Showing 81 - 90 of 629,960
This article poses a new methodology applying the statistical analysis to the economic literature. This analysis has never been used in the history of economic thought, albeit it may open up new possibilities and provide us with further explanations so as to reconsider theoretical issues. With...
Persistent link: https://www.econbiz.de/10011293521
We propose a new method for estimating the power-law exponent of a firm size variable, such as annual sales. Our focus is on how to empirically identify a range in which a firm size variable follows a power-law distribution. As is well known, a firm size variable follows a power-law distribution...
Persistent link: https://www.econbiz.de/10013117431
complexity, and how this relates to issues in econophysics. It then reviews the criticisms that have been raised about ways in … which econophysics has been done, noting that many of these are now being dealt with. Finally, it argues that while an … to work with economists who understand the complexity critique of conventional economic theory and are thus not led …
Persistent link: https://www.econbiz.de/10013153772
We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...
Persistent link: https://www.econbiz.de/10013158884
We study the Johansen-Ledoit-Sornette (JLS) model of financial market crashes (Johansen, Ledoit, and Sornette [2000,]. “Crashes as Critical Points.” Int. J. Theor. Appl. Finan 3(2) 219- 255). On our view, the JLS model is a curious case from the perspective of the recent philosophy of...
Persistent link: https://www.econbiz.de/10012958632
theory. This new player is econophysics. Econophysics is a very recent movement that is beginning to interest increasing … financial theory. Although they still largely dominate modern financial theory, in the past few years a new “player” has … numbers of financial practionners. To date, no history of econophysics has been produced. This article aims at filling both …
Persistent link: https://www.econbiz.de/10012907162
In line with the recent research and debates about econophysics and financial economics, this article discusses on … econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori …-up approach. Although this dualist perspective is very common in the econophysics literature, this paper claims that the …
Persistent link: https://www.econbiz.de/10012907171
This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations can cause fluctuations of trade volume, price and return. We model price disturbances for transactions made under all...
Persistent link: https://www.econbiz.de/10012894518
In this article, I would like to draw attention to a method inspired by the analysis of stochastic models typical of quantum physics, and to utilise it to test a financial strategy. We start from the principal question asked by anyone involved in financial investments: Are the results obtained...
Persistent link: https://www.econbiz.de/10012918303
My recent book, Econophysics and Capital Asset Pricing: Splitting the Atom of Systematic Risk, splits beta, the capital … finance. A more comprehensive approach would integrate Econophysics and Capital Asset Pricing's spatial representation of …
Persistent link: https://www.econbiz.de/10012932183