IDEAS home Printed from https://ideas.repec.org/b/oxp/obooks/9780199299683.html
   My bibliography  Save this book

Essentials of Econophysics Modelling

Author

Listed:
  • Slanina, Frantisek

    (Institute of Physics, Academy of Sciences of the Czech Republic)

Abstract

This book is a course in methods and models rooted in physics and used in modelling economic and social phenomena. It covers the discipline of econophysics, which creates an interface between physics and economics. Besides the main theme, it touches on the theory of complex networks and simulations of social phenomena in general. After a brief historical introduction, the book starts with a list of basic empirical data and proceeds to thorough investigation of mathematical and computer models. Many of the models are based on hypotheses of the behaviour of simplified agents. These comprise strategic thinking, imitation, herding, and the gem of econophysics, the so-called minority game. At the same time, many other models view the economic processes as interactions of inanimate particles. Here, the methods of physics are especially useful. Examples of systems modelled in such a way include books of stock-market orders, and redistribution of wealth among individuals. Network effects are investigated in the interaction of economic agents. The book also describes how to model phenomena like cooperation and emergence of consensus. The book will be of benefit to graduate students and researchers in both Physics and Economics.

Suggested Citation

  • Slanina, Frantisek, 2013. "Essentials of Econophysics Modelling," OUP Catalogue, Oxford University Press, number 9780199299683.
    • Handle: RePEc:oxp:obooks:9780199299683
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    References listed on IDEAS

    as
    1. Thomas Lux & Eleni Samanidou & Stefan Reitz (ed.), 2005. "Nonlinear Dynamics and Heterogeneous Interacting Agents," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-27296-0, December.
    2. Oltheten, Elisabeth & Theoharakis, Vasilis & Travlos, Nickolaos G., 2005. "Faculty Perceptions and Readership Patterns of Finance Journals: A Global View," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(1), pages 223-239, March.
    3. AfDB AfDB, . "Africa’s Voice and Financier," African Development Fund Series, African Development Bank, number 12 edited by Jihene Aissaoui.
    4. Stanley, H.Eugene & Buldyrev, Sergey V & Cruz, Luis & Gomez-Isla, Teresa & Havlin, Shlomo & Hyman, Bradley T & Knowles, Roger & Urbanc, Brigita & Wyart, Claire, 1998. "Statistical physics and Alzheimer’s disease," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 249(1), pages 460-471.
    5. A. Nagurney, 2001. "Finance and variational inequalities-super-," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 309-317, March.
    6. Carmen M. Reinhart & Kenneth S. Rogoff, 2014. "This Time is Different: A Panoramic View of Eight Centuries of Financial Crises," Annals of Economics and Finance, Society for AEF, vol. 15(2), pages 215-268, November.
    7. Roehner,Bertrand M., 2002. "Patterns of Speculation," Cambridge Books, Cambridge University Press, number 9780521802635.
    8. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Varieties of Crises and Their Dates," Introductory Chapters, in: This Time Is Different: Eight Centuries of Financial Folly, Princeton University Press.
    9. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Stanley, H.E. & Buldyrev, S.V. & Canpolat, M. & Meyer, M. & Mishima, O. & Sadr-Lahijany, M.R. & Scala, A. & Starr, F.W., 1998. "The puzzling statistical physics of liquid water," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 257(1), pages 213-232.
    11. 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.
    12. Eli Amir & Baruch Lev & Theodore Sougiannis, 2003. "Do financial analysts get intangibles?," European Accounting Review, Taylor & Francis Journals, vol. 12(4), pages 635-659.
    13. Blume, Lawrence E. & Durlauf, Steven N., 2005. "The Economy As an Evolving Complex System III: Current Perspectives and Future Directions," OUP Catalogue, Oxford University Press, number 9780195162592.
    14. Bertrand M. Roehner, 2009. "Hidden Collective Factors in Speculative Trading," Springer Books, Springer, number 978-3-642-03048-2, November.
    15. Bouchaud, Jean-Philippe & Marsili, Matteo & Roehner, Bertrand M & Slanina, František, 2001. "Application Of Physics In Economic Modelling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 1-1.
    16. anonymous, 2003. "Can emotion affect financial markets?," Financial Update, Federal Reserve Bank of Atlanta, vol. 16(Q 3).
    17. anonymous, 2002. "Financial stability well rooted in U.S," Annual Report, Federal Reserve Bank of St. Louis.
    18. anonymous, 2003. "Financial assimilation of immigrants conference," Profitwise, Federal Reserve Bank of Chicago, issue Dec.
    19. anonymous, 2003. "Get the facts: financial literacy makes cents," e-Perspectives, Federal Reserve Bank of Dallas, issue 1.
    20. Akira Namatame & Taisei Kaizouji & Yuuji Aruka (ed.), 2006. "The Complex Networks of Economic Interactions," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28727-8, December.
    21. An, Yunbi & Cheung, Keith, 2010. "Project financing: Deal or no deal," Review of Financial Economics, Elsevier, vol. 19(2), pages 72-77, April.
    22. ., 2006. "Physical and Social Indicators," Chapters, in: Middle East Oil Exporters, chapter 5, Edward Elgar Publishing.
    23. anonymous, 2002. "A fresh approach to Financial Update," Financial Update, Federal Reserve Bank of Atlanta, vol. 15(Oct), pages 1-5.
    24. Perez, A.A, 2001. "Comment on “On the multinomial logic model” [Physica A 269 (1999) 9–15]," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(3), pages 606-606.
    25. Bouchaud,Jean-Philippe & Potters,Marc, 2003. "Theory of Financial Risk and Derivative Pricing," Cambridge Books, Cambridge University Press, number 9780521819169.
    26. ., 2006. "The Nature of the Problem," Chapters, in: Reforming China’s State-owned Enterprises and Banks, chapter 1, Edward Elgar Publishing.
    27. Levy, Haim & Levy, Moshe & Solomon, Sorin, 2000. "Microscopic Simulation of Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780124458901.
    28. Ian Ball, 2003. "Modern financial management practices," OECD Journal on Budgeting, OECD Publishing, vol. 2(2), pages 49-76.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Thorsten Hens & Sabine Elmiger, 2019. "Economic Foundations for Finance," Springer Texts in Business and Economics, Springer, number 978-3-030-05427-4, August.
    2. Cardoso, Ben-Hur Francisco & Iglesias, José Roberto & Gonçalves, Sebastián, 2021. "Wealth concentration in systems with unbiased binary exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 579(C).
    3. Kiran Sharma & Anirban Chakraborti, 2016. "Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?," Papers 1606.06051, arXiv.org, revised Aug 2018.
    4. Bonggyun Ko & Jae Wook Song & Woojin Chang, 2016. "Simulation of financial market via nonlinear Ising model," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 27(04), pages 1-15, April.
    5. dos Santos, Renato Vieira & da Silva, Linaena Méricy, 2015. "Discreteness induced extinction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 17-25.
    6. Kei Katahira & Yu Chen, 2019. "Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game," Papers 1909.03185, arXiv.org.
    7. Karl Naumann-Woleske & Michael Benzaquen & Maxim Gusev & Dimitri Kroujiline, 2021. "Capital Demand Driven Business Cycles: Mechanism and Effects," Papers 2110.00360, arXiv.org, revised Sep 2022.
    8. V'it Perv{z}ina & Jan M. Swart, 2016. "How much market making does a market need?," Papers 1612.00981, arXiv.org, revised Jun 2018.
    9. Cardoso, Ben-Hur Francisco & Gonçalves, Sebastián & Iglesias, José Roberto, 2020. "Wealth distribution models with regulations: Dynamics and equilibria," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. John Fry, 2014. "Bubbles, shocks and elementary technical trading strategies," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 87(1), pages 1-13, January.
    2. Willis, Geoff, 2011. "Why money trickles up – wealth & income distributions," MPRA Paper 30851, University Library of Munich, Germany.
    3. Caroline Michellier & Patrick Pigeon & Francois Kervyn & Eleonore Wolff, 2016. "Contextualizing vulnerability assessment: a support to geo-risk management in central Africa," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 82(1), pages 27-42, May.
    4. Y. Lemp'eri`ere & C. Deremble & P. Seager & M. Potters & J. P. Bouchaud, 2014. "Two centuries of trend following," Papers 1404.3274, arXiv.org.
    5. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    6. J.M. Fry, 2012. "Exogenous and endogenous market crashes as phase transitions in complex financial systems," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(12), pages 1-6, December.
    7. Bertrand M. Roehner, 2010. "Fifteen years of econophysics: worries, hopes and prospects," Papers 1004.3229, arXiv.org.
    8. Tölö, Eero, 2019. "Predicting systemic financial crises with recurrent neural networks," Bank of Finland Research Discussion Papers 14/2019, Bank of Finland.
    9. Dani Rodrik, 2018. "Populism and the economics of globalization," Journal of International Business Policy, Palgrave Macmillan, vol. 1(1), pages 12-33, June.
    10. Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
    11. Peter Richmond & Bertrand M. Roehner, 2016. "Property bubble in Hong Kong: A predicted decade-long slump (2016-2025)," Papers 1608.03985, arXiv.org.
    12. Daisuke Ikeda & Toan Phan & Timothy Sablik, 2020. "Asset Bubbles and Global Imbalances," Richmond Fed Economic Brief, Federal Reserve Bank of Richmond, vol. 20, pages 1-4, January.
    13. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    14. Carmen M. Reinhart & Kenneth S. Rogoff, 2014. "Recovery from Financial Crises: Evidence from 100 Episodes," American Economic Review, American Economic Association, vol. 104(5), pages 50-55, May.
    15. Claudio Borio, 2013. "On Time, Stocks and Flows: Understanding the Global Macroeconomic Challenges," National Institute Economic Review, National Institute of Economic and Social Research, vol. 225(1), pages 3-13, August.
    16. Ibrahim Ari & Muammer Koc, 2018. "Sustainable Financing for Sustainable Development: Understanding the Interrelations between Public Investment and Sovereign Debt," Sustainability, MDPI, vol. 10(11), pages 1-25, October.
    17. Steven J. Davis & John C. Haltiwanger & Kyle Handley & Ben Lipsius & Josh Lerner & Javier Miranda, 2021. "The economic effects of private equity buyouts," Jena Economics Research Papers 2021-013, Friedrich-Schiller-University Jena.
    18. Lamperti, Francesco & Bosetti, Valentina & Roventini, Andrea & Tavoni, Massimo & Treibich, Tania, 2021. "Three green financial policies to address climate risks," Journal of Financial Stability, Elsevier, vol. 54(C).
    19. Manuel Funke & Moritz Schularick & Christoph Trebesch, 2023. "Populist Leaders and the Economy," American Economic Review, American Economic Association, vol. 113(12), pages 3249-3288, December.
    20. Enrico Perotti & Magdelena Rola-Janicka, 2019. "Funding Shocks and Credit Quality," Tinbergen Institute Discussion Papers 19-060/IV, Tinbergen Institute.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oxp:obooks:9780199299683. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Economics Book Marketing (email available below). General contact details of provider: http://www.oup.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.