Is econophysics a new discipline? The neopositivist argument

Econophysics is a new approach which applies various models and concepts associated with statistical physics to economic (and financial) phenomena. This field of research is a new step in the history and the evolution of Physics Sciences and the question about the disciplinary characteristics of this field must be asked. At first glance, it might appear that economics and econophysics share the same subject of research (that of analysis of economic reality). In this paper I will use neopositivism to show that econophysics is methodologically very different from economics and that it can be considered as a separate discipline. The neopositivist framework provides econophysics with some arguments for rejecting mainstream economics.     

Ups and downs of economics and econophysics — Facebook forecast

What is econophysics and its relationship with economics? What is the state of economics after the global economic crisis, and is there a future for the paradigm of market equilibrium, with imaginary perfect competition and rational agents? Can the next paradigm of economics adopt important assumptions derived from econophysics models: that markets are chaotic systems, striving to extremes as bubbles and crashes show, with psychologically motivated, statistically predictable individual behaviors? Is the future of econophysics, as predicted here, to disappear and become a part of economics? A good test of the current state of econophysics and its methods is the valuation of Facebook immediately after the initial public offering — this forecast indicates that Facebook is highly overvalued, and its IPO valuation of 104 billion dollars is mostly the new financial bubble based on the expectations of unlimited growth, although it’s easy to prove that Facebook is close to the upper limit of its users.     

Tails and Ties

The study of behavioural and social phenomena has experienced a surge of interest over the last decade. One reason for this great attention is the huge amount of high quality data made available by the internet technologies. The many studies spanning concepts and problems belonging to economics, biology, ecology, physics and computer science, clearly indicates increasing interdisciplinary cross-fertilization, commonalities in the different approaches and communication across these disciplines. This issue of The European Physical Journal B is devoted to the interdisciplinary field of Sociophysics. The papers have been selected from the contributions presented at the 5th International Conference on “Applications of Physics in Financial Analysis" (APFA5) held in Torino from June 29th to July 1st 2006 (http://www.polito.it/apfa5). The synergy and richness of results obtained from the investigation of problems belonging to the area of complexity science from different perspectives clearly indicates future directions and research methodologies in this field.     

A social discounting model based on Tsallis’ statistics

Social decision making (e.g. social discounting and social preferences) has been attracting attention in economics, econophysics, social physics, behavioral psychology, and neuroeconomics. This paper proposes a novel social discounting model based on the deformed algebra developed in the Tsallis’ non-extensive thermostatistics. Furthermore, it is suggested that this model can be utilized to quantify the degree of consistency in social discounting in humans and analyze the relationships between behavioral tendencies in social discounting and other-regarding economic decision making under game-theoretic conditions. Future directions in the application of the model to studies in econophysics, neuroeconomics, and social physics, as well as real-world problems such as the supply of live organ donations, are discussed.     

Progress in physical properties of Chinese stock markets

In the past two decades, statistical physics was brought into the field of finance, applying new methods and concepts to financial time series and developing a new interdiscipline “econophysics”. In this review, we introduce several commonly used methods for stock time series in econophysics including distribution functions, correlation functions, detrended fluctuation analysis method, detrended moving average method, and multifractal analysis. Then based on these methods, we review some statistical properties of Chinese stock markets including scaling behavior, long-term correlations, cross-correlations, leverage effects, antileverage effects, and multifractality. Last, based on an agent-based model, we develop a new option pricing model — financial market model that shows a good agreement with the prices using real Shanghai Index data. This review is helpful for people to understand and research statistical physics of financial markets.     

经济研究中的物理学

当前的金融危机再次表明,传统经济学作为一门学科缺乏解释力和预测力.造成这个令人失望的状况的根本原因是由于经济学家没有按照科学的范式来发展这个学科.经济学的现状吸引了一群物理学家进入这个学科并形成了一个新的交叉学科——经济物理学,人们期望它在促进经济学科学化的进程中起决定性作用.文章首先简要介绍了经济学的主要内容,说明经济学理论是建立在理性和均衡假定基础之上的;接着论述了为什么经济学还不是一门科学,指出经济学研究不是基于逻辑实证主义原则来开展的;文章还分析了物理学家是如何研究经济问题的,介绍了经济物理学的主要研究内容和研究方法;文章最后提出经济学范式的转变必须从观察和实验出发,经济学理论必须建立在一个合理设计的量纲体系和对实际经济运行过程的正确理解基础之上.     

Plotting the Words of Econophysics

Text mining is applied to 510 articles on econophysics to reconstruct the lexical evolution of the discipline from 1999 to 2020. The analysis of the relative frequency of the words used in the articles and their “visualization” allow us to draw some conclusions about the evolution of the discipline. The traditional areas of research, financial markets and distribution of wealth, remain central, but they are flanked by other strands of research—production, currencies, networks—which broaden the discipline by pushing towards a dialectical application of traditional concepts and tools drawn from statistical physics.     

Synergetics and architecture

A series of phenomena pertaining to economics, quantum physics, language, literary criticism, and especially architecture is studied from the standpoint of synergetics (the study of self-organizing complex systems). It turns out that a whole series of concrete formulas describing these phenomena is identical in these different situations. This is the case of formulas relating to the Bose-Einstein distribution of particles and the distribution of words from a frequency dictionary. This also allows to apply a “quantized” from of the Zipf law to the problem of the authorship of Quiet Flows the Don and to the “blending in” of new architectural structures in an existing environment.     

Where do we stand on econophysics?

This issue contains papers selected from the contributions presented at the 5th International Conference on “Applications of Physics in Financial Analysis” (APFA5) held in Torino from June 29th to July 1st, 2006 (http://www.polito.it/apfa5). The issue collects recent applications of models and methods of statistical physics to economic problems. This interdisciplinary field of research, known as Econophysics, has seen intensive growth over the last decade. The challenge for econophysicists will be to go beyond the traditional views of economics and physics unifying the separate lines of development followed by the two disciplines over great part of the 20th century.“The conventional view serves to protect us from the painful job of thinking”, John Kenneth Galbraith (1908-2006).     

Special issue on Econophysics

The area of research described as 'econophysics" is renewing a kinship between physicists and economists and financial practitioners, that has been lost since the 19th century when scientists such as Pascal and Halley made groundbreaking advances in the area. Now, new meetings are revealing new research opportunities outside the established pathways traditionally explored within economics and finance. In December 2001, around 100 researchers from across the world attended the EPS meeting 'Applications of Physics to Financial Analysis' (APFA3). This was held in the Museum of London Conference Centre which was chosen for its proximity to the City of London and its trading centres. The meeting was especially useful in bringing together roughly equal numbers of physicists, mathematicians and financial practitioners. Taking part in the conference we had the impression that, whilst the relation between physics and applied finance may still be at an early stage, it is evolving very quickly. As in nature, a sign of evolution is the emergence of different and specialised branches, each with their own specific character. Papers covered a range of topics, including: market modelling, risk management, agent-based modelling, hedging in incomplete markets, benchmarking, performance measurement, foreign exchange markets, time series analysis and prediction, efficient market hypothesis, equilibrium and non-equilibrium markets, economic and financial networks, the valuation of derivatives, growth and bankruptcy. The meeting was sponsored by the European Physical Society and the UK Institute of Physics. The invited speakers were J.Ph. Bouchaud, J.F. Muzy, K. Sneppen, G. Iori and S. Solomon. Articles outlining some of the more interesting advances in this field have been selected by the Guest Editors, from amongst the submitted articles, and after having been refereed, they are presented here in this edition of EPJ B. APFA3 closed on a positive note. There was a feeling that links between academia and industry are healthy and that these new interactions between Physics and Finance are producing valuable scientific and economic results.     

金融风险管理与物理学家

作为经济物理学的一个重要专题,文章简要介绍了金融风险管理的基本框架和主要内容,包括风险界定、风险来源、风险度量、风险处置等.特别地,展示了物理学在金融风险管理中的可能应用,讨论了物理学家对金融风险管理可能做出的贡献.     

Searching for new physics in future neutrino factory experiments

An extension of the new standard model, by introducing a mixing of the low mass “active” neutrinos with heavy ones, or by any model with lepton flavor violation, is considered. This leads to non-orthogonal neutrino production and detection states and to modifications of neutrino oscillations in both vacuum and matter. The possibility of the discovery of such effects in current and future neutrino oscillation experiments is discussed. First order approximation formulas for the flavor transition probabilities in constant density matter, for all experimentally available channels, are given. Numerical calculations of flavor transition probabilities for two sets of new physics parameters describing a single “effective” heavy neutrino state, both satisfying present experimental constraints, have been performed. Two energy ranges and several baselines, assuming both the current (±2σ) and the expected future errors (±3%) of the neutrino oscillation parameters are considered, keeping their present central values. It appears that the biggest potential of the discovery of the possible presence of any new physics is pronounced in oscillation channels in which ν_e and ν_ē are not involved at all, especially for two baselines, L=3000 km and L=7500 km, which for other reasons are also called “magic” for future Neutrino Factory experiments. PACS 13.15.+g; 14.60.Pq; 14.60.St     

Stokes integral of economic growth: Calculus and the Solow model

Economic growth depends on capital and labor and two-dimensional calculus has been applied to economic theory. This leads to Riemann and Stokes integrals and to the first and second laws of production and growth. The mathematical structure is the same as in thermodynamics, economic properties may be related to physical terms: capital to energy, production to physical work, GDP per capita to temperature, production function to entropy. This is called econophysics. Production, trade and banking may be compared to motors, heat pumps or refrigerators. The Carnot process of the first law creates two levels in each system: cold and hot in physics; buyer and seller, investor and saver, rich and poor in economics. The efficiency rises with the income difference of rich and poor. The results of econophysics are compared to neoclassical theory.     

A unified model for price return distributions used in econophysics

For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to publish articles devoted to the study of economic and financial phenomena. Since then, econophysicists have written a very prolific literature about the way of characterizing the evolution of financial prices. Today, there is an “extreme diversity” of models recently developed by econophysicists whose research is sometimes presented as an ill-defined field. The objective of this paper is precisely to provide a unified framework in order to contribute to unify econophysics and to base this new field on shared scientific standards.     

Henri Victor Regnault: Experimentalist of the Science of Heat

Henri Victor Regnault (1810–1878) was one of the most famous French experimental scientists of the nineteenth century. After studying and carrying out research at the école Polytechnique and the école des Mines in Paris, he was elected to the Paris Académie des Sciences in 1840 and was appointed Professor of Experimental Physics at the Collège de France in 1841. His initial researches were in chemistry, but his careful experimental investigations of the law of the specific heat of solids that Pierre Louis Dulong (1785–1838) and Alexis Thérèse Petit (1791–1820) proposed in 1818 opened the door to his transition to physics and to his pioneering experimental researches on various thermodynamic properties of liquids and gases. I focus particularly on his investigations on the expansion, compressibility, vapor pressure, and speed of sound in gases. He also made important contributions to the new art of photography and to the ceramic industry as director of the Sèvres factory, at a time when his personal life was filled with tragedy. While his experimental work was acclaimed by his contemporaries, it has been largely neglected by scientists and historians today.     

Third order response to a multifrequency photon field in semiconductors

This paper contains a detailed calculation of the photoinduced current density at third order in the coupling between a semiconductor and a multifrequency photon field, starting from its standard textbook expression which reads in terms of a triple commutator. Due to a major intrinsic problem linked to this triple commutator, such a derivation has been made possible quite recently only, thanks to the tools developed in the composite-boson many-body theory we have recently constructed. The photoinduced current density is shown to ultimately read in a compact form, in terms of the “Pauli scatterings” and “Coulomb scatterings” for exciton-exciton interactions introduced in this theory. Representation of this third order response in Shiva diagrams, which visualize interactions between excitons, is also given to better grasp the physics of the various contributions.     

Novel spatial solitons in light-induced photonic bandgap structures

The study of wave propagation in periodic systems is at the frontiers of physics, from fluids to condensed matter physics, and from photonic crystals to Bose-Einstein condensates. In optics, a typical example of periodic system is a closely-spaced waveguide array, in which collective behavior of wave propagation exhibits many intriguing phenomena that have no counterpart in homogeneous media. Even in a linear waveguide array, the diffraction property of a light beam changes due to evanescent coupling between nearby waveguide sites, leading to normal and anomalous discrete diffraction. In a nonlinear waveguide array, a balance between diffraction and self-action gives rise to novel localized states such as spatial “discrete solitons” in the semi-infinite (or total-internal-reflection) gap or spatial “gap solitons” in the Bragg reflection gaps. Recently, in a series of experiments, we have “fabricated” closely-spaced waveguide arrays (photonic lattices) by optical induction. Such photonic structures have attracted great interest due to their novel physics, link to photonic crystals, as well as potential applications in optical switching and navigation. In this review article, we present a brief overview on our experimental demonstrations of a number of novel spatial soliton phenomena in light-induced photonic bandgap structures, including self-trapping of fundamental discrete solitons and more sophisticated lattice gap solitons. Much of our work has direct impact on the study of similar discrete phenomena in systems beyond optics, including sound waves, water waves, and matter waves (Bose-Einstein condensates) propagating in periodic potentials.      

A New Book of Numbers: On the Precise Definition of Quantum Variables and the Relationships between Mathematics and Physics in Quantum Theory

Following Asher Peres’s observation that, as in classical physics, in quantum theory, too, a given physical object considered “has a precise position and a precise momentum,” this article examines the question of the definition of quantum variables, and then the new type (as against classical physics) of relationships between mathematics and physics in quantum theory. The article argues that the possibility of the precise definition and determination of quantum variables depends on the particular nature of these relationships.     

金融物理的若干基本问题与研究进展(Ⅱ)--基于经纪人的动力学模型的建模与分析

一门全新的交叉学科金融物理研究的第二种处理方法是构建金融市场物理模型，文章对其基本观点作了简介，并重点介绍了金融市场中基于经纪人的动力学模型的建模与分析，阐述了物理学在21世纪的金融工程研究中可发挥的作用与意义。