Related papers: Research in Econophysics
In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail…
The new framework for finance is proposed. This framework based on three known approaches in econophysics. Assumptions of the framework are the following: 1. For the majority of situations market follows non-arbitrage condition. 2. For the…
The first part of the paper is devoted to the foundations, that is the mathematical and physical justification, of equilibrium statistical mechanics. It is a pedagogical attempt, mostly based on Khinchin's presentation, which purpose is to…
This article presents an overview of neutrino physics research, with highlights on the physics goals, results and interpretations of the current neutrino experiments and future directions and program. It is not meant to be a comprehensive…
The flux of turbulent kinetic energy from large to small spatial scales is measured in a small domain B of varying size R. The probability distribution function of the flux is obtained using a time-local version of Kolmogorov's four-fifths…
Bridging the gap between individual agent behavior and macroscopic societal patterns is a central challenge in the social sciences. In this work, we propose a solution to this problem via a kinetic theory formulation. We demonstrate that…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
We develop a general framework to analyze the distribution functions of wealth and income. Within this framework we study wealth distribution in a society by using a model which turns on two-party trading for poor people while for rich…
In this paper, we test predictions of a new theory of macroeconomics, called "thermal macroeconomics." The theory aims to apply the mathematical structure of classical thermodynamics, including analogues of temperature and entropy, to…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
This survey develops a dual analysis, consisting, first, in a bibliometric examination and, second, in a close literature review of all the scientific production around cryptocurrencies conducted in economics so far. The aim of this paper…
Asset exchange models (AEMs) provide a physics-inspired framework for studying wealth formation. These models capture wealth distribution dynamics via pairwise money exchanges, yielding steady-state distributions from exponential to…
We summarize the papers published by Einstein in the Annalen der Physik in the years 1902-04 on the derivation of the properties of thermal equilibrium on the basis of the mechanical equations of motion and of the calculus of probabilities.…
Understanding the physics of non-equilibrium systems remains as one of the major open questions in statistical physics. This problem can be partially handled by investigating macroscopic fluctuations of key magnitudes that characterise the…
These are the lecture notes for the summer course given for 2018 Mathematical Finance Summer School at Shandong Unversity. It contains a brief introduction to the Kyle model and the related topics in filtering, enlargement of filtrations…
Atmospheric Cherenkov technique is an established methodology to study TeV energy gamma rays. Here we carry out systematic monte carlo simulation studies of the timing information of Cherenkov photons. Extensive studies have already been…
Physics and economics are two disciplines that share the common challenge of linking microscopic and macroscopic behaviors. However, while physics is based on collective dynamics, economics is based on individual choices. This conceptual…
Biological, linguistic, sociological and economical applications of statistical physics are reviewed here. They have been made on a variety of computers over a dozen years, not only at the NIC computers. A longer description can be found in…
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…
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…