Econophysics and Financial Economics

An Emerging Dialogue
Erscheinungsjahr 2016
ISBN: 978-0-19-020503-4
Verlag: OXFORD UNIV PR

Buch, Englisch, 248 Seiten, Print PDF, Format (B × H): 161 mm x 240 mm, Gewicht: 537 g

What is econophysics? What makes an econophysicist? Why are financial economists reluctant to use results from econophysics? Can we overcome disputes concerning hypotheses used in financial economics and that make no sense for econophysicists? How can we create a profitable dialogue between financial economists and econophysicists? How do we develop a common theoretical framework allowing the creation of more efficient models for the financial industry?

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 gate-keepers that complicate dialogue between the two communities while it provides elements to overcome them.

By mixing conceptual, historical, theoretical and formal arguments our analysis bridges the current deaf dialogue 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. In this perspective, it lays the foundations for common theoretical framework and models.

Autoren/Hrsg.

Jovanovic, Franck

Schinckus, Christophe

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Naturwissenschaften Physik Physik Allgemein Theoretische Physik, Mathematische Physik, Computerphysik
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Wirtschaftstheorie, Wirtschaftsphilosophie
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

- Chapter 1: Foundations of financial economics: the key role of the Gaussian distribution

- Chapter 2: Extreme values in financial economics: from their observation to their integration into the Gaussian framework

- Chapter 3. New tools for extreme-value analysis: statistical physics goes beyond its borders

- Chapter 4: The disciplinary position of Econophysics: new opportunities for financial innovations

- Chapter 5. Major contributions of Econophysics to Financial Economics

- Chapter 6: Towards a common framework

- Conclusion: What kind of future lies in store for econophysics?

Über Autor(innen)

Franck Jovanovic is Associate Professor in Finance at the University of Leicester School of Management, Franck has published or edited 4 books and almost 40 papers. He is regularly invited as visiting professor by universities and research centers. He is research associate with the University of Orleans (France) and with the CIRST (Canada). For several years, Franck has been a research consultant in the private and public sector, including OECD, French Ministry for the Economy and Finance. His research interest focuses on financial economics and its interdisciplinary issues.

Christophe Schinckus is Associate Professor in Finance at the University of Leicester, he published more than 50 papers in peer-reviewed journals. His research interest focuses on interdisciplinary issues in financial economics. He presented more than 40 communications in conference and was invited to give lectures in UK (Cambridge), Canada, Europe, Thailand and Vietnam. He is currently finishing a second PhD in Philosophy of Science at the University of Cambridge.