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WARNING: Physics Envy May Be Hazardous To Your Wealth!
Quantitative Finance Efficient Markets Financial Crisis
2010/10/19
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in...
Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -
Micro-Macro Relation Double Scaling Law Statistical Physics
2010/10/19
We show that an economic system populated by multiple agents generates an equilibrium distribution in the form of multiple scaling laws of conditional PDFs, which are sufficient for characterizing the...
Complex Systems: From Nuclear Physics to Financial Markets
Financial Physics Correlations Cross-correlations log-periodicity collectivity in nuclei
2010/11/2
We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in cha...
From Physics to Economics: An Econometric Example Using Maximum Relative Entropy
econophyisics econometrics entropy maxent bayes
2010/10/29
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be appli...