Econophysics: A New Challenge for Financial Economics?

Jovanovic, Franck; Schınckus, Chrıstophe

doi:10.1017/s1053837213000205

Cited by 27 publications

(17 citation statements)

References 110 publications

(158 reference statements)

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“…Since econophysics has been dealing with financial markets from the moment of its emergence, it has also been involved with the most critical issues in economics [68][69][70]. Financial markets rule all other markets, exerting a global effect on them.…”

Section: Discussionmentioning

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: Discussionmentioning

confidence: 99%

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

Jakimowicz

2016

Acta Phys. Pol. A

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“…According to Kutner and Grech (2008), econophysics as a field of research dates back to 1991 when Mantegna published a paper about the use of stable Lévy processes in finance. However, Jovanovic and Schinckus (2013) trace the roots 2 of the basic ideas of econophysics in finance to Benoît Mandelbrot (1963Mandelbrot ( , 1965, who saw an analogy between the evolution of financial markets and the phenomenon of turbulence 3 . Despite these and some papers on pure Lévy processes in finance written in the mid-1960s (Fama 1965, Samuelson 1965, this statistical approach was not pursued at that time, essentially because of its incompatibility with the theoretical framework used by economists (Jovanovic, et al 2013) 4 .…”

Section: Econophysics a New Field Of Researchmentioning

confidence: 99%

“…Jovanovic and Schinckus (2013) point out that Mandelbrot (1963Mandelbrot ( , 1965 and Fama (1963Fama ( , 1965) initiated a theoretical movement by using stable Lévy processes to describe financial markets. Fama (1965) also proposed a stable Lévy version of the portfolio theory.…”

Section: Iii2 Econophysics: a Multidisciplinary Fieldmentioning

confidence: 99%

“…Fama (1965) also proposed a stable Lévy version of the portfolio theory. However, stable Lévy processes were soon put aside in financial economics because the variance of stable Lévy processes does not tend towards a fixed value: the variation is said to be infinite 17 (Jovanovic andSchinckus 2010b, 2013). The infinite-variance hypothesis is meaningless 18 in the framework of financial economics where variance and the expected mean are the two main variables for their theoretical interpretations.…”

Section: Iii2 Econophysics: a Multidisciplinary Fieldmentioning

confidence: 99%

“…Moreover, Jovanovic and Schinckus (2013) explained that econophysics was created because some theoretical continuities already existed between statistical physics and financial economics due to the fact that Gaussian processes are a particular case of Lévy processes. These continuities did not imply a common language, but they do encourage the potential emergence of a common conceptual scheme based on an axiomatic which would make sense for financial economists and econophysicists as well.…”

Section: Iv1 What Transdisciplinary Econophysics Would Bementioning

confidence: 99%

See 2 more Smart Citations

Towards a transdisciplinary econophysics

Schınckus

Jovanovic

2013

Journal of Economic Methodology

Self Cite

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This paper deals with the disciplinary dimension of a very new field called econophysics and shows that despite the fact that econophysics is regularly described as an interdisciplinary approach, it is in fact a multidisciplinary field. Beyond this observation, we note that recent developments suggest that econophysics could evolve towards a more integrated field. We therefore propose a prospective approach by analyzing how this field could become transdisciplinary. In this article, we focus on financial work, and we show that a common scheme is attainable and we investigate the possibilities of a trandisciplinary econophysics which will make possible to revisit the theoretical foundations of financial economics and develop new models and theories better suited to the management of financial risks and financial markets.The contribution of this article is twofold: on the one hand it clarifies the epistemological status of econophysics, and on the other, it studies the recent evolution of econophysics and shows how this field could evolve to become transdisciplinary.

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The Sciences of Finance, Their Boundaries, Their Values

Preda

2016

Studies in Applied Philosophy, Epistemology and Rational Ethics

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Econophysics: A New Challenge for Financial Economics?

Cited by 27 publications

References 110 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

Towards a transdisciplinary econophysics

The Sciences of Finance, Their Boundaries, Their Values

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