This chapter reviews recent research adopting methods from statistical physics in theoretical or empirical work in economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from observed scaling laws in financial markets and the...

This review deals with several microscopic models of financial markets which have been studied by economists and physicists over the last decade: Kim- Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of...

Die Forschung zum Gebiet der Marktmikrostruktur hat in den letzten zwanzig Jahren einen beachtlichen Aufschwung erfahren. Dies gilt für die theoretische und empirische Forschung gleichermaßen. Mittlerweile ist die Literatur schwer zu überschauen. Allein die modelltheoretischen Beiträge sind...

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In...