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Introduction to Econophysics
This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
The Rise and Fall of Business Firms
Combining a statistical physics approach and rigorous econometric analysis, this new framework looks at growth and decline in business firms.
Empirical Science of Financial Fluctuations
Financial fluctuations were generally neglected in classical ecnomics and their basic statistical properties have only recently been elucidated in the emerging field of econophysics, a new science that analyzes data using methods developed by statistical physics, such as chaos, fractals, and phase transitions. This volume is the proceedings of a workshop at which leading international researchers in this discipline discussed their most recent results and examined the validity of the empirical laws of econophysics. Topics include stock market prices and foreign exchange rates, income distribution, market anomalies, and risk management. The papers herein relate econophysics to other models, present new models, and illustrate the mechanisms by which financial fluctuations occur using actual financial data. Containing the most recent econophysics results, this volume will serve as an indispensable reference for economic theorists and practitioners alike.
Computational Social Science and Complex Systems
For many years, the development of large-scale quantitative social science was hindered by a lack of data. Traditional methods of data collection like surveys were very useful, but were limited. The situation has of course changed with the development of computing and information communication technology, and we now live in a world of data deluge, where the question has become how to extract important information from the plethora of data that can be accessed. Big Data has made it possible to study societal questions which were once impossible to deal with, but new tools and new multidisciplinary approaches are required. Physicists, together with economists, sociologists, computer scientists...
Random Matrices
Random Matrices gives a coherent and detailed description of analytical methods devised to study random matrices. These methods are critical to the understanding of various fields in in mathematics and mathematical physics, such as nuclear excitations, ultrasonic resonances of structural materials, chaotic systems, the zeros of the Riemann and other zeta functions. More generally they apply to the characteristic energies of any sufficiently complicated system and which have found, since the publication of the second edition, many new applications in active research areas such as quantum gravity, traffic and communications networks or stock movement in the financial markets. This revised and ...
The Science of Disasters
This book tackles these questions by applying advanced methods from statistical physics and related fields to all types of non-linear dynamics prone to disaster. It gives readers an insight into the problems of catastrophes and is one of the first books on the theories of disaster. Based on physical and mathematical theories, the general principles of disaster appearance are explained.
Essentials of Econophysics Modelling
This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the...
Stable Non-Gaussian Random Processes
This book serves as a standard reference, making this area accessible not only to researchers in probability and statistics, but also to graduate students and practitioners. The book assumes only a first-year graduate course in probability. Each chapter begins with a brief overview and concludes with a wide range of exercises at varying levels of difficulty. The authors supply detailed hints for the more challenging problems, and cover many advances made in recent years.
Trades, Quotes and Prices
A deep-dive into the heart of modern financial markets, the authors explore why and how people trade - and the consequences.
Introduction to Phase Transitions and Critical Phenomena
First published in 1971, this highly popular text is devoted to the interdisciplinary area of critical phenomena, with an emphasis on liquid-gas and ferromagnetic transitions. Advanced undergraduate and graduate students in thermodynamics, statistical mechanics, and solid state physics, as well as researchers in physics, mathematics, chemistry, and materials science, will welcome this paperback edition of Stanley's acclaimed text.
