years, the subject is still in its infancy and major challenges are yet to be taken up. An introduction to these challenges is the main motivation for this book.

Dynamics of Markets

Econophysics and Finance
Author: Joseph L. McCauley
Publisher: Cambridge University Press
ISBN: 9780521824477
Category: Business & Economics
Page: 209
View: 2434

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Standard texts and research in economics and finance ignore the absence of evidence from the analysis of real, unmassaged market data to support the notion of Adam Smith's stabilizing Invisible Hand. The neo-classical equilibrium model forms the theoretical basis for the positions of the US Treasury, the World Bank and the European Union, accepting it as their credo. It provides the theoretical underpinning for globalization, expecting to achieve the best of all possible worlds via the deregulation of all markets. In stark contrast, this text introduces a empirically based model of financial market dynamics that explains volatility, prices options correctly and clarifies the instability of financial markets. The emphasis is on understanding how real markets behave, not how they hypothetically 'should' behave. This text is written for physics graduate students and finance specialists, but will also serve as a valuable resource for those with a less mathematical background.

Econophysics of Systemic Risk and Network Dynamics


Author: Frédéric Abergel,Bikas K. Chakrabarti,Anirban Chakraborti,Asim Ghosh
Publisher: Springer Science & Business Media
ISBN: 8847025532
Category: Science
Page: 300
View: 7376

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The primary goal of the book is to present the ideas and research findings of active researchers such as physicists, economists, mathematicians and financial engineers working in the field of “Econophysics,” who have undertaken the task of modeling and analyzing systemic risk, network dynamics and other topics. Of primary interest in these studies is the aspect of systemic risk, which has long been identified as a potential scenario in which financial institutions trigger a dangerous contagion mechanism, spreading from the financial economy to the real economy. This type of risk, long confined to the monetary market, has spread considerably in the recent past, culminating in the subprime crisis of 2008. As such, understanding and controlling systemic risk has become an extremely important societal and economic challenge. The Econophys-Kolkata VI conference proceedings are dedicated to addressing a number of key issues involved. Several leading researchers in these fields report on their recent work and also review contemporary literature on the subject.

The Physics of Foraging

An Introduction to Random Searches and Biological Encounters
Author: Gandhimohan. M. Viswanathan,Marcos G. E. da Luz,Ernesto P. Raposo,H. Eugene Stanley
Publisher: Cambridge University Press
ISBN: 1139497553
Category: Science
Page: N.A
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Do the movements of animals, including humans, follow patterns that can be described quantitatively by simple laws of motion? If so, then why? These questions have attracted the attention of scientists in many disciplines, and stimulated debates ranging from ecological matters to queries such as 'how can there be free will if one follows a law of motion?' This is the first book on this rapidly evolving subject, introducing random searches and foraging in a way that can be understood by readers without a previous background on the subject. It reviews theory as well as experiment, addresses open problems and perspectives, and discusses applications ranging from the colonization of Madagascar by Austronesians to the diffusion of genetically modified crops. The book will interest physicists working in the field of anomalous diffusion and movement ecology as well as ecologists already familiar with the concepts and methods of statistical physics.

Martingale Methods in Financial Modelling


Author: Marek Musiela,Marek Rutkowski
Publisher: Springer Science & Business Media
ISBN: 9783540266532
Category: Business & Economics
Page: 638
View: 2050

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A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models