Advanced Search

Physicists Attempt to Scale the Ivory Towers of Finance

Contents:

Author Info

  • J. Doyne Farmer

Abstract

Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random-process models for price dynamics, agent-based modeling, and practical applications.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" 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.

Bibliographic Info

Paper provided by Santa Fe Institute in its series Working Papers with number 99-10-073.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Oct 1999
Date of revision:
Handle: RePEc:wop:safiwp:99-10-073

Contact details of provider:
Postal: 1399 Hyde Park Road, Santa Fe, New Mexico 87501
Web page: http://www.santafe.edu/sfi/publications/working-papers.html
More information through EDIRC

For corrections or technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).

Related research

Keywords: Finance; physics; agent-based modeling; portfolio theory; options; random processes.;

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Olivier V. Pictet & Michel M. Dacorogna & Ulrich A. Muller, 1996. "Heavy tails in high-frequency financial data," Working Papers 1996-12-11, Olsen and Associates.
  2. Parameswaran Gopikrishnan & Vasiliki Plerou & Luis A. Nunes Amaral & Martin Meyer & H. Eugene Stanley, 1999. "Scaling of the distribution of fluctuations of financial market indices," Quantitative Finance Papers cond-mat/9905305, arXiv.org.
  3. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
  4. V. Plerou & P. Gopikrishnan & L. A. N. Amaral & M. Meyer & H. E. Stanley, 1999. "Scaling of the distribution of price fluctuations of individual companies," Quantitative Finance Papers cond-mat/9907161, arXiv.org.
  5. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  6. Jean-Philippe Bouchaud & Marc Potters, 1999. "Worst fluctuation method for fast value-at-risk estimates," Science & Finance (CFM) working paper archive 9909245, Science & Finance, Capital Fund Management.
  7. Koedijk, C.G. & Schafgans, M.M.A. & Vries, C.G. de, 1990. "The tail index of exchange rate returns," Open Access publications from Tilburg University urn:nbn:nl:ui:12-3108722, Tilburg University.
  8. Jean-Philippe Bouchaud & Marc Potters & Martin Meyer, 1999. "Apparent multifractality in financial time series," Science & Finance (CFM) working paper archive 9906347, Science & Finance, Capital Fund Management.
  9. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  10. Jean-Philippe Bouchaud & Didier Sornette, 1994. "The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes," Science & Finance (CFM) working paper archive 500040, Science & Finance, Capital Fund Management.
  11. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
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.
Cited by:
  1. S. M. Duarte Queiros, 2005. "On non-Gaussianity and dependence in financial time series: a nonextensive approach," Quantitative Finance, Taylor and Francis Journals, vol. 5(5), pages 475-487.
  2. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Quantitative Finance Papers cond-mat/0012419, arXiv.org.
  3. C. Lawrenz & F. Westerhoff, 2003. "Modeling Exchange Rate Behavior with a Genetic Algorithm," Computational Economics, Society for Computational Economics, vol. 21(3), pages 209-229, June.
  4. Eric Ringhut & Stefan Kooths, 2003. "Modeling Expectations with GENEFER – an Artificial Intelligence Approach," Computational Economics, Society for Computational Economics, vol. 21(1), pages 173-194, February.
  5. Jean-Philippe Bouchaud, 2002. "An introduction to statistical finance," Science & Finance (CFM) working paper archive 313238, Science & Finance, Capital Fund Management.
  6. Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
  7. Jean-Philippe Bouchaud, 2000. "Power-laws in economics and finance: some ideas from physics," Science & Finance (CFM) working paper archive 500023, Science & Finance, Capital Fund Management.
  8. Ingve Simonsen & Mogens H. Jensen & Anders Johansen, 2002. "Optimal Investment Horizons," Quantitative Finance Papers cond-mat/0202352, arXiv.org.
  9. Valdez, Emiliano & Dhaene, Jan & Mateusz, Maj & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/206762, Katholieke Universiteit Leuven.
  10. Philip V. Fellman & Jonathan Vos Post & Roxana Wright & Usha Dasari, 2007. "Adaptation and Coevolution on an Emergent Global Competitive Landscape," Quantitative Finance Papers 0707.0854, arXiv.org.
  11. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Quantitative Finance Papers physics/0305089, arXiv.org.
  12. Frank Westerhoff & Claudia Lawrenz, 2000. "Explaining Exchange Rate Volatility With A Genetic Algorithm," Computing in Economics and Finance 2000 325, Society for Computational Economics.
  13. Anthony Patt & Bernd Siebenhüner, 2005. "Agent Based Modeling and Adaption to Climate Change," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 74(2), pages 310-320.
  14. José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Economics Department, vol. 19(1), pages 51-76, June.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wop:safiwp:99-10-073

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).

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 references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.

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