Econophysics and Financial Economics

Jovanovic, F and Schinckus, C 2016, Econophysics and Financial Economics, Oxford University Press, United States.

Document type: Book
Collection: Books

Title Econophysics and Financial Economics
Author(s) Jovanovic, F
Schinckus, C
Year 2016
Publisher Oxford University Press
Place of publication United States
Subjects Finance
Summary How can we create a profitable dialogue between financial economists and econophysicists? This book moves beyond the disciplinary frontiers in order to initiate the development of a common theoretical framework that makes sense for both traditionally trained financial economists and econophysicists. Unlike other publications dedicated to econophysics, this book is written by two financial economists, and it situates econophysics in the evolution of financial economics. The major issues that concern the collaboration between the two fields are analyzed in detail. More specifically, this book explains the theoretical and methodological foundations of these two fields in an accessible vocabulary providing the first extensive analytic comparison between models and results from both fields. The book also identifies the major conceptual gatekeepers that complicate dialogue between the two communities, providing elements to overcome them. By mixing conceptual, historical, theoretical, and formal arguments, the analysis bridges the current gap between financial economists and econophysicists. This book details the recent results in econophysics that bring it closer to financial economics. So doing, it identifies what remains to be done for econophysicists to contribute significantly to financial economics. Beyond the clarification of the current situation, this book also proposes a generic model compatible with the two fields, defining minimal conditions for common models. Finally, this book provides a research agenda for a more fruitful collaboration between econophysicists and financial economists, creating new research opportunities. It thus lays the foundations for common theoretical framework and models.
Copyright notice © Oxford University Press 2017
Keyword(s) econophysics
foundations of financial economics
foundations of econophysics
statistical physics applied to finance
power laws in finance
efficient-market hypothesis
scaling law
stable Lvy processes
Gaussian distribution
ISBN 9780190205034
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