Between complexity of modelling and modelling of complexity: An essay on econophysics

Schınckus, Chrıstophe

doi:10.1016/j.physa.2013.04.005

Cited by 33 publications

(17 citation statements)

References 103 publications

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“…In line with these works, Schinckus (2013b) showed that agent-based econophysics deal with this "small tent complexity" defined by Arthur et al (1997). Although we had to mention it here, this complexity and the kind of econophysics it implies (agent-based econophysics), we will not deal with it in this paper [15] which rather focuses on complexity related to statistical econophysics.…”

Section: Econophysics and Complexitymentioning

confidence: 55%

“…whose interactions generate observable macro properties that all components obey. Within this perspective, there is no modeling of the rational or/and individual behavior [14] and the main objective is to describe the past economic data through models whose ability to describe is implicitly associated with the explanatory dimension of the models (Schinckus, 2013b).…”

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confidence: 99%

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Duality of knowledge, singularity of method

Schınckus

Akdere

2018

JABES

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Purpose How a micro-founded discipline such as economics could deal with the increasing global economic reality? This question has been asked frequently since the last economic crisis that appeared in 2008. In this challenging context, some commentators have turned their attention to a new area of knowledge coming from physics: econophysics which mainly focuses on a macro-analysis of economic systems. By showing that concepts used by econophysicists are consistent with an existing economic knowledge (developed by J.S. Mill), the purpose of this paper is to claim that an interdisciplinary perspective is possible between these two communities. Design/methodology/approach The authors propose a historical and conceptual analysis of the key concept of emergence to emphasize the potential bridge between econophysics and economics. Findings Six methodological arguments will be developed in order to show the existence of conceptual bridges as a necessary condition for the elaboration of a common language between economists and econophysics which would not be superfluous, in this challenging context, to clarify the growing complexity of economic phenomena. Originality/value Although the economics and econophysics study same the complex economic phenomena, very few collaborations exist between them. This paper paves a conceptual/methodological path for more collaboration between the two fields.

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Section: Econophysics and Complexitymentioning

confidence: 55%

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confidence: 99%

Duality of knowledge, singularity of method

Schınckus

Akdere

2018

JABES

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“…In the 1990s physicists turned their attention to economics and social sciences, and particularly nancial economics [17]. This interest has given rise to econophysics, i.e., a quantitative approach to social and economic phenomena using models and concepts coming mainly from statistical physics [18][19][20].…”

Section: U(t S(t)) = Max{ S(t) − K}mentioning

confidence: 99%

Nonlinear Schrödinger approach to European option pricing

Wróblewski

2017

Open Physics

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This paper deals with numerical option pricing methods based on a Schrödinger model rather than the Black-Scholes model. Nonlinear Schrödinger boundary value problems seem to be alternatives to linear models which better re ect the complexity and behavior of real markets. Therefore, based on the nonlinear Schrödinger option pricing model proposed in the literature, in this paper a model augmented by external atomic potentials is proposed and numerically tested. In terms of statistical physics the developed model describes the option in analogy to a pair of two identical quantum particles occupying the same state. The proposed model is used to price European call options on a stock index. the model is calibrated using the Levenberg-Marquardt algorithm based on market data. A Runge-Kutta method is used to solve the discretized boundary value problem numerically. Numerical results are provided and discussed. It seems that our proposal more accurately models phenomena observed in the real market than do linear models.

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“…Within the so-called "econophysics" approach to economy as a complex system [13,14], wealth exchange models depict a society as an ensemble of individuals (possibly heterogeneous, like in a network [15,16]) which at any given time possess a well-defined amount of money and constantly interact with each other paying or receiving fixed or variable amounts. The money paid may represent expenses for the purchase of goods and services, while the money received may represent the profit from sales, a salary received etc.…”

Section: Appendix B Wealth Exchange and "Yard Sale" Models In Econopmentioning

confidence: 99%

Statistics of Binary Exchange of Energy or Money

Bertotti

Modanese

2017

Entropy

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Why does the Maxwell-Boltzmann energy distribution for an ideal classical gas have an exponentially thin tail at high energies, while the Kaniadakis distribution for a relativistic gas has a power-law fat tail? We argue that a crucial role is played by the kinematics of the binary collisions. In the classical case the probability of an energy exchange far from the average (i.e., close to 0% or 100%) is quite large, while in the extreme relativistic case it is small. We compare these properties with the concept of "saving propensity", employed in econophysics to define the fraction of their money that individuals put at stake in economic interactions.

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Between complexity of modelling and modelling of complexity: An essay on econophysics

Cited by 33 publications

References 103 publications

Duality of knowledge, singularity of method

Duality of knowledge, singularity of method

Nonlinear Schrödinger approach to European option pricing

Statistics of Binary Exchange of Energy or Money

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