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Christophe Schinckus - One of the best experts on this subject based on the ideXlab platform.
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The Santa Fe Institute and Econophysics: A Possible Genealogy?
Foundations of Science, 2021Co-Authors: Christophe SchinckusAbstract:For the last three decades, physicists have been moving beyond the boundaries of their discipline, using their methods to study various problems usually instigated by economists. This trend labeled ‘Econophysics’ can be seen as a hybrid area of knowledge that exists between economics and physics. Econophysics did not spring from nowhere—the existing literature agrees that Econophysics emerged in the 1990s and historical studies on the field mainly deal with what happened during that decade. This article aims at investigating what happened before the 1990s by clarifying the epistemic background that might have paved the way to the emergence of Econophysics. This historical exploration led me to highlight the active role played by the Santa Fe Institute by promoting interdisciplinary research on complexity in 1980s. Precisely, by defining three research themes on economic complexity, the SFI defined a research agenda and a way of extending physics\biology to economics. This article offers a possible archeology of Econophysics to clarify what could have contributed to the development of a particular episteme in the 1980s easing the advent of Econophysics in the 1990s.
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Econophysics and sociophysics their milestones challenges
Physica A-statistical Mechanics and Its Applications, 2019Co-Authors: Ryszard Kutner, Christophe Schinckus, Marcel Ausloos, Dariusz Grech, Tiziana Di Matteo, Eugene H StanleyAbstract:Abstract In this review article we present some of achievements of Econophysics and sociophysics which appear to us the most significant. We briefly explain what their roles are in building of econo- and sociophysics research fields. We point to milestones of Econophysics and sociophysics facing to challenges and open problems.
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Econophysics and sociophysics: Their milestones & challenges
Physica A: Statistical Mechanics and its Applications, 2019Co-Authors: Ryszard Kutner, Christophe Schinckus, Marcel Ausloos, Dariusz Grech, Tiziana Di Matteo, H. Eugene StanleyAbstract:Abstract In this review article we present some of achievements of Econophysics and sociophysics which appear to us the most significant. We briefly explain what their roles are in building of econo- and sociophysics research fields. We point to milestones of Econophysics and sociophysics facing to challenges and open problems.
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When Financial Economics influences Physics: The Role of Econophysics
International Review of Financial Analysis, 2019Co-Authors: Franck Jovanovic, Rosario N. Mantegna, Christophe SchinckusAbstract:This paper aims at analyzing the unexpected influence of Financial economics on Physics. The rise of Econophysics, a fundamentally new approach in finance, suggests that the influence between the two disciplines becomes less unilateral than in the past. Methodological debates emerging in Econophysics led physicists to acknowledge that dealing with financial complex systems contributed to a wider modelling of their field. The approach of econophysicists suggests that physicists might try to conceptualize physical phenomena by integrating elements they faced with in Financial economics, and more generally in Economics. Surprisingly, many of econophysicists’ argumentations have some methodological similarities with practices used in Financial economics. This paper analyzes the influence of Financial economics on Physics by discussing three examples: (i) out of equilibrium processes, (ii) signal detection and information filtering, and (iii) the role of information in complex systems. It investigates and illustrates what are the methodological changes generated by Econophysics that explain this new influence of finance on Physics. This paper sheds new light on the way finance and economics can improve physics modelling. With this purpose, this article is going one step further in the dialogue between Econophysics and economics. Indeed, by investigating the reciprocal influence between the two fields, this methodological paper identifies some areas for a better cross-fertilisation between the fields.
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Toward a Unifying Perspective on Economic Complexity: The Contribution of Chinese Econophysics Community
Theoretical Economics Letters, 2018Co-Authors: Christophe SchinckusAbstract:Recent years have witnessed a series of economic problems and financial crises, the recent subprime debacle being one of the worst. All these events called traditional economics into question and new perspectives have been developed to take into account the complexity of economic systems. This essay aims at contributing to a better understanding of a new trend labeled Econophysics through two points: 1) a discussion on the conceptual links between statistical Econophysics and agent-based Econophysics; and 2) an overview of works dealing with these links that interestingly, emphasize the importance of Econophysics in China.
Franck Jovanovic - One of the best experts on this subject based on the ideXlab platform.
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When Financial Economics influences Physics: The Role of Econophysics
International Review of Financial Analysis, 2019Co-Authors: Franck Jovanovic, Rosario N. Mantegna, Christophe SchinckusAbstract:This paper aims at analyzing the unexpected influence of Financial economics on Physics. The rise of Econophysics, a fundamentally new approach in finance, suggests that the influence between the two disciplines becomes less unilateral than in the past. Methodological debates emerging in Econophysics led physicists to acknowledge that dealing with financial complex systems contributed to a wider modelling of their field. The approach of econophysicists suggests that physicists might try to conceptualize physical phenomena by integrating elements they faced with in Financial economics, and more generally in Economics. Surprisingly, many of econophysicists’ argumentations have some methodological similarities with practices used in Financial economics. This paper analyzes the influence of Financial economics on Physics by discussing three examples: (i) out of equilibrium processes, (ii) signal detection and information filtering, and (iii) the role of information in complex systems. It investigates and illustrates what are the methodological changes generated by Econophysics that explain this new influence of finance on Physics. This paper sheds new light on the way finance and economics can improve physics modelling. With this purpose, this article is going one step further in the dialogue between Econophysics and economics. Indeed, by investigating the reciprocal influence between the two fields, this methodological paper identifies some areas for a better cross-fertilisation between the fields.
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Econophysics and Financial Economics: An Emerging Dialogue
2016Co-Authors: Franck Jovanovic, Christophe SchinckusAbstract: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 between financial 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 two financial 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 an accessible 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 remains to 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 agenda for 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.
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on the usual misunderstandings between Econophysics and finance some clarifications on modelling approaches and efficient market hypothesis
arXiv: General Finance, 2016Co-Authors: Marcel Ausloos, Franck Jovanovic, Christophe SchinckusAbstract: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 Econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori "first principles") while econophysicists rather present themselves as scholars working with a (empirical data prone) bottom-up approach. Although this dualist perspective is very common in the Econophysics literature, this paper claims that the distinction is very confusing and does not permit to reveal the essence of the differences between finance and Econophysics. The distinction between these two fields is mainly investigated here through the lens of the Efficient Market Hypothesis in order to show that, in substance, Econophysics and financial economics tend to have a similar approach implying that the misunderstanding between these two fields at the modelling level can therefore be overstepped.
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Econophysics and Financial Economics
2016Co-Authors: Franck Jovanovic, Christophe SchinckusAbstract:How can we create a profitable dialogue between financial economists and econophysicists? 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 two financial 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 an accessible vocabulary providing the first extensive analytic comparison between models and results from both fields. The book also identifies the major conceptual gatekeepers that complicate dialogue between the two communities, providing elements to overcome them. By mixing conceptual, historical, theoretical, and formal arguments, the analysis bridges the current gap 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 remains to 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 agenda for a more fruitful collaboration between econophysicists and financial economists, creating new research opportunities. It thus lays the foundations for common theoretical framework and models.
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The Emergence of Econophysics: A New Approach in Modern Financial Theory
History of Political Economy, 2013Co-Authors: Franck Jovanovic, Christophe SchinckusAbstract:Financial economics and mathematical finance are the two traditional scientific disciplines that constitute modern financial theory. Although they still largely dominate modern financial theory, in the past few years a new “player” has increasingly been making itself felt and could lead to a rethinking of some of the theoretical foundations of modern financial theory. This new player is Econophysics. Econophysics is a very recent movement that is beginning to interest increasing numbers of financial practitioners. To date, no history of Econophysics has been produced. This article aims at filling this gap. It analyzes the theoretical foundations of Econophysics and their connections with the history of financial economics. It also explores the reasons underlying the emergence of Econophysics and explains how Econophysics has become the third component of modern financial theory.
Victor M. Yakovenko - One of the best experts on this subject based on the ideXlab platform.
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Econophysics statistical mechanics approach to
Encyclopedia of Complexity and Systems Science, 2007Co-Authors: Victor M. YakovenkoAbstract: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 the Econophysics literature since late 1990s.
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Econophysics, Statistical Mechanics Approach to
arXiv: Statistical Finance, 2007Co-Authors: Victor M. YakovenkoAbstract:This is a review article for Encyclopedia of Complexity and System Science, to be published by Springer this http URL The paper reviews statistical models for money, wealth, and income distributions developed in the Econophysics literature since late 1990s.
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Research in Econophysics
arXiv: Statistical Mechanics, 2003Co-Authors: Victor M. YakovenkoAbstract: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 "Statistical Mechanics of Money, Income, and Wealth" and "Probability Distribution of Stock-Market Fluctuations."
Marcel Ausloos - One of the best experts on this subject based on the ideXlab platform.
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Econophysics and sociophysics their milestones challenges
Physica A-statistical Mechanics and Its Applications, 2019Co-Authors: Ryszard Kutner, Christophe Schinckus, Marcel Ausloos, Dariusz Grech, Tiziana Di Matteo, Eugene H StanleyAbstract:Abstract In this review article we present some of achievements of Econophysics and sociophysics which appear to us the most significant. We briefly explain what their roles are in building of econo- and sociophysics research fields. We point to milestones of Econophysics and sociophysics facing to challenges and open problems.
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Econophysics and sociophysics: Their milestones & challenges
Physica A: Statistical Mechanics and its Applications, 2019Co-Authors: Ryszard Kutner, Christophe Schinckus, Marcel Ausloos, Dariusz Grech, Tiziana Di Matteo, H. Eugene StanleyAbstract:Abstract In this review article we present some of achievements of Econophysics and sociophysics which appear to us the most significant. We briefly explain what their roles are in building of econo- and sociophysics research fields. We point to milestones of Econophysics and sociophysics facing to challenges and open problems.
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on the usual misunderstandings between Econophysics and finance some clarifications on modelling approaches and efficient market hypothesis
arXiv: General Finance, 2016Co-Authors: Marcel Ausloos, Franck Jovanovic, Christophe SchinckusAbstract: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 Econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori "first principles") while econophysicists rather present themselves as scholars working with a (empirical data prone) bottom-up approach. Although this dualist perspective is very common in the Econophysics literature, this paper claims that the distinction is very confusing and does not permit to reveal the essence of the differences between finance and Econophysics. The distinction between these two fields is mainly investigated here through the lens of the Efficient Market Hypothesis in order to show that, in substance, Econophysics and financial economics tend to have a similar approach implying that the misunderstanding between these two fields at the modelling level can therefore be overstepped.
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Econophysics and Sociophysics - Econophysics of Stock and Foreign Currency Exchange Markets
Econophysics and Sociophysics, 1Co-Authors: Marcel AusloosAbstract: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 is ultimately driven by human decision. From this human factor, Econophysics has no hope to achieve the status of an exact science, but it is interesting to discover what can be achieved, discovering potential limits and trying try to push further away these limits. A few data analysis techniques are described with emphasis on the Detrended Fluctuation Analysis ($DFA$) and the Zipf Analysis Technique ($ZAT$). Information about the original data aresketchy, but the data concerns mainly the foreign currency exchange market. The robustness of the $DFA$ technique is underlined. Additional remarks are given for suggesting further work. Models about financial value evolutions are recalled, again without going into elaborate work discussing typical agent behaviors, but rather with hopefully sufficient information such that the basic ingredients can be memorized before reading some of the vast literature on price formation. Crashes being spectacular phenomena retain our attention and do so through data analysis and basic intuitive models. A few statistical and microscopic models are outlined.
Bertrand M. Roehner - One of the best experts on this subject based on the ideXlab platform.
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Fifteen years of Econophysics: worries, hopes and prospects
arXiv: Physics and Society, 2010Co-Authors: Bertrand M. RoehnerAbstract:This anniversary paper is an occasion to recall some of the events that shaped institutional Econophysics. But in these thoughts about the evolution of Econophysics in the last 15 years we also express some concerns. Our main worry concerns the relinquishment of the simplicity requirement. Ever since the groundbreaking experiments of Galileo some three centuries ago, the great successes of physicists were largely due to the fact that they were able to decompose complex phenomena into simpler ones. Remember that the first observation of the effects of an electrical current was made by Alessandro Volta (1745-1827) on the leg of a frog! Clearly, to make sense this observation had to be broken down into several separate effects. Nowadays, with computers being able to handle huge amounts of data and to simulate any stochastic process no matter how complicated, there is no longer any real need for such a search for simplicity. Why should one spend time and effort trying to break up complicated phenomena when it is possible to handle them globally? On this new road there are several stumbling blocks, however. Do such global mathematical descriptions lead to a real understanding? Do they produce building blocks which can be used elsewhere and thus make our knowledge and comprehension to grow in a cumulative way? Should Econophysics also adopt the "globalized" perspective that has been endorsed, developed and spread by the numerous "Complexity Departments" which sprang up during the last decade?
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Patterns of Speculation: A Study in Observational Econophysics - Patterns of Speculation: A Study in Observational Econophysics
2002Co-Authors: Bertrand M. RoehnerAbstract:Preface Part I. Econophysics: 1. Why Econophysics? 2. The beginnings of Econophysics Part II. How Do Markets Work?: 3. Social man versus homo economicus 4. Organization of speculative markets Part III. Regularities in Speculative Episodes: 5. Collective behavior of investors 6. Speculative peaks: statistical regularities Part IV. Theoretical Framework: 7. Two classes of speculative peaks 8. Dynamics of speculative peaks 9. Theoretical framework: implications References Index.
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patterns of speculation a study in observational Econophysics
2002Co-Authors: Bertrand M. RoehnerAbstract:Preface Part I. Econophysics: 1. Why Econophysics? 2. The beginnings of Econophysics Part II. How Do Markets Work?: 3. Social man versus homo economicus 4. Organization of speculative markets Part III. Regularities in Speculative Episodes: 5. Collective behavior of investors 6. Speculative peaks: statistical regularities Part IV. Theoretical Framework: 7. Two classes of speculative peaks 8. Dynamics of speculative peaks 9. Theoretical framework: implications References Index.
