Related papers: Methods in Econophysics: Estimating the Probabilit…
We introduce here very briefly, through some selective choices of problems and through the sample computer simulation programs (following the request of the editor for this invited review in the Journal of Physics Through Computation), the…
Electricity price forecasting has become a critical tool for decision-making in energy markets, particularly as the increasing penetration of renewable energy introduces greater volatility and uncertainty. Historically, research in this…
Stochastic volatility modelling of financial processes has become increasingly popular. The proposed models usually contain a stationary volatility process. We will motivate and review several nonparametric methods for estimation of the…
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…
In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance Swaps
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…
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…
Much of uncertainty quantification to date has focused on determining the effect of variables modeled probabilistically, and with a known distribution, on some physical or engineering system. We develop methods to obtain information on the…
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…
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…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
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…
I review recent work in the statistics literature on instrumental variables methods from an econometrics perspective. I discuss some of the older, economic, applications including supply and demand models and relate them to the recent…
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,…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including…
In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in…
Kinematical and dynamical properties of chaotic systems are reviewed and a few applications are described.
In this paper an econophysics model for the currency exchange operations with commission is proposed. With this purpose some analogies and similarities of the processes that take place in the frame of the electrochemical system made from…
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - density quantization - is introduced which…