752 research outputs found
Regrets, learning and wisdom
This contribution discusses in what respect Econophysics may be able to
contribute to the rebuilding of economics theory. It focuses on aggregation,
individual vs collective learning and functional wisdom of the crowds.Comment: 9 pages, 1 figure. Opinion paper submitted to European Physical
Journal - Special Topics "Can economics be a physical science?
Quantum Brownian motion model for the stock market
It is believed by the majority today that the efficient market hypothesis is
imperfect because of market irrationality. Using the physical concepts and
mathematical structures of quantum mechanics, we construct an econophysics
framework for the stock market, based on which we analogously map massive
numbers of single stocks into a reservoir consisting of many quantum harmonic
oscillators and their stock index into a typical quantum open system--a quantum
Brownian particle. In particular, the irrationality of stock transactions is
quantitatively considered as the Planck constant within Heisenberg's
uncertainty relationship of quantum mechanics in an analogous manner. We
analyze real stock data of Shanghai Stock Exchange of China and investigate
fat-tail phenomena and non-Markovian behaviors of the stock index with the
assistance of the quantum Brownian motion model, thereby interpreting and
studying the limitations of the classical Brownian motion model for the
efficient market hypothesis from a new perspective of quantum open system
dynamics
Econophysics: agent-based models
This article is the second part of a review of recent empirical and theoretical developments usually grouped under the heading Econophysics. In the first part, we reviewed the statistical properties of financial time series, the statistics exhibited in order books and discussed some studies of correlations of asset prices and returns. This second part deals with models in Econophysics from the point of view of agent-based modeling. Of the large number of multiagent- based models, we have identified three representative areas. First, using previous work originally presented in the fields of behavioral finance and market microstructure theory, econophysicists have developed agent-based models of order-driven markets that we discuss extensively here. Second, kinetic theory models designed to explain certain empirical facts concerning wealth distribution are reviewed. Third, we briefly summarize game theory models by reviewing the now classic minority game and related problems.
From Social Simulation to Integrative System Design
As the recent financial crisis showed, today there is a strong need to gain
"ecological perspective" of all relevant interactions in
socio-economic-techno-environmental systems. For this, we suggested to set-up a
network of Centers for integrative systems design, which shall be able to run
all potentially relevant scenarios, identify causality chains, explore feedback
and cascading effects for a number of model variants, and determine the
reliability of their implications (given the validity of the underlying
models). They will be able to detect possible negative side effect of policy
decisions, before they occur. The Centers belonging to this network of
Integrative Systems Design Centers would be focused on a particular field, but
they would be part of an attempt to eventually cover all relevant areas of
society and economy and integrate them within a "Living Earth Simulator". The
results of all research activities of such Centers would be turned into
informative input for political Decision Arenas. For example, Crisis
Observatories (for financial instabilities, shortages of resources,
environmental change, conflict, spreading of diseases, etc.) would be connected
with such Decision Arenas for the purpose of visualization, in order to make
complex interdependencies understandable to scientists, decision-makers, and
the general public.Comment: 34 pages, Visioneer White Paper, see http://www.visioneer.ethz.c
Evolutionary Economics celebrates Innovation and Creativity based Economy\ud
The paper draws issue on the evolutionary economics that open our mind on seeing economy as growing and living organism with any characters of robustness, self-organization, adaptation, and evolution. This has been recognized, as in global picture, we enter the phase in which information and knowledge acquisition rapidly plays a major role in economy. The discussions is presented by demonstrating some qualitative properties and theoretical explorations on long range historical economic growth and development and thus followed by some highlights on innovation, creativity and elaborations regarding to fitness landscapes incorporating memetics, as works related to social and cultural aspects of social system, while talking about economic system in general. The discussions depicts some important notions on market and product diversifications that have been the source of the economic growth in general
- âŠ