Related papers: Power-law cross-correlations: Issues, solutions an…
We introduce a new test for detection of power-law cross-correlations among a pair of time series - the rescaled covariance test. The test is based on a power-law divergence of the covariance of the partial sums of the long-range…
This is a review about financial dependencies which merges efforts in econophysics and financial economics during the last few years. We focus on the most relevant contributions to the analysis of asset markets' dependencies, especially…
It has been shown that the long term evolution of the Gross Product of the World after World War II can be well portrayed by the exponential function with the crossover at the year 1973, cinsiding with the Oil Crisis onset. For the the…
This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words Economics and Physics, this new interdisciplinary field has…
Econophysics embodies the recent upsurge of interest by physicists into financial economics, driven by the availability of large amount of data, job shortage in physics and the possibility of applying many-body techniques developed in…
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…
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates…
Long-ranged, or power-law, behavior of correlation functions in both space and time is discussed for classical systems and for quantum systems at finite temperature, and is compared with the corresponding behavior in quantum systems at zero…
For this special issue, the article aims at discussing a few econophysics problems studied so far rather successfully. The following "applications" in micro-econo-physics are considered : (i) financial crashes; it is emphasized that one can…
The conventional economic approaches explore very little about the dynamics of the economic systems. Since such systems consist of a large number of agents interacting nonlinearly they exhibit the properties of a complex system. Therefore…
This is an invited article for the Discussion and Debate special issue of The European Physical Journal Special Topics on the subject "Can Economics Be a Physical Science?" The first part of the paper traces the personal path of the author…
In this editorial guide for the special issue on econophysics, we give a unique review of this young but quickly growing discipline. A suggestive taxonomy of the development is proposed by making a distinction between classical econophysics…
Econophysics is an approach to quantitative economy using ideas, models, conceptual and computational methods of statistical physics. In recent years many of physical theories like theory of turbulence, scaling, random matrix theory or…
In line with the recent research and debates about econophysics and financial economics, this article discusses on usual misunderstandings between the two disciplines in terms of modelling and basic hypotheses. In the literature devoted to…
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of…
This paper debates the contribution of Econophysics to the economic or financial domains. Since the traditional approach performed by Economics or Finance has revealed to be insufficient in fully characterizing and explaining the…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
Econophysics is a new area developed recently by the cooperation between economists, mathematicians and physicists. It's not a tool to predict future prices of stocks and exchange rates. It applies idea, method and models in Statistical…