Related papers: Methods in Econophysics: Estimating the Probabilit…
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…
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 recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
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…
This is a review article for Encyclopedia of Complexity and System Science, to be published by Springer http://refworks.springer.com/complexity/. The paper reviews statistical models for money, wealth, and income distributions developed in…
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…
We briefly review 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 agents…
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…
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 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…
Econophysics is a science in its infancy, born about ten years ago at this time of writing, at the crossing roads of physics, mathematics, computing and of course economics and finance. It also covers human sciences, because all economics…
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…
This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneous returns and volatility functions of time-homogeneous and…
We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pricing. We relax the assumptions of constant volatility and interest rate. In doing so, we rely on the square root of the Brownian motion. We…
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…
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or…
We review some recent developments which make use of the concept of `superstatistics', an effective description for nonequilibrium systems with a varying intensive parameter such as the inverse temperature. We describe how the asymptotic…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
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…
This brief paper develops a probability density that models processes for which the physical mechanism is unknown. It has desirable properties which are not realized by densities derived from Gaussian process or other classic methods. In…