A guided walk down Wall Street: an introduction to econophysics

Vasconcelos, Giovani L.

doi:10.1590/s0103-97332004000600002

Cited by 43 publications

(31 citation statements)

References 54 publications

(125 reference statements)

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“…They generate relatively long time series, which is a basic condition for effective application of methods of physics. Those issues are extensively discussed in the literature [45,46]. The sphere of interests of researchers also includes many other issues, such as the reasons behind business cycle fluctuations, economic growth factors, income distribution, issues of economic equilibrium, property markets, hyperinflation mechanisms, and the evolution of enterprises.…”

Section: Main Directions In the Development Of Econophysicsmentioning

confidence: 99%

Econophysics as a New School of Economic Thought: Twenty Years of Research

Jakimowicz

2016

Acta Phys. Pol. A

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In 2015, the science known as econophysics, which has been developing very quickly in latest years, celebrated its 20th anniversary. Perhaps a 20-year period is too short to evaluate the importance and achievements of econophysics, but the broad scope of research and significance of certain results encouraged me to undertake such an attempt. If societies appreciate efforts by econophysicists, perhaps we will be able to avoid next economic crises and related losses. Econophysics is a transdisciplinary science based on the observation that physical objects and economic objects can share a common theory. Since logical homologies are its foundation, it is an example of the well-known isomorphism principle formulated by Ludwig von Bertalanffy. The emergence of interdisciplinary fields of knowledge is consistent with the paradigm of general systems theory. The development of a given field of knowledge is most often measured by its ability to formulate new knowledge about reality. Progress in research can be spoken of both when the application of traditional methods leads to the discovery of new facts and when new scientific laws are discovered using new methods. Econophysics is an attempt to develop economics through the transfer of research methods and techniques from physics to economics. We are therefore dealing here with a second possibility. The methods of physics most often applied in economics include the theory of stochastic processes, cellular automata and nonlinear dynamics. This study presents the most important existing achievements of econophysics and the attempts to reconcile them with traditional economic knowledge. The accomplishment of a paradigmatic correspondence between econophysics and economics, both in the local and in the global sense, is a prerequisite for using the achievements of the former in economic policy.

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Section: Main Directions In the Development Of Econophysicsmentioning

confidence: 99%

Econophysics as a New School of Economic Thought: Twenty Years of Research

Jakimowicz

2016

Acta Phys. Pol. A

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“…A Fractional Brownian Motion (FBM) (Vasconcelos 2004), is a Gaussian process{W H (t), t > 0} with zero mean and stationary increments whose variance and covariance are given by…”

Section: Brownian and Fractional Brownian Motionmentioning

confidence: 99%

“…We adopt the Detrended Fluctuation Analysis (DFA) methodology as described in Peng et al (1994), Moreira et al (1994) and Vasconcelos (2004) for estimating the Hurst exponent. Costa and Vasconcelos (2003) find the DFA more reliable than the RS analysis for estimation of the Hurst exponent.…”

Section: Detrended Fluctuation Analysismentioning

confidence: 99%

Portuguese Stock Market: A Long-Memory Process?

Rege

Martin

2011

Business: Theory and Practice

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Abstract. This paper gives a basic overview of the various attempts at modelling stochastic processes for stock markets with a specific application to the Portuguese stock market data. Long-memory dependence in the stock prices would completely alter the data generation process and econometric models not considering the long-range dependence would exhibit poor forecasting abilities. The Hurst exponent is used to identify the presence of long-memory or fractal behaviour of the data generation process for the daily returns to ascertain if the process follows a fractional brownian motion. Detrended fluctuation analysis (DFA) using linear and quadratic trends and the Geweke Porter-Hudak methods are applied to detect the presence of long-memory or persistence. We find that the daily returns exhibit a small amount of long memory and that the quadratic trend used in the DFA overestimates the value of the Hurst exponent. These findings are corroborated by the use of the Geweke Porter-Hudak method wherein the Hurst exponent is close to the DFA using the linear trend. Keywords

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“…In previous years, for the description of the processes in socio-economic systems, along with traditional statistical analysis and data processing, the methods based on the use of approaches previously developed and used in physical sciences have been actively developed [1,15,29,35]. The mathematical formalism for analysing different aspects of the evolution of the socio-economic system [27,33,36], including network methods [23], has been intensively developed.…”

Section: Introductionmentioning

confidence: 99%

On the validity of use of physical equations and principles in the socio-economic field and on the predictability of socio-economic system dynamics

Андреев

Moscow²

2015

NAMC

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Abstract. Usually, the various empirical and semi-empirical equations and mathematical models are used to study the dynamics of socio-economic systems. In this case, there are very often questions related to the validity of application of such equations and models.In this paper, it is shown that the dynamics of socio-economic systems can be described by mathematical equations analogous to the motion equations that are well known in physics (particularly in classical mechanics). In this connection, it is possible to say that the predictability of the dynamics of a socio-economic system is described by the motion equations (i.e., Newton's equations) to the same degree that these equations predict the dynamics of the physical system. Such models allow us to determine the trends of development in the dynamics of socio-economic systems. The importance of this investigation in using adequate mathematical models is that they allow us to notice those or other adverse trends in the socio-economic systems, therefore, ensuring timely optimal management decisions.

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A guided walk down Wall Street: an introduction to econophysics

Cited by 43 publications

References 54 publications

Econophysics as a New School of Economic Thought: Twenty Years of Research

Econophysics as a New School of Economic Thought: Twenty Years of Research

Portuguese Stock Market: A Long-Memory Process?

On the validity of use of physical equations and principles in the socio-economic field and on the predictability of socio-economic system dynamics

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