Journal of Economic Dynamics and Control - January 2008.
Introduction to special issue on ‘Applications of Statistical Physics in Economics and Finance’
J. Doyne Farmer and Thomas Lux
Classical thermodynamics and economic general equilibrium theory
Eric Smith and Duncan K. Foley
Thermodynamic limits of macroeconomic or financial models: One- and two-parameter Poisson–Dirichlet models
Masanao Aoki
Inter-pattern speculation: Beyond minority, majority and $-games
Damien Challet
Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
Simone Alfarano, Thomas Lux and Friedrich Wagner
Stock market crashes as social phase transitions
Moshe Levy
Continuous cascade models for asset returns
E. Bacry, A. Kozhemyak and Jean-François Muzy
An empirical behavioral model of liquidity and volatility
Szabolcs Mike and J. Doyne Farmer
Cluster analysis for portfolio optimization
Vincenzo Tola, Fabrizio Lillo, Mauro Gallegati and Rosario N. Mantegna
A network analysis of the Italian overnight money market
Giulia Iori, Giulia De Masi, Ovidiu Vasile Precup, Giampaolo Gabbi and Guido Caldarelli
Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
Bernd Rosenow
Quantifying and understanding the economics of large financial movements
Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou and H. Eugene Stanley
A Profile of Professor Alexander Lipton-Lifschitz, former New York head of foreign exchange product development, Deutsche Bank.
By Gary Stix. Financial engineering can lessen exposure to the perils of running a multibillion-dollar business or a small household. But mathematical models used by this discipline may present a new set of hazards.
Emanuel Derman in the SLAC Colloquium Series: Quantitative financial modeling seems to employ both the language and techniques of physics, but how similar are the two disciplines in theory and practice? This talk discusses the move from physics to finance, the nature of financial modeling and its deceptive similarity with theoretical physics, what it's like to work in the financial arena, and some of the open problems of interest.
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This blog is dedicated to exploring the application of quantitative tools from mathematics, physics, and other natural sciences to issues in finance, economics, and the social sciences.
An international and interdisciplinary conversation about human organizations as complex systems and the implications of complexity science for those organizations. With a unique format blending the integrity of academic inquiry and the impact of business practice, E:CO integrates multiple perspectives in management theory, research, practice and education.
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Advances in Complex Systems is a quarterly journal that aims to provide a unique medium of communication for multidisciplinary approaches, either empirical or theoretical, to the study of complex systems. Its goals is to promote cross-fertilization of ideas among all the scientific disciplines having to deal with their own complex systems, including biology, physics, engineering, economics, cognitive science and the social sciences.
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An international and interdisciplinary conversation about human organizations as complex systems and the implications of complexity science for those organizations. With a unique format blending the integrity of academic inquiry and the impact of business practice.
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Physica A publishes research in the field of statistical mechanics and its applications. Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents. Applications of the techniques of statistical mechanics are widespread, and include applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.
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.
Deep thoughts about physics, statistics and all that.
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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.
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In this interview Akash Bandyopadhyay explains how he made the transition from Natural Science to Financial Economics and become a faculty member atone of the world's top business schools in a short span of only five years.
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This mailing list isn't used as much as it once was but it's still a good place to make announcements on the application of statistical Physics methods to Financial problems.
Damien Challet has made a collection of papers on the Minority Game and added a small comment on their content. There is an explosion of interest in this rapidly developing field. Putting all those papers together may help a reader to have an overview.
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A good 15 minute segment from BBC Radio 4's 'Material World' programme.
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The objective of CINEF is to bring engineering, computer science, mathematics and physics to face problem solving in economics and finance.
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