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The canonical econophysics approach to the flash crash of May 6, 2010

Mazzeu, Joao; Otuki, Thiago; Da Silva, Sergio - Volkswirtschaftliche Fakultät, … - 2011

We carry out a statistical physics analysis of the flash crash of May 6, 2010 using data from the Dow Jones Industrial Average index sampled at a one-minute frequency from September 1, 2009 to May 31, 2010. We evaluate the hypothesis of a non-Gaussian Levy-stable distribution to model the data...

Persistent link: https://www.econbiz.de/10008855553

A new method for measuring tail exponents of firm size distributions

Fujimoto, Shouji; Ishikawa, Atushi; Mizuno, Takayuki; … - In: Economics - The Open-Access, Open-Assessment E-Journal 5 (2011), pp. 1-20

The authors propose a new method for estimating the power-law exponents of firm size variables. Their focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. On the one hand, as is well known a firm size variable follows a power-law...

Persistent link: https://www.econbiz.de/10009370680

Information-theoretic approach to quantifying currency risk

Fiedor, Paweł; Hołda, Artur - In: The Journal of Risk Finance 17 (2016) 1, pp. 93-109

Purpose – This paper aims to present a framework enriching currency risk analyses based on information theory. Design/methodology/approach – Information-theoretic measures of predictability (entropy rate) and co-dependence (mutual information) are used to enhance existing methods of...

Persistent link: https://www.econbiz.de/10014901895

Econophysics and companies : statistical life and death in complex business networks

Aoyama, Hideaki (contributor) - 2010

Persistent link: https://www.econbiz.de/10004958973

Complexities of production and interacting human behaviour

Aruka, Yūji (contributor) - 2011

Persistent link: https://www.econbiz.de/10009006612

Random processes in physics and finance

Lax, Melvin; Cai, Wei - 2006

Persistent link: https://www.econbiz.de/10010189746

Foundations and applications of complexity economics

Rosser, John Barkley - 2021

discuss the relationship between entropy, econophysics, evolution, and economic complexity, respectively, with applications in … Economics -- Chapter 3: The Complex Dynamics of Social Interactions -- Chapter 4: Econophysics, Entropy, and Complexity … -- Chapter 5: Econophysics and Entropy in Dynamically Complex Urban/Regional Systems -- Chapter 6: Complex Ecological …

Persistent link: https://www.econbiz.de/10012495767

Patterns of speculation : a study in observational econophysics

Roehner, Bertrand M. - 2002 - 1. publ.

Cover -- Half-title -- Title -- Copyright -- Contents -- Preface -- Part I Econophysics -- 1 Why econophysics? -- 1 … comparative analysis -- 2 The beginnings of econophysics -- 1 Pre-econophysics -- 1.1 Pre-econophysicists -- 1.1.1 Quételet (1796 ….2 Assessment of pre-econophysics -- 2 Institutional econophysics -- 2.1 Idiosyncrasies of economic journals -- 2.2 The beginnings …

Persistent link: https://www.econbiz.de/10012681273

Evolutionary games with sociophysics : analysis of traffic flow and epidemics

Tanimoto, Jun - 2018

Persistent link: https://www.econbiz.de/10011926276

Foundations and Applications of Complexity Economics

Rosser, Jr - 2021 - 1st ed. 2021.

Economics -- Chapter 3: The Complex Dynamics of Social Interactions -- Chapter 4: Econophysics, Entropy, and Complexity … -- Chapter 5: Econophysics and Entropy in Dynamically Complex Urban/Regional Systems -- Chapter 6: Complex Ecological … discuss the relationship between entropy, econophysics, evolution, and economic complexity, respectively, with applications in …

Persistent link: https://www.econbiz.de/10012519850