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What can econophysics contribute to financial economics?

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  • Christophe Schinckus

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    File URL: http://hdl.handle.net/10.1007/s12232-011-0115-z
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    Bibliographic Info

    Article provided by Springer in its journal International Review of Economics.

    Volume (Year): 58 (2011)
    Issue (Month): 2 (June)
    Pages: 147-163

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    Handle: RePEc:spr:inrvec:v:58:y:2011:i:2:p:147-163

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    Web page: http://www.springer.com/economics/journal/12232

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    Related research

    Keywords: Econophysics; Financial economics; Methodology; Emergence of new field; A12; B41;

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    1. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    2. Kaldor, Nicholas, 1972. "The Irrelevance of Equilibrium Economics," Economic Journal, Royal Economic Society, vol. 82(328), pages 1237-55, December.
    3. Carmen Broto & Esther Ruiz, 2002. "Estimation Methods For Stochastic Volatility Models: A Survey," Statistics and Econometrics Working Papers ws025414, Universidad Carlos III, Departamento de Estadística y Econometría.
    4. David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Brigitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Middlebury College Working Paper Series 0901, Middlebury College, Department of Economics.
    5. Kevin Hoover & Stephen Perez, 2001. "Three attitudes towards data mining," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 195-210.
    6. LeRoy, Stephen F, 1976. "Efficient Capital Markets: Comment," Journal of Finance, American Finance Association, vol. 31(1), pages 139-41, March.
    7. David Bourghelle & Olivier Brandouy & Roland Gillet & André Orléan, 2005. "Croyances, représentations collectives et conventions en finance," ULB Institutional Repository 2013/14357, ULB -- Universite Libre de Bruxelles.
    8. Vasiliki Plerou & Parameswaran Gopikrishnan & Luis. A. Nunes Amaral & Xavier Gabaix & H. Eugene Stanley, 1999. "Economic Fluctuations and Diffusion," Papers cond-mat/9912051, arXiv.org.
    9. Viswanathan, G.M. & Fulco, U.L. & Lyra, M.L. & Serva, M., 2003. "The origin of fat-tailed distributions in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 329(1), pages 273-280.
    10. Kirman, Alan, 1989. "The Intrinsic Limits of Modern Economic Theory: The Emperor Has No Clothes," Economic Journal, Royal Economic Society, vol. 99(395), pages 126-39, Supplemen.
    11. Philippe Mongin, 2002. "Le principe de rationalité et l'unité des sciences sociales," Revue économique, Presses de Sciences-Po, vol. 53(2), pages 301-323.
    12. Stanley, H.E. & Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki, 2007. "Economic fluctuations and statistical physics: Quantifying extremely rare and less rare events in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 286-301.
    13. David Colander, 1995. "Marshallian General Equilibrium Analysis," Eastern Economic Journal, Eastern Economic Association, vol. 21(3), pages 281-293, Summer.
    14. McCauley, Joseph L., 2006. "Response to worrying trends in econophysics," MPRA Paper 2129, University Library of Munich, Germany.
    15. Vandewalle, N. & Boveroux, Ph. & Minguet, A. & Ausloos, M., 1998. "The crash of October 1987 seen as a phase transition: amplitude and universality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 255(1), pages 201-210.
    16. Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2005. "An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market," Papers physics/0509250, arXiv.org, revised Sep 2005.
    17. Jean-Philippe Bouchaud, 2002. "An introduction to statistical finance," Science & Finance (CFM) working paper archive 313238, Science & Finance, Capital Fund Management.
    18. Bouchaud, Jean-Philippe, 2002. "An introduction to statistical finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(1), pages 238-251.
    19. R. Donangelo & K. Sneppen, 1999. "Self-organization of value and demand," Papers cond-mat/9906298, arXiv.org, revised Apr 2000.
    20. J.-B. Rosser Jr., 2009. "The Nature and Future of Econophysics," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 11.
    21. Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.
    22. Laurent Calvet & Adlai Fisher, 1999. "Forecasting Multifractal Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-017, New York University, Leonard N. Stern School of Business-.
    23. Gallegati, Mauro & Keen, Steve & Lux, Thomas & Ormerod, Paul, 2006. "Worrying trends in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 1-6.
    24. Donangelo, R & Sneppen, K, 2000. "Self-organization of value and demand," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(3), pages 572-580.
    25. Lux, T. & M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
    26. repec:fth:calaec:13-89 is not listed on IDEAS
    27. Keen, Steve, 2003. "Standing on the toes of pygmies:," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 108-116.
    28. Schinckus, Christophe, 2009. "Economic uncertainty and econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4415-4423.
    29. Donald MacKenzie, 2006. "An Engine, Not a Camera: How Financial Models Shape Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262134608, December.
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