Our latest contenthttp://www.moneyscience.com/Mon, 16 Mar 2009 14:22:02 +0000Almost 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] http://www.moneyscience.com/Econophysics_Focus/Eugene_Stanley_on_Econophysics_and_the_Current_Economic_Turmoil.htmlhttp://www.moneyscience.com/Econophysics_Focus/Eugene_Stanley_on_Econophysics_and_the_Current_Economic_Turmoil.htmlWed, 15 Oct 2008 10:22:22 +0100 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 http://www.moneyscience.com/Econophysics_Focus/The_Fribourg_Symposium.htmlhttp://www.moneyscience.com/Econophysics_Focus/The_Fribourg_Symposium.htmlWed, 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] http://www.moneyscience.com/Econophysics_Focus/Presentations_from_Fribourg_Symposium_on_agent-based_modeling,_risk,_and_finance.htmlhttp://www.moneyscience.com/Econophysics_Focus/Presentations_from_Fribourg_Symposium_on_agent-based_modeling,_risk,_and_finance.htmlWed, 13 Feb 2008 08:59:17 +0000Diversity 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] http://www.moneyscience.com/Econophysics_Focus/Why_youth_hostel_showers_are_like_the_stock_market.htmlhttp://www.moneyscience.com/Econophysics_Focus/Why_youth_hostel_showers_are_like_the_stock_market.htmlWed, 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] http://www.moneyscience.com/Econophysics_Focus/Econophysics_Colloquium_2008,_August_28-30,_2008.htmlhttp://www.moneyscience.com/Econophysics_Focus/Econophysics_Colloquium_2008,_August_28-30,_2008.htmlFri, 01 Feb 2008 11:58:23 +0000 Econophysics News, Links and Resources from MoneyScience. Subscribe by Email Econophysics Blogs, Articles, Resources and More. UK Library US Library http://www.moneyscience.com/Econophysics_Focus/Econophysics_Library.htmlhttp://www.moneyscience.com/Econophysics_Focus/Econophysics_Library.htmlMon, 21 Jan 2008 08:14:34 +0000 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   [Externalrss-econophysicsfocus-titles-rssl-8-30][Externalrss-econophysicsblog-titles-rssr-8-30] Econophysics Links [Linklibrarygrid-30-20] More... http://www.moneyscience.com/Econophysics_Focus/Special_Issue_on_Applications_of_Statistical_Physics_in_Economics_and_Finance.htmlhttp://www.moneyscience.com/Econophysics_Focus/Special_Issue_on_Applications_of_Statistical_Physics_in_Economics_and_Finance.htmlFri, 23 Nov 2007 13:48:41 +0000 Get the Get the Econophysics Focus Feed or subscribe by mail for more Econphysics News, Weblinks and Resources. Study of the Correlations Between Stocks of Different Markets Ricardo Coelho, Peter Richmond, Stefan Hutzler, Brian Lucey The k-generalized distribution: A new descriptive model for the size distribution of incomes F. Clementi, T. Di Matteo, M. Gallegati, G. Kaniadakis Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks Xiao-Hui Ni, Wei-Xing Zhou Martingales, the Efficient Market Hypothesis, and Spurious Stylized Facts Joseph L. McCauley, Kevin E. Bassler, Gemunu H. Gunaratne Trading activity as driven Poisson process: comparison with empirical data V. Gontis, B. Kaulakys, J. Ruseckas Influence of corruption on economic growth rate and foreign investments Boris Podobnik, Jia Shao, Djuro Njavro, Plamen Ch. Ivanov, H. Eugene Stanley Recommendation model based on opinion diffusion Yi-Cheng Zhang, Matus Medo, Jie Ren, Tao Zhou, Tao Li, Fan Yang Double power laws in income and wealth distributions Ricardo Coelho, Peter Richmond, Joseph Barry, Stefan Hutzler Econophysics Forum has an extensive collection of Econophysics papers going back to 2000. [RandomProduct-126] [Externalrss-econophysicsfocus-titles-rssl-10-300] [Externalrss-econophysicslinks-titles-rssr-10-300] http://www.moneyscience.com/Econophysics_Focus/Econophysics_Forum_-_Selection_of_papers_-_November_2007.htmlhttp://www.moneyscience.com/Econophysics_Focus/Econophysics_Forum_-_Selection_of_papers_-_November_2007.htmlTue, 20 Nov 2007 12:36:52 +0000 The trading desks of major investment banks and hedge funds have long sought maths and physics talent to try to turn science into profit. And since the dawn of markets, alchemists of all stripes have been trying to build the ultimate device that will allow a few to profit consistently. But in the 1990s, physicists began looking at ever more robust data coming from economics and finance as a way to look at market dynamics and other economic principles in a new light. The movement, for lack of a better term, was coined econophysics, although in recent years its popularity has waned. Didier Sornette, a trained statistical physicist and geophysicist and now professor of finance on the chair of entrepreneurial risks at the Swiss Federal Institute of Technology in Zurich , does not seem bothered by the waning enthusiasm for the multi-disciplinary approach. Rather, he is doing what he has done for much of his career, which is publishing not only in leading physics journals but also leading finance ones... John Bonaccolta talks to Didier Sornette in the Financial Times.   Quotes from Professor Sornette from the article: "Being a physicist looking at finance, I'm the ugly duckling, out of my familiar realm..." "What we are trying to do is examine evidence of precursory stress in the build-up to a crash - while it's impossible to determine the crash itself, most complex systems show signs of stress as they become dislocated..." "The more homogeneous the system, the less it's generally predictable - but markets work best when they're chaotic, it's when they become less chaotic that they become less stable..." "Singularity signals a regime change - it's a sign that a major, abrupt change is about to occur...Singularity is a move into the unknown - it's what we experience before an assembly of molecules changes form, from a liquid to a gas, or from magnetism to non-magnetism, for example - we're on the brink of this..." "This is where physicists have perhaps been at the forefront... The understanding of the interaction between many atoms and molecules, which in physics we refer to as the 'N-body problem', requires information throughout the whole sample. It's a phenomenon whereby the global collective system behaves as one - this is the hardest part for economists to grapple with." [Externalrss-econophysicsfocus-titles-rssl-5-30] [Externalrss-econophysicsblog-titles-rssr-7-30] [RandomProduct-126] http://www.moneyscience.com/Econophysics_Focus/Uncovering_the_dynamics_of_bubbles.htmlhttp://www.moneyscience.com/Econophysics_Focus/Uncovering_the_dynamics_of_bubbles.htmlMon, 22 Oct 2007 09:42:35 +0100Symposium on agent-based modeling, risk, and finance An event by invitation only (matus.medo@unifr.ch), University of Fribourg, Switzerland, 8-9 November 2007, sponsored by Fribourg Univ. and La Sapienza Univ.     The Econophysics movement is ten years old-counting the first econophysics meeting in Budapest in the summer 1997-so is the Minority Game. On this occasion, we will gather both academic and industry researchers to discuss mostly two themes: what physics can and will bring to economic and financial modeling, and what it can say about beating the markets. Econophysics has not much studied risk, devoting more attention to simple models of financial markets. However, agent-based models have little reason not to include risk in the behaviour of the agents. It is therefore about time to attract the attention of econophysics to risk in general, and in agent-based models in particular. The quality of people from the risk industry giving talks at the conference will certainly provide very stimulating exchanges and perspectives. The other theme we wish to be discussed is market inefficiency: is the oft-used academic assumption of market efficiency still acceptable for practitioners? How to model, measure and exploit inefficiencies in financial markets? Ten years is a long period in the Internet age. We wonder where the econophysics movement is heading. On the surface, one may say that less conferences are around; many have predicted the demise of the ‘fad’ (see Philippe Ball last year’s ranting). However we note that econophysicists just do different things these days, hang out less among themselves, being more and more integrated into ‘real things’. Ten years ago, we were talking toy models, today if you don’t see some noted physicists speaking at conferences, it’s quite safe to assume he’s too busy at beating the market. Serious monies are reported to have been made. For example among the academic stars like Bouchaud and Potters, their company manages several billions of Euros. Others play with lesser amounts, but returns are also heard to be fabulous. The question if markets can be beaten or not is probably less interesting than how it can be beaten. This symposium will be an occasion to have our past andcurrent colleagues to offer some retrospectives of the path we’ve trodden, and most importantly, where we’d go for the next ten years or more.   Organisers: Dr D. Challet, Fribourg University and ISI Dr. A. De Martino, La Sapienza University, Rome, Italy Prof. Y-C Zhang, Fribourg University   Confirmed speakers: Christophe Aebischer, SwissRe Damien Challet, Physics Department, Fribourg and ISI Turin Ton Coolen, King's College, London Michel Dacorogna, Scor Stephane Daul, RiskMetrics Andrea De Martino, La Sapienza, Rome Tobias Galla, Theoretical Physics, Manchester Sorin Solomon, Hebrew University and ISI Turin Didier Sornette, ETH, Zurich Yi-Cheng Zhang, Physics Department, Fribourg Gilles Zumbach, RiskMetrics http://www.moneyscience.com/Econophysics_Focus/Can_physicists_beat_the_markets._A_retrospective_of_the_first_ten_years_of_Econophysics_and_prospects.htmlhttp://www.moneyscience.com/Econophysics_Focus/Can_physicists_beat_the_markets._A_retrospective_of_the_first_ten_years_of_Econophysics_and_prospects.html