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Applications of statistical physics in finance and economics

Lux, Thomas - 2008

economics and finance. The bulk of what has recently become known as 'econophysics' in broader circles draws its motivation from … applications of statistical physics methodology in finance and attempts to evaluate the impact they have had so far on financial … the recent inception of new strands of research on this topic, both within econophysics and the neoclassical economics …

Persistent link: https://www.econbiz.de/10010273110

Stochastic behavioral asset pricing models and the stylized facts

Lux, Thomas - 2008

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...

Persistent link: https://www.econbiz.de/10010273169

Econophysical bourse volatility: Global evidence

Ghosh, Bikramaditya - In: Journal of Central Banking Theory and Practice 9 (2020) 2, pp. 87-107

Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the...

Persistent link: https://www.econbiz.de/10014558389

Worrying trends in econophysics

Gallegatti, Mauro; Keen, Steve; Lux, Thomas; Ormerod, Paul - Universita Politecnica delle Marche; University of …; … - 2006

Econophysics has already made a number of important empirical contributions to our understanding of the social and … amount of reasonably well-defined data. More recently, Econophysics has also begun to tackle other areas of economics where … methodology. Third, the belief that universal empirical regularities can be found in many areas of economic activity. Fourth, the …

Persistent link: https://www.econbiz.de/10009482163

The Corporate Social Responsibility is just a twist in a Möbius strip

Solferino, Nazaria; Solferino, Viviana - 2016

In recent years economics agents and systems have become more and more interacting and juxtaposed, therefore the social sciences need to rely on the studies of physical sciences to analyze this complexity in the relationships. According to this point of view the authors rely on the geometrical...

Persistent link: https://www.econbiz.de/10011441924

The corporate social responsibility is just a twist in a Möbius strip

Solferino, Nazaria; Solferino, Viviana - In: Economics: The Open-Access, Open-Assessment E-Journal 10 (2016) 2016-15, pp. 1-24

In recent years economic agents and systems have become more and more interactive and juxtaposed, therefore the social sciences need to rely on the studies of physical sciences to analyze this complexity in the relationships. According to this point of view, the authors rely on the geometrical...

Persistent link: https://www.econbiz.de/10011491943

The Role of Temperature in Economic Exchange - An Empirical Analysis

Dimitrijević, Bojan; Lovre, Ivan - In: Journal of Central Banking Theory and Practice 4 (2015) 3, pp. 65-89

economics, econophysics is presently a new, growing and very dynamic branch of modern science. Therefore, the subject of this …

Persistent link: https://www.econbiz.de/10012217813

Heterogeneous speculators and stock market dynamics: A simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...

Persistent link: https://www.econbiz.de/10012261253

Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-13

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

Persistent link: https://www.econbiz.de/10013200278

Relativistic option pricing

Carvalho, Vítor Hugo Ferreira; Gaspar, Raquel M. - In: International Journal of Financial Studies 9 (2021) 2, pp. 1-24

The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain circumstances, are not dissociated and...

Persistent link: https://www.econbiz.de/10013200357