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Physicists Attempt to Scale the Ivory Towers of Finance

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  • 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.

Suggested Citation

  • J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
    • Handle: RePEc:wop:safiwp:99-10-073
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    References listed on IDEAS

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    Keywords

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