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What can econophysics contribute to financial economics?

  • Christophe Schinckus


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    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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    8. 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.
    9. David Bourghelle & O. Brandouy & R. Gillet & A. Orlean, 2005. "Croyances, représentations collectives et conventions en finance," Post-Print hal-00180060, HAL.
    10. 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.
    11. R. Donangelo & K. Sneppen, 1999. "Self-organization of value and demand," Papers cond-mat/9906298,, revised Apr 2000.
    12. Schinckus, Christophe, 2009. "Economic uncertainty and econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4415-4423.
    13. 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.
    14. McCauley, Joseph L., 2006. "Response to worrying trends in econophysics," MPRA Paper 2129, University Library of Munich, Germany.
    15. 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, June.
    16. 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.
    17. O. Brandouy, 2005. "Complexité et phénomènes critiques en finance," Post-Print hal-00171608, HAL.
    18. 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.
    19. 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.
    20. 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.
    21. Kevin Hoover & Stephen Perez, 2001. "Three attitudes towards data mining," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 195-210.
    22. Scalas, Enrico & Kim, Kyungsik, 2006. "The art of fitting financial time series with Levy stable distributions," MPRA Paper 336, University Library of Munich, Germany.
    23. LeRoy, Stephen F, 1976. "Efficient Capital Markets: Comment," Journal of Finance, American Finance Association, vol. 31(1), pages 139-41, March.
    24. Kaldor, Nicholas, 1972. "The Irrelevance of Equilibrium Economics," Economic Journal, Royal Economic Society, vol. 82(328), pages 1237-55, December.
    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. Keen, Steve, 2003. "Standing on the toes of pygmies:," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 108-116.
    27. Vasiliki Plerou & Parameswaran Gopikrishnan & Luis. A. Nunes Amaral & Xavier Gabaix & H. Eugene Stanley, 1999. "Economic Fluctuations and Diffusion," Papers cond-mat/9912051,
    28. Bouchaud, Jean-Philippe, 2002. "An introduction to statistical finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(1), pages 238-251.
    29. Jean-Philippe Bouchaud, 2002. "An introduction to statistical finance," Science & Finance (CFM) working paper archive 313238, Science & Finance, Capital Fund Management.
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