Classical Econophysics

Classical Econophysics

The book begins by examining the most basic feature of economic life – production – and asks what it is about physical laws that allows production to take place. How is it that human labour is able to modify the world?

Author: Allin F. Cottrell

Publisher: Routledge

ISBN: 9781134020751

Category: Business & Economics

Page: 384

View: 513

This monograph examines the domain of classical political economy using the methodologies developed in recent years both by the new discipline of econo-physics and by computing science. This approach is used to re-examine the classical subdivisions of political economy: production, exchange, distribution and finance. The book begins by examining the most basic feature of economic life – production – and asks what it is about physical laws that allows production to take place. How is it that human labour is able to modify the world? It looks at the role that information has played in the process of mass production and the extent to which human labour still remains a key resource. The Ricardian labour theory of value is re-examined in the light of econophysics, presenting agent based models in which the Ricardian theory of value appears as an emergent property. The authors present models giving rise to the class distribution of income, and the long term evolution of profit rates in market economies. Money is analysed using tools drawn both from computer science and the recent Chartalist school of financial theory. Covering a combination of techniques drawn from three areas, classical political economy, theoretical computer science and econophysics, to produce models that deepen our understanding of economic reality, this new title will be of interest to higher level doctoral and research students, as well as scientists working in the field of econophysics.
Categories: Business & Economics

Econophysics

Econophysics

The original papers in this collection present a broad summary of these advances, written by interdisciplinary specialists.

Author: Gheorghe Săvoiu

Publisher: Academic Press

ISBN: 9780124046269

Category: Business & Economics

Page: 168

View: 299

The remarkable evolution of econophysics research has brought the deep synthesis of ideas derived from economics and physics to subjects as diverse as education, banking, finance, and the administration of large institutions. The original papers in this collection present a broad summary of these advances, written by interdisciplinary specialists. Included are studies on subjects in the development of econophysics; on the perspectives offered by econophysics on large problems in economics and finance, including the 2008-9 financial crisis; and on higher education and group decision making. The introductions and insights they provide will benefit everyone interested in applications of this new transdisciplinary science. Ten papers present an updated version of the origins, issues, and applications of econophysics Economics and finance chapters consider lessons learned from the 2008-9 financial crisis Sociophysics chapters propose new thinking on educational reforms and group decision making
Categories: Business & Economics

Introduction to Econophysics

Introduction to Econophysics

This pioneering text explores the use of these concepts in the description of financial systems, the dynamic new specialty of econophysics.

Author: Rosario N. Mantegna

Publisher: Cambridge University Press

ISBN: 0521039878

Category: Business & Economics

Page: 164

View: 448

Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling, permit an understanding of the global behavior of economic systems without first having to work out a detailed microscopic description of the system. This pioneering text explores the use of these concepts in the description of financial systems, the dynamic new specialty of econophysics. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully-developed turbulent fluids and apply them to financial time series. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Physicists will find the application of statistical physics concepts to economic systems fascinating. Economists and other financial professionals will benefit from the book's empirical analysis methods and well-formulated theoretical tools that will allow them to describe systems composed of a huge number of interacting subsystems.
Categories: Business & Economics

New Perspectives and Challenges in Econophysics and Sociophysics

New Perspectives and Challenges in Econophysics and Sociophysics

This book presents the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology.

Author: Frédéric Abergel

Publisher: Springer

ISBN: 3030113639

Category: Science

Page: 272

View: 322

This book presents the latest perspectives and challenges within the interrelated fields of econophysics and sociophysics, which have emerged from the application of statistical physics to economics and sociology. Economic and financial markets appear to be in a permanent state of flux. Billions of agents interact with each other, giving rise to complex dynamics of economic quantities at the micro and macro levels. With the availability of huge data sets, researchers can address questions at a much more granular level than was previously possible. Fundamental questions regarding the aggregation of actions and information and the coordination, complexity, and evolution of economic and financial networks are currently receiving much attention in the econophysics research agenda. In parallel, the sociophysics literature has focused on large-scale social data and their interrelations. In this book, leading researchers from different communities – economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others – report on their recent work and their analyses of economic and social behavior.
Categories: Science

Practical Fruits of Econophysics

Practical Fruits of Econophysics

Professionals, researchers, and students will find an invaluable resource in this first book of its kind to summarize the latest work in the field of econophysics.

Author: Hideki Takayasu

Publisher: Springer Science & Business Media

ISBN: 4431289143

Category: Business & Economics

Page: 390

View: 207

The proceedings of the Third Nikkei Econophysics Symposium, "Business Models in the 21st Century - Risk Management and Expectations for Econophysics," held in Tokyo in November 2004, are gathered herein. Cutting-edge research on the practical application of econophysics is included, covering such topics as the predictability of markets, the analysis of rare events, the mechanism of crashes and bubbles, markets’ correlation and risk management, investment strategy, stochastic market simulations, agent-based market simulations, wealth distribution, and network structures in economics, most of which are beyond the scope of standard financial technology. New market models and financial-data analysis methods are introduced, and dynamic aspects of markets and economy are highlighted. Professionals, researchers, and students will find an invaluable resource in this first book of its kind to summarize the latest work in the field of econophysics.
Categories: Business & Economics

Econophysics

Econophysics

Author: Gheorghe Săvoiu

Publisher: Elsevier Inc. Chapters

ISBN: 9780128068649

Category: Business & Economics

Page: 178

View: 931

Categories: Business & Economics

Econophysics

Econophysics

Filling the gap for an up-to-date textbook in this relatively new interdisciplinary research field, this volume provides readers with a thorough and comprehensive introduction.

Author: Sitabhra Sinha

Publisher: John Wiley & Sons

ISBN: 9783527408153

Category: Science

Page: 352

View: 519

Filling the gap for an up-to-date textbook in this relatively new interdisciplinary research field, this volume provides readers with a thorough and comprehensive introduction. Based on extensive teaching experience, it includes numerous worked examples and highlights in special biographical boxes some of the most outstanding personalities and their contributions to both physics and economics. The whole is rounded off by several appendices containing important background material.
Categories: Science

Experimental Econophysics

Experimental Econophysics

The latter one has been extensively discussed in the existing books, while the former one has been seldom touched. In this book, the author will focus on the branch of experimental econophysics.

Author: Ji-Ping Huang

Publisher: Springer

ISBN: 9783662442340

Category: Science

Page: 192

View: 394

Experimental Econophysics describes the method of controlled human experiments, which is developed by physicists to study some problems in economics or finance, namely, stylized facts, fluctuation phenomena, herd behavior, contrarian behavior, hedge behavior, cooperation, business cycles, partial information, risk management, and stock prediction. Experimental econophysics together with empirical econophysics are two branches of the field of econophysics. The latter one has been extensively discussed in the existing books, while the former one has been seldom touched. In this book, the author will focus on the branch of experimental econophysics. Empirical econophysics is based on the analysis of data in real markets by using some statistical tools borrowed from traditional statistical physics. Differently, inspired by the role of controlled experiments and system modelling (for computer simulations and/or analytical theory) in developing modern physics, experimental econophysics specially relies on controlled human experiments in the laboratory (producing data for analysis) together with agent-based modelling (for computer simulations and/or analytical theory), with an aim at revealing the general cause-effect relationship between specific parameters and emergent properties of real economic/financial markets. This book covers the basic concepts, experimental methods, modelling approaches, and latest progress in the field of experimental econophysics.
Categories: Science

The Story of Econophysics

The Story of Econophysics

This book will appeal to the lay-reader with an interest in the history of what is today termed ‘Econophysics’, looking at various works throughout the ages that have led to the emergence of this field.

Author: Kishore Chandra Dash

Publisher: Cambridge Scholars Publishing

ISBN: 9781527538887

Category: Business & Economics

Page: 222

View: 395

This book will appeal to the lay-reader with an interest in the history of what is today termed ‘Econophysics’, looking at various works throughout the ages that have led to the emergence of this field. It begins with a discussion of the philosophers and scientists who have contributed to this discipline, before moving on to considering the contributions of different institutions, books, journals and conferences in nurturing the subject.
Categories: Business & Economics

Macro Econophysics

Macro Econophysics

This book explains the role of big data and statistical physics in understanding macroeconomic concepts.

Author: Hideaki Aoyama

Publisher: Cambridge University Press

ISBN: 9781107198951

Category: Business & Economics

Page: 432

View: 369

This book explains the role of big data and statistical physics in understanding macroeconomic concepts.
Categories: Business & Economics

Econophysics of Agent Based Models

Econophysics of Agent Based Models

The primary goal of this book is to present the research findings and conclusions of physicists, economists, mathematicians and financial engineers working in the field of "Econophysics" who have undertaken agent-based modelling, comparison ...

Author: Frédéric Abergel

Publisher: Springer Science & Business Media

ISBN: 9783319000237

Category: Science

Page: 302

View: 132

The primary goal of this book is to present the research findings and conclusions of physicists, economists, mathematicians and financial engineers working in the field of "Econophysics" who have undertaken agent-based modelling, comparison with empirical studies and related investigations. Most standard economic models assume the existence of the representative agent, who is “perfectly rational” and applies the utility maximization principle when taking action. One reason for this is the desire to keep models mathematically tractable: no tools are available to economists for solving non-linear models of heterogeneous adaptive agents without explicit optimization. In contrast, multi-agent models, which originated from statistical physics considerations, allow us to go beyond the prototype theories of traditional economics involving the representative agent. This book is based on the Econophys-Kolkata VII Workshop, at which many such modelling efforts were presented. In the book, leading researchers in their fields report on their latest work, consider recent developments and review the contemporary literature.
Categories: Science

The Application of Econophysics

The Application of Econophysics

There are other surprising findings. This volume is the proceedings of a workshop on "application of econophysics" at which leading international researchers discussed their most recent results.

Author: Hideki Takayasu

Publisher: Springer Science & Business Media

ISBN: 9784431539476

Category: Science

Page: 343

View: 611

Econophysics is a newborn field of science bridging economics and physics. A special feature of this new science is the data analysis of high-precision market data. In economics arbitrage opportunity is strictly denied; however, by observing high-precision data we can prove the existence of arbitrage opportunity. Also, financial technology neglects the possibility of market prediction; however, in this book you can find many examples of predicted events. There are other surprising findings. This volume is the proceedings of a workshop on "application of econophysics" at which leading international researchers discussed their most recent results.
Categories: Science

Essentials of Econophysics Modelling

Essentials of Econophysics Modelling

The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.

Author: Frantisek Slanina

Publisher: Oxford University Press

ISBN: 9780199299683

Category: Business & Economics

Page: 432

View: 174

This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the economic processes as interactions of inanimate particles. Here, the methods of physics are especially useful. Examples of systems modelled in such a way include books of stock-market orders, and redistribution of wealth among individuals. Network effects are investigated in the interaction of economic agents. The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.
Categories: Business & Economics

Econophysics of Stock and other Markets

Econophysics of Stock and other Markets

This book reviews the latest econophysics researches on the fluctuations in stock, forex and other markets.

Author: Arnab Chatterjee

Publisher: Springer Science & Business Media

ISBN: 8847005027

Category: Science

Page: 255

View: 292

This book reviews the latest econophysics researches on the fluctuations in stock, forex and other markets. The statistical modeling of markets, using various agent-based game theoretical approaches, and their scaling analysis have been discussed. The leading researchers in these fields have reported on their recent work and also reviewed the contemporary literature. Some historical perspectives as well as some comments and debates on recent issues in econophysics research have also been included.
Categories: Science

Econophysics

Econophysics

Author: Gheorghe Săvoiu

Publisher: Elsevier Inc. Chapters

ISBN: 9780128068700

Category: Business & Economics

Page: 178

View: 776

Categories: Business & Economics

Econophysics and Financial Economics

Econophysics and Financial Economics

This book provides the first extensive analytic comparison between models and results from econophysics and financial economics in an accessible and common vocabulary.

Author: Franck Jovanovic

Publisher: Oxford University Press

ISBN: 9780190205034

Category:

Page: 248

View: 802

What is econophysics? What makes an econophysicist? Why are financial economists reluctant to use results from econophysics? Can we overcome disputes concerning hypotheses used in financial economics and that make no sense for econophysicists? How can we create a profitable dialogue betweenfinancial economists and econophysicists? How do we develop a common theoretical framework allowing the creation of more efficient models for the financial industry? This book moves beyond the disciplinary frontiers in order to initiate the development of a common theoretical framework that makes sense for both traditionally trained financial economists and econophysicists. Unlike other publications dedicated to econophysics, this book is written by twofinancial economists and it situates econophysics in the evolution of financial economics. The major issues that concern the collaboration between the two fields are analyzed in detail. More specifically, this book explains the theoretical and methodological foundations of these two fields in anaccessible vocabulary providing the first extensive analytic comparison between models and results from both fields. The book also identifies the major conceptual gate-keepers that complicate dialogue between the two communities while it provides elements to overcome them. By mixing conceptual, historical, theoretical and formal arguments our analysis bridges the current deaf dialogue between financial economists and econophysicists. This book details the recent results in econophysics that bring it closer to financial economics. So doing, it identifies what remainsto be done for econophysicists to contribute significantly to financial economics. Beyond the clarification of the current situation, this book also proposes a generic model compatible with the two fields, defining minimal conditions for common models. Finally, this book provides a research agendafor a more fruitful collaboration between econophysicists and financial economists, creating new research opportunities. In this perspective, it lays the foundations for common theoretical framework and models.
Categories:

Econophysics and Data Driven Modelling of Market Dynamics

Econophysics and Data Driven Modelling of Market Dynamics

This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of ...

Author: Frédéric Abergel

Publisher: Springer

ISBN: 9783319084732

Category: Science

Page: 353

View: 573

This book presents the works and research findings of physicists, economists, mathematicians, statisticians, and financial engineers who have undertaken data-driven modelling of market dynamics and other empirical studies in the field of Econophysics. During recent decades, the financial market landscape has changed dramatically with the deregulation of markets and the growing complexity of products. The ever-increasing speed and decreasing costs of computational power and networks have led to the emergence of huge databases. The availability of these data should permit the development of models that are better founded empirically, and econophysicists have accordingly been advocating that one should rely primarily on the empirical observations in order to construct models and validate them. The recent turmoil in financial markets and the 2008 crash appear to offer a strong rationale for new models and approaches. The Econophysics community accordingly has an important future role to play in market modelling. The Econophys-Kolkata VIII conference proceedings are devoted to the presentation of many such modelling efforts and address recent developments. A number of leading researchers from across the globe report on their recent work, comment on the latest issues, and review the contemporary literature.
Categories: Science

Empirical Science of Financial Fluctuations

Empirical Science of Financial Fluctuations

This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics.

Author: Hideki Takayasu

Publisher: Springer Science & Business Media

ISBN: 9784431669937

Category: Science

Page: 352

View: 105

Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.
Categories: Science

Econophysics and Sociophysics

Econophysics and Sociophysics

This is the first book providing a panoramic view of these developments in the last decade.

Author: Bikas K. Chakrabarti

Publisher: John Wiley & Sons

ISBN: 9783527609581

Category: Science

Page: 648

View: 768

Using tricks to handle coupled nonlinear dynamical many-body systems, several advancements have already been made in understanding the behavior of markets/economic/social systems and their dynamics. The book intends to provide the reader with updated reviews on such major developments in both econophysics and sociophysics, by leading experts in the respective fields. This is the first book providing a panoramic view of these developments in the last decade.
Categories: Science

Econophysics of Wealth Distributions

Econophysics of Wealth Distributions

... is therefore different from the claim that (m(Am,m)) ~ N To summarize, we have revisited the three recent models of wealth distribution in Econophysics.

Author: Arnab Chatterjee

Publisher: Springer Science & Business Media

ISBN: 9788847003897

Category: Business & Economics

Page: 248

View: 679

We all know the hard fact: neither wealth nor income is ever uniform for us all. Justified or not, they are unevenly distributed; few are rich and many are poor! Investigations for more than hundred years and the recent availability of the income distribution data in the internet (made available by the finance ministries of various countries; from the tax return data of the income tax departments) have revealed some remarkable features. Irrespective of many differences in culture, history, language and, to some extent, the economic policies followed in different countries, the income distribution is seen to fol low a particular universal pattern. So does the wealth distribution. Barring an initial rise in population with income (or wealth; for the destitutes), the population decreases either exponentially or in a log-normal way for the ma jority of 'middle income' group, and it eventually decreases following a power law (Pareto law, following Vilfredo Pareto's observation in 1896) for the rich est 5-10 % of the population! This seems to be an universal feature - valid for most of the countries and civilizations; may be in ancient Egypt as well! Econophysicists tried to view this as a natural law for a statistical ma- body-dynamical market system, analogous to gases, liquids or solids: classical or quantum.
Categories: Business & Economics