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Klaus Reiner Schenk-hoppé - One of the best experts on this subject based on the ideXlab platform.
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Preface to the special issue Stochastic Financial Economics
Mathematics and Financial Economics, 2011Co-Authors: Sjur Didrik Flåm, Klaus Reiner Schenk-hoppéAbstract:The special issue Stochastic Financial Economics (published in two parts, volume 1 and 2) relates to the international conference Stochastic Economics and Finance held in Bergen, Norway, 12–13 June 2011. The conference was sponsored by the Norwegian FinanceMarket Fund (project Stochastic Dynamics of Financial Markets, 2010–2012). From the joint mission of the scientific meeting and the journal Mathematics and Financial Economics—the strengthening of the links between mathematics and Economics and finance—the idea for this special issue was born. We thank the Editor-in-chief Ivar Ekeland and his predecessor Elyes Jouini for their initiative and support in publishing this special issue. All papers have undergone the standard anonymous refereeing process of Mathematics and Financial Economics.
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Introduction to the special issue Stochastic Financial Economics , Volume 2
Mathematics and Financial Economics, 2011Co-Authors: Sjur Didrik Flåm, Klaus Reiner Schenk-hoppéAbstract:Outlined here are the research papers published in Volume 2 of the special issue Stochastic Financial Economics, each dealing with convex risk measures.
Sjur Didrik Flåm - One of the best experts on this subject based on the ideXlab platform.
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Preface to the special issue Stochastic Financial Economics
Mathematics and Financial Economics, 2011Co-Authors: Sjur Didrik Flåm, Klaus Reiner Schenk-hoppéAbstract:The special issue Stochastic Financial Economics (published in two parts, volume 1 and 2) relates to the international conference Stochastic Economics and Finance held in Bergen, Norway, 12–13 June 2011. The conference was sponsored by the Norwegian FinanceMarket Fund (project Stochastic Dynamics of Financial Markets, 2010–2012). From the joint mission of the scientific meeting and the journal Mathematics and Financial Economics—the strengthening of the links between mathematics and Economics and finance—the idea for this special issue was born. We thank the Editor-in-chief Ivar Ekeland and his predecessor Elyes Jouini for their initiative and support in publishing this special issue. All papers have undergone the standard anonymous refereeing process of Mathematics and Financial Economics.
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Introduction to the special issue Stochastic Financial Economics , Volume 2
Mathematics and Financial Economics, 2011Co-Authors: Sjur Didrik Flåm, Klaus Reiner Schenk-hoppéAbstract:Outlined here are the research papers published in Volume 2 of the special issue Stochastic Financial Economics, each dealing with convex risk measures.
Franck Jovanovic - One of the best experts on this subject based on the ideXlab platform.
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The Development of Financial Economics in France between the Mid-1970s and the Early 1980s: Import or Rediscovery?
2020Co-Authors: Franck Jovanovic, Guy NumaAbstract:To date, little research has documented the international diffusion of Financial Economics. Financial Economics was supposedly “introduced” in France in the 1970s. Some analysts have argued that it is an American author—Leonard J. Savage—who allowed French authors to rediscover Louis Bachelier’s work, indicating that “a prophet is not without honor, save in his own country.” The present article challenges this conventional narrative and studies for the first time how Financial Economics was disseminated in France between the mid-1970s and the early 1980s. It shows that, when Financial Economics was “imported” from the United States in France in 1970s, some pioneering French contributions have been taught for almost a century. Based on this result, the article explains why the French authors who disseminated these ideas rarely referred to the works of French forerunners. It also clarifies the role of the French economists in this process. All of this suggests that the “import” of Financial Economics in France was in fact a reintroduction.
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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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breaking down the barriers between econophysics and Financial Economics
International Review of Financial Analysis, 2016Co-Authors: Franck Jovanovic, Christophe SchinckusAbstract:This article highlights the current misunderstanding between economists and econophysicists by adopting the Financial economists' viewpoint in order to explain why the works developed by econophysicists are not recognized in finance. Because both communities do not share the same scientific culture, and for the other reasons developed in the article, economists often consider econophysics as a strictly empirical field without theoretical justification. This paper shows the opposite; it also tries to facilitate the dialogue between econophysicists who often do not explain in details their theoretical roots and Financial economists who are not familiar with statistical physics. Beyond this clarification, this paper also identifies what remains to be done for econophysicists to contribute significantly to Financial Economics: 1) development of a common framework/vocabulary in order to better compare and integrate the two approaches; 2) development of generative models explaining the emergence of power laws; and 3) development of statistical tests for the identification of such statistical regularities.
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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.
G. William Schwert - One of the best experts on this subject based on the ideXlab platform.
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The Remarkable Growth in Financial Economics, 1974-2020
2020Co-Authors: G. William SchwertAbstract:Academic finance has grown and evolved in the 46 years since the Journal of Financial Economics (JFE) began publishing papers. This paper uses detailed data on the 2,858 papers written by 3,152 different authors published in the JFE from 1974-2019. Cumulatively, these papers have received 278,018 citations from other published papers as reflected in the Social Science Citation Index. Increasing computing power and electronic communication has resulted in trends toward more empirical work, more co-authorship, and more complex papers. Growth in the demand for finance faculty has driven up faculty salaries, and therefore the demand for journal services. Also see the Internet appendix for additional data.
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The journal of Financial Economics*1: A retrospective evaluation (1974-1991)
Journal of Financial Economics, 1993Co-Authors: G. William SchwertAbstract:Data for the 516 papers published in volumes 1–30 of the Journal of Financial Economics in the period 1974–91 are analyzed. 477 authors from 136 institutions contributed papers, and these papers received 16,231 citations according to the Social Science Citation Index. Lists of authors and institutions who have contributed the most papers to the JFE and a list of the mostly highly-cited JFE papers show why the Journal has been successful in influencing the finance and Economics literature during its first 18 years.
Christophe Schinckus - 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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breaking down the barriers between econophysics and Financial Economics
International Review of Financial Analysis, 2016Co-Authors: Franck Jovanovic, Christophe SchinckusAbstract:This article highlights the current misunderstanding between economists and econophysicists by adopting the Financial economists' viewpoint in order to explain why the works developed by econophysicists are not recognized in finance. Because both communities do not share the same scientific culture, and for the other reasons developed in the article, economists often consider econophysics as a strictly empirical field without theoretical justification. This paper shows the opposite; it also tries to facilitate the dialogue between econophysicists who often do not explain in details their theoretical roots and Financial economists who are not familiar with statistical physics. Beyond this clarification, this paper also identifies what remains to be done for econophysicists to contribute significantly to Financial Economics: 1) development of a common framework/vocabulary in order to better compare and integrate the two approaches; 2) development of generative models explaining the emergence of power laws; and 3) development of statistical tests for the identification of such statistical regularities.
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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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ECONOPHYSICS: A NEW CHALLENGE FOR Financial Economics?
Journal of The History of Economic Thought, 2013Co-Authors: Franck Jovanovic, Christophe SchinckusAbstract:Financial Economics was born in the 1960s. It took less than two decades for the new discipline's main theoretical results to become established, creating what is considered to be mainstream Financial Economics. Less than thirty years later, a new field of research called econophysics was created. This field aims to reinvent modern Financial theory and, indirectly, Financial Economics. This article proposes to study, by an historical analysis, to what extent econophysics today could constitute one of the major theoretical challenges to Financial Economics. It shows how these two fields have historical similarities, and analyzes how these similarities call the future evolution of Financial theory into question. Copyright © The History of Economics Society 2013.