Relevant bibliographies by topics / Econophysics

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Econophysics'

Author: Grafiati
Published: 4 June 2021
Last updated: 14 March 2023

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Journal articles on the topic "Econophysics"

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GINGRAS, Y., and C. SCHINCKUS. "THE INSTITUTIONALIZATION OF ECONOPHYSICS IN THE SHADOW OF PHYSICS." Journal of the History of Economic Thought 34, no. 1 (March 2012): 109–30. http://dx.doi.org/10.1017/s1053837212000041.

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Econophysics presents itself as a new paradigm and a new specialty (or even a discipline) using various models and concepts imported from condensed matter and statistical physics to analyze economic and financial phenomena. Given that econophysics is based on different fundamental assumptions from those of mainstream economics, the disciplinary position of econophysics is not so clear. In this perspective, this paper will analyze the progressive institutionalization of econophysics using bibliometric methods to identify core authors as well as the structure of the disciplines with which econophysics is closely related.
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Schinckus, C. "Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics." Quantitative Finance 12, no. 8 (August 2012): 1189–92. http://dx.doi.org/10.1080/14697688.2012.704692.

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Ghosh, Bikramaditya, and M. C. Krishna. "Power law in tails of bourse volatility – evidence from India." Investment Management and Financial Innovations 16, no. 1 (March 26, 2019): 291–98. http://dx.doi.org/10.21511/imfi.16(1).2019.23.

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Inverse cubic law has been an established Econophysics law. However, it has been only carried out on the distribution tails of the log returns of different asset classes (stocks, commodities, etc.). Financial Reynolds number, an Econophysics proxy for bourse volatility has been tested here with Hill estimator to find similar outcome. The Tail exponent or α ≈ 3, is found to be well outside the Levy regime (0 < α < 2). This confirms that asymptotic decay pattern for the cumulative distribution in fat tails following inverse cubic law. Hence, volatility like stock returns also follow inverse cubic law, thus stay way outside the Levy regime. This piece of work finds the volatility proxy (econophysical) to be following asymptotic decay with tail exponent or α ≈ 3, or, in simple terms, ‘inverse cubic law’. Risk (volatility proxy) and return (log returns) being two inseparable components of quantitative finance have been found to follow the similar law as well. Hence, inverse cubic law truly becomes universal in quantitative finance.
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Argyrakis, P. "What is EconoPhysics?" Journal of Engineering Science and Technology Review 4, no. 3 (December 2011): 207–8. http://dx.doi.org/10.25103/jestr.043.01.

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JUNG, Woo-Sung, and Seunghwan KIM. "Introduction to Econophysics." Physics and High Technology 31, no. 7/8 (August 31, 2022): 3–5. http://dx.doi.org/10.3938/phit.31.022.

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Mimkes, Juergen. "Introduction to Econophysics." International Journal of Productivity Management and Assessment Technologies 7, no. 1 (January 2019): 1–27. http://dx.doi.org/10.4018/ijpmat.2019010101.

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The future contains terms (V) that are valid at all times, and terms (U) that are presently unknown. In economics, (V) and (U) correspond to ex ante and ex post, in physics to conservative and not conservative, in calculus, to exact and not exact differential forms or to Riemann and Stokes integrals, and to linear or non-linear equations, in statistics to real and probable terms. Apparently, the authors may represent the (V) and (U) structure in economics and physics by calculus, probability theory, by non-linearity, and chaos theory. The present paper applies Stokes integrals to double entry accounting. The resulting laws replace neoclassical theory and correspond to the first and second laws of thermodynamics. Economics and physics have the same structure, leading to the name econophysics. Production is a two level cycle with cheap production, expensive sales, corresponding to the Carnot cycle of a motor with cold air and hot exhaust. In a running motor, efficiency, the difference between hot and cold, becomes always higher. In an economy the gap between rich and poor always rises.
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Rosser, J. Barkley. "Entropy and econophysics." European Physical Journal Special Topics 225, no. 17-18 (December 2016): 3091–104. http://dx.doi.org/10.1140/epjst/e2016-60166-y.

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Rickles, Dean. "Econophysics for philosophers." Studies in History and Philosophy of Science Part B: Studies in History and Philosophy of Modern Physics 38, no. 4 (December 2007): 948–78. http://dx.doi.org/10.1016/j.shpsb.2007.01.003.

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Hategan, Sergiu Mihai. "A MAPPING OF THE LITERATURE ON ECONOPHYSICS." Annals of the University of Oradea. Economic Sciences 30, no. 30 (1) (July 2021): 92–100. http://dx.doi.org/10.47535/1991auoes30(1)008.

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Econophysics is a relatively young discipline, being an interdisciplinary approach that applies methods and tools from physics in the economics, for studying the financial markets, or other economical phenomena. The objective is to create a mapping of the most used keywords in this topic, as well as the connections between countries and authors, based on citations. This article studies the literature on the topic of econophysics, using the Web of Science database. Bibliometric analysis was made with the free software VOSviewer, after extracting the data from 1364 articles, since the conception of the topic in 1996 until the year 2020. The software offered a useful network representation between the main keywords used in the field, or between countries and citations, and finally between authors, based on citations. The results evidenced a constant interest on the topic, with main keywords: ”econophysics”, ”financial markets”, ”dynamics”, ”model” and ”stock market”, and the relationships between countries and authors were shown, with the United States, China and Italy being the leading ones. We also found that the most cited authors are H.E. Stanley, the inventor of the word econophysics, Wei-Xing Zhou and Didier Sornette. This article shows the main concepts used in econophysics, which can serve as an indicator of its directions of research, as well as the top contributors in the field, since its inception. Future directions include expanding the analysis to other databases, or to concepts relevant to econophysics, to identify trends in research and the growth of the field.
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Stavrinides, Stavros, Michael Hanias, Boryana Bogdanova, and Lykourgos Magafas. "Special Issue on Econophysics." Journal of Engineering Science and Technology Review 8, no. 1 (February 2015): i—j. http://dx.doi.org/10.25103/jestr.081.00.

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Dissertations / Theses on the topic "Econophysics"

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Schinckus, Christophe. "When physics became undisciplined : an essay on econophysics." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/279683.

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In the 1990s, physicists started looking beyond their disciplinary boundaries by using their methods to study various problems usually thrown up by financial economics. This dissertation deals with this extension of physics outside its disciplinary borders. It seeks to determine what sort of discipline econophysics is in relation to physics and to economics, how its emergence was made possible, and what sort of knowledge it produces. Using a variety of evidence including bibliometric analysis Chapter 1 explores the field’s disciplinary identity as a branch of physics even though its intellectual heart is better seen as the re-emergence of a 1960s research programme initiated in economics. Chapter 2 is historical: it identifies the key role played by the Santa Fe Institute and its pioneering complexity research in the shaping of methodological horizons of econophysics. These are in turn investigated in Chapter 3, which argues that there are in fact three methodological strands: statistical econophysics, bottom-up agent-based econophysics, and top-down agent-based econophysics. Viewed from a Lakatosian perspective they all share a conceptual hard-core but articulate the protective belt in distinctly different ways. The last and final chapter is devoted to the way econophysicists produce and justify their knowledge. It shows that econophysics operates by proposing empirically adequate analogies between physical and other systems in exactly the ways emphasised by Pierre Duhem. The contrast between such use of analogy in econophysics and modeling practices implemented by financial economics explains why econophysics remains so controversial to economists.
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Oltean, Elvis. "Modelling income, wealth, and expenditure data by use of Econophysics." Thesis, Loughborough University, 2016. https://dspace.lboro.ac.uk/2134/20203.

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In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that it fits very well the annual data for the entire income interval including for upper income segment of population. Secondly, we apply Fermi-Dirac distribution to these data. We seek to explain possible correlations and analogies between economic systems and statistical thermodynamics systems. We try to explain their behaviour and properties when we correlate physical variables with macroeconomic aggregates and indicators. Then we draw some analogies between parameters of the Fermi-Dirac distribution and macroeconomic variables. Thirdly, as complex systems are modelled using polynomial distributions, we apply polynomials to the annual sets of data and we find that it fits very well also the entire income interval. Fourthly, we develop a new methodology to approach dynamically the income, wealth, and expenditure distribution similarly with dynamical complex systems. This methodology was applied to different time intervals consisting of consecutive years up to 35 years. Finally, we develop a mathematical model based on a Hamiltonian that maximises utility function applied to Ramsey model using Fermi-Dirac and polynomial utility functions. We find some theoretical connections with time preference theory. We apply these distributions to a large pool of data from countries with different levels of development, using different methods for calculation of income, wealth, and expenditure.
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Volpati, Valerio. "Statistical Mechanics approach to the sustainability of economic ecosystems." Doctoral thesis, SISSA, 2016. http://hdl.handle.net/20.500.11767/4924.

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This thesis contains some of the main results obtained during my research activity in these years, in the Statistical Physics sector at SISSA and in the Quantitative Life Sciences sector at ICTP. Chapter 1 serves as an introduction and is kept brief, because each of the following chapters has a separate introduction containing more details on the different problems that have been considered. In Chapter 2 several models of wealth dynamics are discussed, with focus on the stationary distributions that they have. In particular, we introduce a stochastic growth model that has a truncated power law distribution as a stationary state, and we give an interpretation for the mechanism generating this cut-off as a manifestation of the shadow banking activity. Chapter 3 is devoted to the issue of wealth inequality, and in particular to its consequences, when in a system with a power law wealth distribution, economic exchanges are considered. A stylized model of trading dynamics is introduced, in which we show how as inequality increases, the liquid capital concentrates more and more on the wealthiest agents, thereby suppressing the liquidity of the economy. Finally in Chapter 4, we discuss the issue of complexity and information sensitiveness of financial products. In particular, we introduce a stylized model of binary variables, where the financial transparency can be quantified in bits. We quantify how such information losses create sources of systemic risk, and how they should affect the pricing of financial products.
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Tenenbaum, Joel. "Interdisciplinary applications of statistical physics to complex systems: seismic physics, econophysics, and sociophysics." Thesis, Boston University, 2012. https://hdl.handle.net/2144/31617.

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Thesis (Ph.D.)--Boston University
PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you.
This thesis applies statistical physics concepts and methods to quantitatively analyze complex systems. This thesis is separated into four parts: (i) characteristics of earthquake systems (ii) memory and volatility in data time series (iii) the application of part (ii) to world financial markets, and (iv) statistical observations on the evolution of word usage. In Part I, we observe statistical patterns in the occurrence of earthquakes. We select a 14-year earthquake catalog covering the archipelago of Japan. We find that regions traditionally thought of as being too distant from one another for causal contact display remarkably high correlations, and the networks that result have a tendency to link highly connected areas with other highly connected areas. In Part II, we introduce and apply the concept of "volatility asymmetry", the primary use of which is in financial data. We explain the relation between memory and "volatility asymmetry" in terms of an asymmetry parameter λ. We define a litmus test for determining whether λ is statistically significant and propose a stochastic model based on this parameter and use the model to further explain empirical data. In Part III, we expand on volatility asymmetry. Importing the concepts of time dependence and universality from physics, we explore the aspects of emerging (or "transition") economies in Eastern Europe as they relate to asymmetry. We find that these emerging markets in some instances behave like developed markets and in other instances do not, and that the distinction is a matter both of country and a matter of time period, crisis periods showing different asymmetry characteristics than "healthy" periods. In Part IV, we take note of a series of findings in econophysics, showing statistical growth similarities between a variety of different areas that all have in common the fact of taking place in areas that are both (i) competing and (ii) dynamic. We show that this same growth distribution can be reproduced in observing the growth rates of the usage of individual words, that just as companies compete for sales in a zero sum marketing game, so do words compete for usage within a limited amount of reader man-hours.
2031-01-01
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Cheung, Wing-Keung. "Monte Carlo simulation on 2D random point pattern : Potts model and its application to econophysics /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202005%20CHEUNG.

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Koh, Jason S. H. "Comparison of the new "econophysics" approach to dealing with problems of financial to traditional econometric methods." Thesis, View thesis, 2008. http://handle.uws.edu.au:8081/1959.7/38828.

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We begin with the outlining the motivation of this research as there are still so many unanswered research questions on our complex financial and economic systems. The philosophical background and the advances of econometrics and econophysics are discussed to provide an overview of the stochastic and nonstochastic modelling and these disciplines are set as a central theme for the thesis. This thesis investigates the effectiveness of financial econometrics models such as Gaussian, ARCH (1), GARCH (1, 1) and its extensions as compared to econophysics models such as Power Law model, Boltzmann-Gibbs (BG) and Tsallis Entropy as statistical models of volatility in US S&P500, Dow Jones and NASDAQ stock index using daily data. The data demonstrate several distinct behavioural characteristics, particularly the increased volatility during 1998 to 2004. Power Laws appear to describe the large fluctuations and other characteristics of stock price changes. Surprisingly, these Power Laws models also show significant correlations for different types and sizes of markets and for different periods and sub-periods of markets. The results show the robustness of Power Law analysis, with the Power Law exponent (0.4 to 2.4) staying within the acceptable range of significance (83% to 97%), regardless of the percentage change in the index return. However, the procedure for testing empirical data against a hypothesised power-law distribution using a simple rank-frequency plot of the data and the data binning process can turn out to be a spurious result for the distribution. As for the stochastic processes such as ARCH (1) and GARCH (1, 1) the models are explicitly confined to the conditional behaviour of the data and the unconditional behaviour has often been described via moments. In reality, it is the unconditional tail behaviour that accounts for the tail behaviour and hence, we have to convert the unconditional tail behaviour and express the models as two-dimensional stochastic difference equation using the processes of Starica (Mikosch 2000). The results show the random walk prediction successfully describes the stock movements for small price fluctuations but fails to handle large price fluctuations. The Power Law tests prove superior to the stochastic tests when stock price fluctuations are substantially divergent from the mean. One of the main points of the thesis is that these empirical phenomena are not present in the stochastic process but emerge in the non-parametric process. The main objective of the thesis is to study the relatively new field of Econophysics and put its work in perspective relative to the established if not altogether successful practice of econometric analysis of stock market volatility. One of the most exciting characteristics of Econophysics is that, as a developing field, no models as yet perfectly represent the market and there is still a lot of fundamental research to be done. Therefore, we begin to explore the application of statistical physics method particularly Tsallis entropy to give a new insights into problems traditionally associated with financial markets. The results of Tsallis entropy surpass all expectations and it is therefore one of the most robust methods of analysis. However, it is now subject to some challenge from McCauley, Bassler et. al., as they found that the stochastic dynamic process (sliding interval techniques) used in fat tail distributions is time dependent.
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Koh, Jason S. H. "Comparison of the new "econophysics" approach to dealing with problems of financial to traditional econometric methods." View thesis, 2008. http://handle.uws.edu.au:8081/1959.7/38828.

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Thesis (Ph.D.)--University of Western Sydney, 2008.
Thesis submitted to fulfil the requirements for the degree of Doctor of Philosophy in the School of Economics and Finance, College of Business, University of Western Sydney. Includes bibliography.
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Kong, Chi-Wah. "Monte-Carlo simulation on a 2-D random point pattern : ising model and its application to econophysics /." View Abstract or Full-Text, 2002. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202002%20KONG.

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Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2002.
Includes bibliographical references (leaves 81-82). Also available in electronic version. Access restricted to campus users.
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Zeithamer, Tomáš. "Exaktní metody v obchodě (modelový přístup)." Doctoral thesis, Vysoká škola ekonomická v Praze, 2003. http://www.nusl.cz/ntk/nusl-77119.

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The paper deals with quantum economy. It means the methods of quantum mechanics are applied in the study of economic processes. The scalar abstract economic quantities are constructed as follows: general abstract economic quantity F , average abstract economic quantity FA, marginal abstract economic quantity FM, marginal average abstract economic quantity FMA, average marginal abstract economic quantity FAM, elasticity of abstract economic quantity EF. All the abstract economic quantities mentioned above are constructed as mappings. The general theory of abstract economic quantities is utilized in a construction of the abstract total gross profit TGP. The set of static models of total gross profit TGP is constructed in the case that the first unit gross profit is slowly changed with time while the second unit gross profit is quickly changed with time in comparison with the first unit gross profit.
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Mandere, Edward Ondieki. "Financial Networks and Their Applications to the Stock Market." Bowling Green State University / OhioLINK, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1234473233.

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Books on the topic "Econophysics"

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Huang, Ji-Ping. Experimental Econophysics. Berlin, Heidelberg: Springer Berlin Heidelberg, 2015. http://dx.doi.org/10.1007/978-3-662-44234-0.

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1952-, Cockshott W. Paul, ed. Classical econophysics. New York, NY: Routledge, 2009.

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Econophysics: An introduction. Weinheim: Wiley-VCH, 2011.

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Takayasu, Hideki. The Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium. Tokyo: Springer Japan, 2004.

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Symposium, Nikkei Econophysics. The application of econophysics: Proceedings of the Second Nikkei Econophysics Symposium. Tokyo: Springer, 2003.

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1958-, Takayasu Hideki, ed. Practical fruits of econophysics: Proceedings of the Third Nikkei Econophysics Symposium. Tokyo: Springer, 2006.

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Nikkei Econophysics Symposium (2nd 2002 Tokyo, Japan). The application of econophysics: Proceedings of the Second Nikkei Econophysics Symposium. Tokyo: Springer, 2004.

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Chatterjee, Arnab, Sudhakar Yarlagadda, and Bikas K. Chakrabarti, eds. Econophysics of Wealth Distributions. Milano: Springer Milan, 2005. http://dx.doi.org/10.1007/88-470-0389-x.

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Takayasu, Hideki, ed. Practical Fruits of Econophysics. Tokyo: Springer Tokyo, 2006. http://dx.doi.org/10.1007/4-431-28915-1.

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Takayasu, Hideki, ed. The Application of Econophysics. Tokyo: Springer Japan, 2004. http://dx.doi.org/10.1007/978-4-431-53947-6.

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Book chapters on the topic "Econophysics"

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Barkley Rosser, J. "Econophysics." In The New Palgrave Dictionary of Economics, 3455–60. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95189-5_2701.

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Barkley Rosser, J. "Econophysics." In The New Palgrave Dictionary of Economics, 1–6. London: Palgrave Macmillan UK, 2008. http://dx.doi.org/10.1057/978-1-349-95121-5_2701-1.

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Rosser, J. Barkley. "Econophysics." In The New Palgrave Dictionary of Economics, 1–6. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95121-5_2701-2.

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Roehner, Bertrand M. "Econophysics, Observational." In Complex Systems in Finance and Econometrics, 238–46. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-1-4419-7701-4_13.

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Roehner, Bertrand M. "Econophysics, Observational." In Encyclopedia of Complexity and Systems Science, 1–11. Berlin, Heidelberg: Springer Berlin Heidelberg, 2017. http://dx.doi.org/10.1007/978-3-642-27737-5_168-2.

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Roehner, Bertrand M. "Econophysics, Observational." In Encyclopedia of Complexity and Systems Science, 2792–800. New York, NY: Springer New York, 2009. http://dx.doi.org/10.1007/978-0-387-30440-3_168.

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Dash, Kishore C. "Evolution of Econophysics." In Econophysics of Agent-Based Models, 235–85. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-00023-7_14.

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Huang, Ji-Ping. "Introduction." In Experimental Econophysics, 1–7. Berlin, Heidelberg: Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-662-44234-0_1.

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Huang, Ji-Ping. "Partial Information: Equivalent to Complete Information." In Experimental Econophysics, 143–54. Berlin, Heidelberg: Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-662-44234-0_10.

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Huang, Ji-Ping. "Risk Management: Unusual Risk-Return Relationship." In Experimental Econophysics, 155–66. Berlin, Heidelberg: Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-662-44234-0_11.

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Conference papers on the topic "Econophysics"

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COSTANTINI, D., and U. GARIBALDI. "PARASTATISTICS IN ECONOPHYSICS?" In Historical Analysis and Open Questions — Cesena 2004. WORLD SCIENTIFIC, 2006. http://dx.doi.org/10.1142/9789812773258_0011.

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Günay, Nergin. "Economic Science Considering with a Thermodynamic Perspective of a Physicist's Point of View." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01559.

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Economy is a discipline by means of its structure which closely interests all humanities live non-stop whether they are directly related or not which in a relationship with mathematic as calculations, psychology as searching investor behaviors, sociology as searching social events, philosophy as structural reviews of the created environment and many kind of disciplines more. In this study based on a survey of the relevant literature, the common features of economy with physics is a supporter in the recent years are revealed. Concept passed into world literature as Econophysics or alias Econphysics is defined. Econophysics is a study field tries to find solutions to economic problem by using physical methods. The main tool is used by the econophysics are statistical and probability methods are taken from statistical physics frequently. Information related to implementation of the laws of thermodynamics which is the branch dealing with the energy and physical energy exchange economic problems are given. The laws of thermodynamics have a very general validity and they do not change depending on the characteristics of the studied system. In this regard, how thermodynamic physics are applied into economics practices are given in detail.
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Gopikrishnan, Parameswaran. "Econophysics: What can physicists contribute to economics?" In Unsolved problems of noise and fluctuations. AIP, 2000. http://dx.doi.org/10.1063/1.60022.

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Aristov, V. V. "Methods of kinetic theory in problems of econophysics." In 31ST INTERNATIONAL SYMPOSIUM ON RAREFIED GAS DYNAMICS: RGD31. AIP Publishing, 2019. http://dx.doi.org/10.1063/1.5119676.

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CAGRI, CEM, and TOLGA ULUSOY. "Financial Market Fluctuations in Econophysics FTSE DJIA BIST 100." In Third International Conference on Advances in Computing, Communication and Information Technology- CCIT 2015. Institute of Research Engineers and Doctors, 2015. http://dx.doi.org/10.15224/978-1-63248-061-3-65.

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Aste, T., and T. Di Matteo. "Introduction to Complex and Econophysics Systems: A navigation map." In Proceedings of the 22nd Canberra International Physics Summer School. WORLD SCIENTIFIC, 2010. http://dx.doi.org/10.1142/9789814277327_0001.

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Stepanova, Anna S., and Dmytry Yu Muromtsev. "Application of self-organizing of the information designing in econophysics." In the International Conference. New York, New York, USA: ACM Press, 2010. http://dx.doi.org/10.1145/1868013.1868042.

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Dias, Rui, Paula Heliodoro, Paulo Alexandre, and Cristina Vasco. "FINANCIAL MARKET INTEGRATION OF ASEAN-5 WITH CHINA: AN ECONOPHYSICS APPROACH." In 4th International Scientific Conference – EMAN 2020 – Economics and Management: How to Cope With Disrupted Times. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/eman.2020.17.

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The main objective of this research is to estimate whether portfolio diversification is feasible in the financial markets of Indonesia, Malaysia, Philippines, Singapore and Thailand (ASEAN-5), and the market of China, in the context of the stock market crash in China in 2015. The purpose is to answer two questions, namely whether: (i) has the stock market crash in China increased financial integration in the ASEAN-5 financial markets and China? (ii) If the presence of long memories may put in question the diversification of portfolios? The results suggest that these markets are segmented, except for Malaysia/Singapore, bi-directional, and China/Filipinas, pre-crash. However, when analysing the stock market crash period, the results indicate 16 integrated market pairs with structure breakdown (in 30 possible). When compared with the previous sub-period it was found that during the stock market crash the level of financial integration increased significantly (533%). In the post-crash period, there were right integrated market pairs with broken structure. When compared to the crash period, the level of integration decreased in 50%. In addition, we observed that during the stock market crash these Asian markets did not have long memories, except for the Malaysian market, which reveals some predictability, that is, the increase in integration does not lead to persistence in these Asian markets. In conclusion, the ASEAN-5 markets and China mostly exhibit strong signs of efficiency in their weak form. The authors consider that the implementation of portfolio diversification strategies is beneficial for investors. These conclusions also open space for market regulators to take action to ensure better information between these regional markets and international markets.
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9

Dias, Rui, Paula Heliodoro, Paulo Alexandre, and Maria Manuel. "EVIDENCE OF INTRADAY MULTIFRACTALITY IN BRIC STOCK MARKETS: AN ECONOPHYSICS APPROACH." In Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/itema.s.p.2020.57.

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The pandemic outbreak (Covid-19) has affected the global economy, and the impact on financial markets seems inevitable. In view of these events, this essay intends to analyse the efficiency, in its weak form, in the BRIC markets, namely the stock indexes of Brazil (BRAZIL IBOVESPA), China (Shanghai Stock Exchange), India (S&P BSE SENSEX), Russia (MOEX Russia). The data are intraday (1 hour), from May 2019 to May 2020; to obtain more robust results, we divided the sample into time scales up to 5 days (Period I), and above 10 days (Period II), in a complementary way, and we use the opening and closing prices to estimate the adjustment time of each market. The results indicate that the BRIC markets have significant persistence (over 10 days), which may jeopardize market efficiency, in its weak form. On the other hand, the low initial correlation in certain stock indexes may create some arbitrage opportunities. However, our study did not analyse anomalous meturns in these financial markets. These conclusions also open space for market regulators to take measures to ensure better information between these markets and international ones.
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Dias, Rui, and Hortense Santos. "THE IMPACT OF COVID-19 ON EXCHANGE RATE VOLATILITY: AN ECONOPHYSICS APPROACH." In Sixth International Scientific-Business Conference LIMEN Leadership, Innovation, Management and Economics: Integrated Politics of Research. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2020. http://dx.doi.org/10.31410/limen.2020.39.

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This paper aims to analyze the efficiency, in its weak form, between exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from July 1, 2019 to October 27, 2020. To perform this analysis, different approaches were undertaken to assess whether: (i) the impact of the global pandemic created long memories in international foreign exchange markets? The results of the exponents Detrended Fluctuation Analysis (DFA) show that the exchange rates US-THB (0.60), US-MYR (0.59), US-SGD (0. 59), present long memories, to a lesser extent the exchange pairs US-GBP (0.56), US-EUR (0.53). On the other side, exchange rates US-RMB (0. 47), US-JPY (0. 43), US-CHF (0. 46), US-PHP (0. 38) show anti persistence, while the Detrended cross-correlation coefficient (𝑝𝐷𝐶𝐶𝐴) results show 19 average correlation coefficients (≌ 0.333 → ≌ 0.666), 10 weak correlation coefficient (≌ 0,000 → ≌ 0.333), 7 strong non-trend cross correlation coefficients (0.666→ ≌ 1,000). In conclusion, we show that the exchange pairs analyzed show some predictability, that is, there are levels of arbitrage that can be explored by investors; we also found that the exchange rates analyzed have characteristics of diversification, due to the low autocorrelation between markets. The objective of this study was not to analyze abnormal profitability by investors without incurring additional risk.
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Reports on the topic "Econophysics"

1

Bielinskyi, Andriy, Serhiy Semerikov, Oleksandr Serdiuk, Victoria Solovieva, Vladimir Soloviev, and Lukáš Pichl. Econophysics of sustainability indices. [б. в.], October 2020. http://dx.doi.org/10.31812/123456789/4118.

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In this paper, the possibility of using some econophysical methods for quantitative assessment of complexity measures: entropy (Shannon, Approximate and Permutation entropies), fractal (Multifractal detrended fluctuation analysis – MF-DFA), and quantum (Heisenberg uncertainty principle) is investigated. Comparing the capability of both entropies, it is obtained that both measures are presented to be computationally efficient, robust, and useful. Each of them detects patterns that are general for crisis states. The similar results are for other measures. MF-DFA approach gives evidence that Dow Jones Sustainability Index is multifractal, and the degree of it changes significantly at different periods. Moreover, we demonstrate that the quantum apparatus of econophysics has reliable models for the identification of instability periods. We conclude that these measures make it possible to establish that the socially responsive exhibits characteristic patterns of complexity, and the proposed measures of complexity allow us to build indicators-precursors of critical and crisis phenomena.
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Soloviev, V., and V. Solovieva. Quantum econophysics of cryptocurrencies crises. [б. в.], 2018. http://dx.doi.org/10.31812/0564/2464.

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From positions, attained by modern theoretical physics in understanding of the universe bases, the methodological and philosophical analysis of fundamental physical concepts and their formal and informal connections with the real economic measuring is carried out. Procedures for heterogeneous economic time determination, normalized economic coordinates and economic mass are offered, based on the analysis of time series, the concept of economic Plank's constant has been proposed. The theory has been approved on the real economic dynamic's time series, related to the cryptocurrencies market, the achieved results are open for discussion. Then, combined the empirical cross-correlation matrix with the random matrix theory, we mainly examine the statistical properties of cross-correlation coefficient, the evolution of average correlation coefficient, the distribution of eigenvalues and corresponding eigenvectors of the global cryptocurrency market using the daily returns of 15 cryptocurrencies price time series across the world from 2016 to 2018. The result indicated that the largest eigenvalue reflects a collective effect of the whole market, practically coincides with the dynamics of the mean value of the correlation coefficient and very sensitive to the crisis phenomena. It is shown that both the introduced economic mass and the largest eigenvalue of the matrix of correlations can serve as quantum indicator-predictors of crises in the market of cryptocurrencies.
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Soloviev, V. N., and Y. V. Romanenko. Quantum econophysics of bitcoin crises. ESC "IASA" NTUU "Igor Sikorsky Kyiv Polytechnic Institute", May 2018. http://dx.doi.org/10.31812/0564/2462.

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The attempts to create an adequate model of socio-economic critical events, which, as it has been historically proven, are almost permanent, were, are and will always be made. Actually, it is a supertask, impossible to solve. However, the potentially useful solutions, local in time or other socio-economic logistic coordinates, are possible. In fact, they have to be the object of interest for a real and effective economic science. Econophysics is a young interdisciplinary scientific field, which developed and acquired its name at the end of the last century. Quantum econophysics, a direction distinguished by the use of mathematical apparatus of quantum mechanics as well as its fundamental conceptual ideas and relativistic aspects, developed within its boundaries just a couple of years later, in the first decade of the 21-st century.
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Soloviev, V., A. Matviychuk, and A. Bielinskyi. Econophysics Approaches in Financial Market Modeling. [б. в.], 2021. http://dx.doi.org/10.31812/123456789/6071.

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5

Saptsin, V., Володимир Миколайович Соловйов, and I. Stratychuk. Quantum econophysics – problems and new conceptions. КНУТД, 2012. http://dx.doi.org/10.31812/0564/1185.

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This article is dedicated to the econophysical analysis of conceptual fundamentals and mathematical apparatus of classical physics, relativity theory, non-relativistic and relativistic quantum mechanics. The historical and methodological aspects as well as the modern state of the problem of the socio-economic modeling are considered.
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6

Bielinskyi, Andrii O., Oleksandr A. Serdyuk, Сергій Олексійович Семеріков, Володимир Миколайович Соловйов, Андрій Іванович Білінський, and О. А. Сердюк. Econophysics of cryptocurrency crashes: a systematic review. Криворізький державний педагогічний університет, December 2021. http://dx.doi.org/10.31812/123456789/6974.

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Cryptocurrencies refer to a type of digital asset that uses distributed ledger, or blockchain technology to enable a secure transaction. Like other financial assets, they show signs of complex systems built from a large number of nonlinearly interacting constituents, which exhibits collective behavior and, due to an exchange of energy or information with the environment, can easily modify its internal structure and patterns of activity. We review the econophysics analysis methods and models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. Quantitative measures of complexity have been proposed, classified, and adapted to the cryptocurrency market. Their behavior in the face of critical events and known cryptocurrency market crashes has been analyzed. It has been shown that most of these measures behave characteristically in the periods preceding the critical event. Therefore, it is possible to build indicators-precursors of crisis phenomena in the cryptocurrency market.
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Saptsin, Vladimir, and Володимир Миколайович Соловйов. Relativistic quantum econophysics – new paradigms in complex systems modelling. [б.в.], July 2009. http://dx.doi.org/10.31812/0564/1134.

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This work deals with the new, relativistic direction in quantum econophysics, within the bounds of which a change of the classical paradigms in mathematical modelling of socio-economic system is offered. Classical physics proceeds from the hypothesis that immediate values of all the physical quantities, characterizing system’s state, exist and can be accurately measured in principle. Non-relativistic quantum mechanics does not reject the existence of the immediate values of the classical physical quantities, nevertheless not each of them can be simultaneously measured (the uncertainty principle). Relativistic quantum mechanics rejects the existence of the immediate values of any physical quantity in principle, and consequently the notion of the system state, including the notion of the wave function, which becomes rigorously nondefinable. The task of this work consists in econophysical analysis of the conceptual fundamentals and mathematical apparatus of the classical physics, relativity theory, non-relativistic and relativistic quantum mechanics, subject to the historical, psychological and philosophical aspects and modern state of the socio-economic modeling problem. We have shown that actually and, virtually, a long time ago, new paradigms of modeling were accepted in the quantum theory, within the bounds of which the notion of the physical quantity operator becomes the primary fundamental conception(operator is a mathematical image of the procedure, the action), description of the system dynamics becomes discrete and approximate in its essence, prediction of the future, even in the rough, is actually impossible when setting aside the aftereffect i.e. the memory. In consideration of the analysis conducted in the work we suggest new paradigms of the economical-mathematical modeling.
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8

Соловйов, Володимир Миколайович, and D. N. Chabanenko. Financial crisis phenomena: analysis, simulation and prediction. Econophysic’s approach. Гумбольдт-Клуб Україна, November 2009. http://dx.doi.org/10.31812/0564/1138.

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With the beginning of the global financial crisis, which attracts the attention of the international community, the inability of existing methods to predict the events became obvious. Creation, testing, adaptation of the models to the concrete financial market segments for the purpose of monitoring, early prediction, prevention and notification of financial crises is gaining currency nowadays. Econophysics is an interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and nonlinear dynamics. Its application to the study of financial markets has also been termed statistical finance referring to its roots in statistical physics. The new paradigm of relativistic quantum econophysics is proposed.
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