Related papers: Monetary economics from econophysics perspective

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 purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…

We formulate thermodynamics of economic systems in terms of an arbitrary probability distribution for a conserved economic quantity. As in statistical physics, thermodynamic macroeconomic variables emerge as the mean value of microeconomic…

General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system.…

This mathematical essay brings together ideas from Economics, Geobiodynamics and Thermodynamics. Its purpose is to obtain real models of complex evolutionary systems. More specifically, the essay defines Roegenian Economy and links…

The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…

The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…

We analyze the relationships between game theory and quantum mechanics and the extensions to statistical physics and information theory. We use certain quantization relationships to assign quantum states to the strategies of a player. These…

This reviews the econophysics activities in Belgium from my admittedly biased point of view. Unknown historical notes or facts are presented for the first time explaining the aims, whence evolution of the research papers and friendly…

A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…

We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…

Disagreement is an essential element of science and life in general. The language of probabilities and statistics is often used to describe disagreements quantitatively. In practice, however, we want much more than that. We want…

By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…

It is hard to overstate the importance that the concept of symmetry has had in every field of physics, a fact alluded to by the Nobel Prize winner P.W. Anderson, who once wrote that physics is the study of symmetry. Whereas the idea of…

Even today, the concept of entropy is perceived by many as quite obscure. The main difficulty is analyzed as being fundamentally due to the subjectivity and anthropocentrism of the concept that prevent us to have a sufficient distance to…

Statistical physics has proven to be a very fruitful framework to describe phenomena outside the realm of traditional physics. The last years have witnessed the attempt by physicists to study collective phenomena emerging from the…

This contribution analyses the classical laws of motion by means of an approach relating time and entropy. We argue that adopting the notion of change of states as opposed to the usual derivation of Newton's laws in terms of fields a…

We study a stochastic $N$-particle system representing economic agents in a population randomly exchanging their money, which is associated to a class of one-dimensional kinetic equations modelling the evolution of the distribution of…

The econophysics approach to socio-economic systems is based on the assumption of their complexity. Such assumption inevitably lead to another assumption, namely that underlying interconnections within socio-economic systems, particularly…

In this short paper, we overview and extend the results of our papers cond-mat/0001432, cond-mat/0008305, and cond-mat/0103544, where we use an analogy with statistical physics to describe probability distributions of money, income, and…