Related papers: Econophysics: Comments on a few Applications, Succ…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
Most of the econometric and econophysics models have been borrowed from the statistical physics, and as a cosequence, a new interdisciplinary science called econophysics has emerged. In this paper we planned to extend the analogy between…
This article is a follow-up of a short essay that appeared in Nature 455, 1181 (2008) [arXiv:0810.5306]. It has become increasingly clear that the erratic dynamics of markets is mostly endogenous and not due to the rational processing of…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks…
The paper presents instructive interdisciplinary applications of constrained mechanics calculus in economics on a level appropriate for the undergraduate physics education. The aim of the paper is: 1. to meet the demand for illustrative…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
We develop a framework based on microeconomic theory from which the ideal gas like market models can be addressed. A kinetic exchange model based on that framework is proposed and its distributional features have been studied by considering…
The paper argues that attracting more economists and adopting a more-precise definition of dynamic complexity might help econophysics acquire more attention in the economics community and bring new lymph to economic research. It may be…
This paper presents a conceptual model describing the medium and long-term co-evolution of natural and socio-economic subsystems of Earth. An economy is viewed as an out-of-equilibrium dissipative structure that can only be maintained with…
Econophysics is a new research field, which makes an attempt to bring economics in the fold of natural sciences or specifically attempts for a "physics of economics". The term Econophysics was formally born in Kolkata in 1995. The entry on…
This paper discusses serious drawbacks of existing knowledge in macroeconomics and finance in explaining and predicting economic and financial phenomena. Complexity science is proposed as an alternative approach to be used in order to…
We report an investigation of data analysis methods derived from other disciplines, which we applied to physics software systems. They concern the analysis of inequality, trend analysis and the analysis of diversity. The analysis of…
In this paper we discuss recent developments in econometrics that we view as important for empirical researchers working on policy evaluation questions. We focus on three main areas, where in each case we highlight recommendations for…
We describe, at the microscopic level, the dynamics of N interacting components where the probability is very small when N is large that a given component interact more than once, directly or indirectly, up to time t, with any other…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
Using the mechanics of creep in material sciences as a metaphor, we present a general framework to understand the evolution of financial, economic and social systems and to construct scenarios for the future. In a nutshell, highly…
This article is written for the online newspaper "The Photon" published by the Department of Physics, University of Maryland. The article describes econophysics research done in the group of Victor Yakovenko. It briefly surveys the subjects…
In this chapter the complex systems are discussed in the context of economic and business policy and decision making. It will be showed and motivated that social systems are typically chaotic, non-linear and/or non-equilibrium and therefore…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…