All New Econophysics Focus Feed

Twitter: The Complex Networks of Economic Interactions: Essays in Agent-Based Economics and Econophysics (Lecture Notes i... http://t.co/kA3sjTXh

MelyssaHodkiewi (Melyssa Hodkiewicz) — Wed, 30 May 2012 05:31:41 +0000

The Complex Networks of Economic Interactions: Essays in Agent-Based Economics and Econophysics (Lecture Notes i... http://t.co/kA3sjTXh

Twitter: Importance of individual events in temporal networks - Econophysics Forum's blog - MoneyScience http://t.co/Ib6fNoB8 @moneyscience #networks

drago_carlo (Carlo Drago) — Tue, 29 May 2012 09:55:05 +0000

Importance of individual events in temporal networks - Econophysics Forum's blog - MoneyScience http://t.co/Ib6fNoB8 @moneyscience #networks

Twitter: http://t.co/JghoksWm

j368 (Joy Healey) — Sun, 27 May 2012 18:08:56 +0000

http://t.co/JghoksWm

Twitter: Patterns of Speculation: A Study in Observational Econophysics: The main objective of this book is to show that ... http://t.co/B9FibJ8O

CarsonBogan1 (Carson Bogan) — Sun, 27 May 2012 06:17:38 +0000

Patterns of Speculation: A Study in Observational Econophysics: The main objective of this book is to show that ... http://t.co/B9FibJ8O

Twitter: RT @hansubkim: 22May12 RTRS-(이용혁의 FICC이야기⑩) CDS vs 합성(Synthetic) CDS 롱숏 거래 http://t.co/gfiTG9zt

eurek1 (Koo wonseok) — Sun, 27 May 2012 02:37:22 +0000

RT @hansubkim: 22May12 RTRS-(이용혁의 FICC이야기⑩) CDS vs 합성(Synthetic) CDS 롱숏 거래 http://t.co/gfiTG9zt

Weblink: Statistical mechanics of money, debt, and energy consumption

Fri, 13 Aug 2010 09:23:24 +0000

Victor Yakovenko reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s.

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Notices: Eugene Stanley on Econophysics and the Current Economic Turmoil

Mon, 16 Mar 2009 14:22:02 +0000

Almost every physicist by now has heard of the fast-growing subdiscipline of "econophysics", a field characterized by collaborations between physicists and economists and focused on asking if new insights or even laws could emerge if the concepts and approaches of statistical physics were brought to bear on questions that originate in economics. And almost everyone, physicist or nonphysicist, has by now heard that the economies of every country–large or small, Eastern or Western–are witnessing truly huge fluctuations. So it is natural to ask "Does econophysics have anything to say about the current financial/economic turmoil?" The answer to this question is a resounding "Yes!" since econophysics is statistical physics applied to the economy, and fluctuations are the substance of statistical physics. In economics, the probability density function (pdf) of price changes has been studied for over 100 years, ever since the PhD thesis of Bachelier in 1900 analyzed real data–without benefit of computers. Then, to understand the pattern he witnessed, he introduced a model which today we call the drunkard's walk. This is the model immortalized to the general public in the aphorism "random walk down Wall Street."... H. Eugene Stanley writes in the December issue of the American Physical Society Newsletter (pdf). The Econophysics Hub at MoneyScience. [Externalrss-econophysicslinks-titles-rssl-6-30] [Externalrss-FinanceFocus-titles-rssr-6-30] [RandomProduct-167]

Weblink: The Stock Market from a Physicist's Point of View

Fri, 13 Feb 2009 14:56:09 +0000

Lectures by Stephen Kinsella, Ph.D - Junior Lecturer in Economics, Kemmy Business School, University of Limerick, Ireland.

Notices: The Fribourg Symposium

Wed, 15 Oct 2008 09:22:22 +0000

Notice Posted at Econophysics Forum: Dear Colleagues, Last November we had an exciting gathering of many people who are/were physicists or other natural scientists but are working in finance, insurance and related sectors — an occasion built upon the so-called econophysics community that brought together both academics and practitioners in an intimate encounter. We would like to host a similar event this year on the 7th of November in Fribourg. As a matter of fact we would like to make it a yearly meeting, generally in the fall, a one- or two-day event that we will tentatively call the "Fribourg Symposium". Under this title we will regularly bring together a community of (mostly) Europe-based scientists and former scientists to exchange ideas and discuss the latest trends and tumults in global finance, along with modelling and analysis of these phenomena via agent based approaches, information and data-mining methods. We will complement these very current topics with discussion of broader issues relating to man and society. Last year we made the following prescient statement, which now looks like more of an understatement: "Econophysics has not much studied risk... It is therefore about time to attract the attention of econophysics to risk in general." This year we will place a far greater emphasis on the risk aspect of understanding and modelling. Currently we would like to limit attendance to about 40 people in total. If you are interested, please send an enquiry, along with supporting materials, to econophysics@unifr.ch. Econophysics Hub at MoneyScience. [Externalrss-econophysicslinks-titles-rssr-8-30] [Externalrss-Complexity-titles-rssl-8-30] Econophysics News, Links and Resources from MoneyScience Subscribe by Email Econophysics Hub Econophysics Papers at arXiv Econophysics Library

Weblink: Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance

Mon, 22 Sep 2008 09:05:59 +0000

Nassim Taleb writes: Outside the Platonic world of financial models, assuming the underlying distribution is a scalable "power law", we are unable to find a consequential difference between finite and infinite variance models - a central distinction emphasized in the econophysics literature and the financial economics tradition.

Weblink: Econophysics: historical perspectives

Wed, 27 Feb 2008 08:53:28 +0000

By Gilles Daniel and Didier Sornette. Econophysics embodies the recent upsurge of interest by physicists into financial economics, driven by the availability of large amount of data, job shortage in physics and the possibility of applying many-body techniques developed in statistical and theoretical physics to the understanding of the self-organizing economy. This brief historical survey emphasizes that Econophysics has many historical precursors, and is in fact rooted in a continuous cross-fertilization between economics and physics that has been active in the last centuries.

Notices: Presentations from Fribourg Symposium on agent-based modeling, risk, and finance

Wed, 13 Feb 2008 09:20:53 +0000

Thursday, 8th November Ton Coolen (King's College, London), Ongoing and future applications of generating functional analysis to MG-type models - pdf Stéphane Daul (RiskMetrics), How to capture risk in hedge funds - pdf Didier Sornette (ETH Zürich), A two-Factor Asset Pricing Model based on the Fat Tail Distribution of Firm Sizes - pdf Georges Harras (ETH Zürich), An evolving Potts model of financial markets with threefold input agents - pdf Tobias Galla (University of Manchester), Chaos and stability in learning two-player random games - pdf Yu Chen (University of Tokyo), Analysis of the market mechanism for price fluctuations by using a minority game model - ppt David Bree (ISI Torino), The mechanism underlying log periodic power law fits to financial crashes - pdf Friday, 9th November Damien Challet (Fribourg University and ISI), Heterogeneity and predictability - pdf Michel Dacorogna (SCOR), Bootstrapping the economy - a non-parametric method of generating consistent future scenarios for the world economy - pdf Andrea De Martino (La Sapienza, Rome), How good a model for a financial market is a MG? - pdf Jeffrey Satinover (University of Nice), "Illusion of Control" in Time-Horizon Minority and Parrondo Games - ppt Dawn Sun (Interactive Brokers), A platform for implementing trading models and interacting directly with the Markets - pdf Joseph Wakeling (Fribourg University), Interactive Minority Game - pdf Marc Potters (Capital Fund Management), My life in a hedge fund - ppt Diethelm Wuertz (ETH Zürich), Rmetrics - A Rapid Model Prototyping System for Computational Finance and Financial Engineering - pdf Jean-Francois Emmenegger (Fribourg University), Discrete Fourier Transform to Calculate alpha-stable Distributions: Application to Risk Evaluation - pdf The Full Program and a list of participants is also available at Econophysics Forum. [Externalrss-econophysicsfocus-titles-rssl-6-30] Resources Focus On Financial Recruitment Financial Education Financial Publishing Financial Technology Financial Services Hedge Funds Forex Financial Conferences Financial Training Link Library > Blogs & Blogging > Research & Learning >> General Math >> Historical Resources >> Introductions & Guides >> Reading Lists >> Research Engines >> Study Guides & Strategies >> Tutorials & Lecture Notes > Web Links by Subject > Publications & Papers >> Featured Articles >> eBooks >> Scholarly Journals >> Papers & research >> Preprint & ePrint Servers >> Review Papers > General Resources >> Recruitment & Careers >> Communities & Groups >> Directories & Portals >> Financial Calculators >> Financial Glossaries >> Forums & Discussion >> Fun & Games >> Gambling & Markets >> Podcasts & Audio >> Software & Coding >> Video Resources Financial Services Directory Accounting Services Banking & Investment Business Schools Conferences & Events Communications & Marketing Consulting Services Financial Publishing Hedge Fund Services Legal Services Recruitment Services Software & Technology Stocks & Trading Training Providers More 100 Most Recent Posts Financial Intelligence Bookshop US Financial Intelligence Bookshop UK Wiley Finance Library Hedge Fund Tutorials Information Base [RandomProduct-126]

Notices: Why youth hostel showers are like the stock market

Wed, 13 Feb 2008 08:59:17 +0000

Diversity keeps you warm. At least that is true while you're having a shower in youth hostels. If you like, this sums up the research project just published by scientists from the Universities of Fribourg and Bonn. Their result is not as trivial as it sounds. Ultimately it shows that heterogeneity provides stability, whether this is in a shower, in power grids or even on the stock market. Having a shower in a youth hostel can be risky when there is not enough hot water for everybody. If only one visitor turns up the hot tap during the early morning shower, everyone else is threatened by an icy gush of water. This unwanted form of hydrotherapy is particularly likely to happen when all the shower taps have the same possible settings, in other words if cold and hot water can be adjusted to exactly the same amount in all showers. But if the water taps in each shower have their individual quirks, the risk of extreme fluctuations is less. At least that is what the Bonn economist Christina Matzke and her colleague Damien Challet, a physicist at the University of Fribourg, say. They modelled the temperature profile of showers in a youth hostel on the computer. 'All in all, heterogeneous taps offer advantages - they prevent the average shower temperature of all guests from suddenly dropping or rising,' Christina Matzke explains. 'From the perspective of the individual they also have disadvantages, as it's more difficult for each person to set the right temperature.' The problem sounds comical, but in principle it can be applied to all situations where people compete for a scarce resource, whether this is hot water, electricity or equities. One thing is always true, the more individualistic the behaviour of those involved in the market is, the more stable the whole system becomes. Put simply, the only reason why our electricity grid does not break down is that not all the inhabitants of Germany switch on the tumble drier at the same time. And if all shareholders made strictly rational decisions on their investments, there would probably be a lot more turbulence on the stock market. The result is also significant from a theoretical point of view. 'We show what different results economic models can produce, depending on whether they are based on homogeneous or heterogeneous behaviour,' Christina Matzke emphasises. Accordingly, it is important to account for differences in individual behaviour when making forecasts. Although it sounds obvious, economists long ignored this insight. For decades their models were dominated by 'homo economicus', an imaginary standardised market investor who always made rational decisions rather than deciding according to individual criteria. You can get this paper (pdf) from the Bonn Graduate School of Economics. You might also be interested in the Econophysics Hub, here at MoneyScience. [Externalrss-econophysicsfocus-titles-rssl-6-30] Resources Focus On Financial Recruitment Financial Education Financial Publishing Financial Technology Financial Services Hedge Funds Forex Financial Conferences Financial Training Link Library > Blogs & Blogging > Research & Learning >> General Math >> Historical Resources >> Introductions & Guides >> Reading Lists >> Research Engines >> Study Guides & Strategies >> Tutorials & Lecture Notes > Web Links by Subject > Publications & Papers >> Featured Articles >> eBooks >> Scholarly Journals >> Papers & research >> Preprint & ePrint Servers >> Review Papers > General Resources >> Recruitment & Careers >> Communities & Groups >> Directories & Portals >> Financial Calculators >> Financial Glossaries >> Forums & Discussion >> Fun & Games >> Gambling & Markets >> Podcasts & Audio >> Software & Coding >> Video Resources Financial Services Directory Accounting Services Banking & Investment Business Schools Conferences & Events Communications & Marketing Consulting Services Financial Publishing Hedge Fund Services Legal Services Recruitment Services Software & Technology Stocks & Trading Training Providers More 100 Most Recent Posts Financial Intelligence Bookshop US Financial Intelligence Bookshop UK Wiley Finance Library Hedge Fund Tutorials Information Base More Econophysics [Linklibrarygrid-30-15]

Notices: Econophysics Colloquium 2008, August 28-30, 2008

Wed, 06 Feb 2008 11:32:44 +0000

August 28-30, 2008 Kiel, Germany Aims The annual colloquium, now in its fourth consecutive year, provides a platform for the presentation of interdisciplinary ideas from different communities, for instance economics and finance, physics, mathematics, biology, computer science, engineering, etc. The conference's main aim is to foster an open-minded, cross-fertilizing, and regular exchange of ideas among scholars and practitioners of the different fields in a friendly environment. Conference Topics Conference topics traditionally include the application of methods and modeling paradigms from statistical physics and complexity science to socio-economic questions and problems, for instance in the following fields: Statistical and probabilistic methods in economics and finance Multi-scaling analysis and modeling Complex socio-economic networks Agent-based models in economics and finance Evolutionary economics Information, bounded rationality, and learning Markets as complex adaptive systems Non-linear dynamics and econometrics Important Dates Deadline for abstract submission - April 25, 2008 Notification of acceptance - May 30, 2008 Deadline for paper submission - July 18, 2008 Deadline for registration - August 1, 2008 Organizers Simone Alfarano - Reiner Franke - Thomas Lux - Mishael Milakovic Further Information. [Externalrss-econophysicsfocus-titles-rssl-8-30][Externalrss-econophysicslinks-titles-rssr-8-30] [RandomProduct-5] [RandomCompany-126]

Weblink: Econophysics, Statistical Mechanics Approach to (pdf)

Thu, 22 Nov 2007 14:57:08 +0000

This review article by Victor Yakovenko for the Encyclopedia of Complexity and System Science looks at the statistical models for money, wealth, and income distributions developed in the econophysics literature since late 1990s.

Weblink: The Dynamics of Financial Markets - Mandelbrot's multifractal cascades, and beyond

Tue, 02 Oct 2007 06:49:00 +0000

By Lisa Borland, Jean-Philippe Bouchaud, Jean-Francois Muzy, Gilles Zumbach. This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the main statistical features of financial time series, in particular the intermittent, long-memory nature of the volatility. We describe in details the Bacry-Muzy-Delour multifractal random walk. We point out some inadequacies of the current models, in particular concerning time reversal symmetry, and propose an alternative family of multi-timescale models, intermediate between GARCH models and multifractal models, that seem quite promising.

Weblink: The Statistical Mechanic

Mon, 17 Sep 2007 21:11:28 +0000

Deep thoughts about physics, statistics and all that.

Weblink: fracalmo.org

Mon, 17 Sep 2007 13:57:29 +0000

This site is developed by a research group interested in modelling processes in applied sciences (physics, engineering, finance, biology, ...) via mathematical methods based on fractional calculus. The name fracalmo originates from fractional calculus modelling.

Weblink: Benoit Mandelbrot Home Page

Thu, 13 Sep 2007 18:02:31 +0000

Benoit B. Mandelbrot, PhD, (born November 20, 1924) is a Franco-American mathematician, best known as the "father of fractal geometry".

Weblink: Econophysics Research at the University of Maryland

Thu, 13 Sep 2007 09:02:33 +0000