Related papers: Econophysics: Empirical facts and agent-based mode…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
The last twenty-five years have seen the development of a significant literature within the subfield of econophysics which attempts to model economic inequality as an emergent property of stochastic interactions among ensembles of agents.…
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be applied to an economic problem. In so doing,…
We review the agent-based models (ABM) on social physics including econophysics. The ABM consists of agent, system space, and external environment. The agent is autonomous and decides his/her behavior by interacting with the neighbors or…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
We consider demand-side economy. Using Caratheodory's approach, we define empirical existence of equation of state (EoS) and coordinates. We found new insights of thermodynamics EoS, the {\it effect structure}. Rules are proposed as…
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We treat agents risk assessments as their coordinates x on economic…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize…
Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…
Ergodicity economics is a new branch of economic theory that notes the conceptual difference between time averages and expectation values, which coincide only for ergodic observables. It postulates that individual agents maximise the time…
The development of Econophysics is studied from the perspective of scientific communication networks. Papers in Econophysics published from 1992 to 2003 are collected. Then a weighted and directed network of scientific communication,…
Digitization of publications, advancement in communication technology, and the availability of bibliographic data have made it easier for the researchers to study the growth and dynamics of any discipline. We present a study on…
This text revisits the origins of econophysics through the figure of Beno\^it Mandelbrot, not as the father of fractals, but as the instigator of a distinctive scientific posture. The guiding thread is methodological: accept the stubborn…
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…
In this paper we present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model we used an analogy between the electrical field produced by a system of charges and…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
The report attempts of apply econophysics concepts to the Eurozone crisis. It starts by examining the idea of conservation laws as applied to market economies. It formulates a measure of financial entropy and gives numerical simulations…
This paper proposes a methodology to empirically validate an agent-based model (ABM) that generates artificial financial time series data comparable with real-world financial data. The approach is based on comparing the results of the ABM…
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…