Econophysics


Physicists who think some models from statistical mechanics will explain some stuff from economics better than models from economics.

Things to discuss: Whether anything is actually happening here at all.

Mauro Gallegati, Steve Keen, Paul Ormerod. 2006. Worrying trends in Econophysics.

Our concerns are fourfold. First, a lack of awareness of work that has been done within economics itself. Second, resistance to more rigorous and robust statistical methodology. Third, the belief that universal empirical regularities can be found in many areas of economic activity. Fourth, the theoretical models which are being used to explain empirical phenomena […] are based on spurious conservation laws.

Misc

Bentley, R Alexander, Paul Ormerod, and Michael Batty. 2011. “Evolving Social Influence in Large Populations.” Behavioral Ecology and Sociobiology 65 (3): 537–46. https://doi.org/10.1007/s00265-010-1102-1.

Bentley, R Alexander, Paul Ormerod, and Stephen Shennan. 2011. “Population-Level Neutral Model Already Explains Linguistic Patterns.” Proceedings of the Royal Society B: Biological Sciences 278 (1713): 1770–2. https://doi.org/10.1098/rspb.2010.2581.

Challet, Damien, Matteo Marsili, and Yi-Chang Zhang. 2000. “Modeling Market Mechanism with Minority Game.” Physica A: Statistical and Theoretical Physics 276 (1-2): 284–315.

Challet, Damien, and Yi-Cheng Zhang. 1997. “Emergence of Cooperation and Organization in an Evolutionary Game.” Physica A: Statistical and Theoretical Physics 246 (3-4): 407–18. https://doi.org/10.1016/S0378-4371(97)00419-6.

Crane, Riley, and Didier Sornette. 2008. “Robust Dynamic Classes Revealed by Measuring the Response Function of a Social System.” Proceedings of the National Academy of Sciences 105 (41): 15649–53. https://doi.org/10.1073/pnas.0803685105.

Filimonov, Vladimir, David Bicchetti, Nicolas Maystre, and Didier Sornette. 2014. “Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets.” Journal of International Money and Finance, Understanding International Commodity Price Fluctuations, 42 (April): 174–92. https://doi.org/10.1016/j.jimonfin.2013.08.010.

Filimonov, Vladimir, and Didier Sornette. 2011. “Spurious Trend Switching Phenomena in Financial Markets,” December. http://arxiv.org/abs/1112.3868.

———. 2012. “Quantifying Reflexivity in Financial Markets: Toward a Prediction of Flash Crashes.” Physical Review E 85 (5): 056108. https://doi.org/10.1103/PhysRevE.85.056108.

Filimonov, V., and D. Sornette. 2013. “A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model.” Physica A: Statistical Mechanics and Its Applications 392 (17): 3698–3707. https://doi.org/10.1016/j.physa.2013.04.012.

Gallegati, Mauro, Steve Keen, Thomas Lux, and Paul Ormerod. 2006. “Worrying Trends in Econophysics.” Physica A: Statistical and Theoretical Physics 370: 1.

Lux, Thomas, and Didier Sornette. 2002. “On Rational Bubbles and Fat Tails.” Journal of Money, Credit and Banking 34: 589–610. https://doi.org/10.2307/3270733.

Malevergne, Yannick, Alexander I. Saichev, and Didier Sornette. 2008. “Zipf’s Law for Firms: Relevance of Birth and Death Processes.” SSRN Scholarly Paper ID 1083962. Rochester, NY: Social Science Research Network. http://papers.ssrn.com/abstract=1083962.

Malevergne, Y., A. Saichev, and D. Sornette. 2010. “Zipf’s Law and Maximum Sustainable Growth,” December. http://arxiv.org/abs/1012.0199.

Malevergne, Y, and D Sornette. 2005. Extreme Financial Shocks : From Dependence to Risk Management. Berlin; London: Springer.

Ormerod, Paul. 2006. “Hayek, the Intellectuals and Socialism, and Weighted Scale-Free Networks.” Economic Affairs 26: 41–47. https://doi.org/10.1111/j.1468-0270.2006.00611.x.

Ormerod, Paul, and R Alexander Bentley. 2010. “Modelling Creative Innovation.” Cultural Science 3 (1).

Ormerod, Paul, and Rich Colbaugh. 2006. “Cascades of Failure and Extinction in Evolving Complex Systems.” Journal of Artificial Societies and Social Simulation 9.

Ormerod, Paul, and Craig Mounfield. 2000. “Random Matrix Theory and the Failure of Macro-Economic Forecasts.” Physica A: Statistical Mechanics and Its Applications 280 (3-4): 497–504. https://doi.org/10.1016/S0378-4371(00)00075-3.

Ormerod, Paul, and Greg Wiltshire. 2009. “’Binge’ Drinking in the UK: A Social Network Phenomenon.” Mind & Society 8 (2): 135–52. https://doi.org/10.1007/s11299-009-0058-1.

Saichev, Alexander I., Yannick Malevergne, and Didier Sornette. 2010. Theory of Zipf’s Law and Beyond. http://www.springer.com/economics/financial+economics/book/978-3-642-02945-5.

S. Cavalcante, Hugo L. D. de, Marcos Oriá, Didier Sornette, Edward Ott, and Daniel J. Gauthier. 2013. “Predictability and Suppression of Extreme Events in a Chaotic System.” Physical Review Letters 111 (19): 198701. https://doi.org/10.1103/PhysRevLett.111.198701.

Sornette, D, and A Helmstetter. 2003. “Endogenous Versus Exogenous Shocks in Systems with Memory.” Physica A: Statistical Mechanics and Its Applications 318 (3–4): 577–91. https://doi.org/10.1016/S0378-4371(02)01371-7.

Sornette, Didier. 2003. “Critical Market Crashes.” Physics Reports 378 (1): 1–98. https://doi.org/10.1016/S0370-1573(02)00634-8.

———. 2009a. “Probability Distributions in Complex Systems.” In Encyclopedia of Complexity and Systems Science, edited by Robert A. Meyers, 7009–24. Springer New York. http://arxiv.org/abs/0707.2194.

———. 2009b. “Dragon-Kings, Black Swans and the Prediction of Crises” 2 (1). http://arxiv.org/abs/0907.4290.

Sornette, Didier, and Peter Cauwels. 2015. “Managing Risk in a Creepy World.” Journal of Risk Management in Financial Institutions 8 (1): 83–108. http://arxiv.org/abs/1401.3281.

Sornette, D., Y. Malevergne, and J.-F. Muzy. 2004. “Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous.” In The Application of Econophysics, edited by Hideki Takayasu, 91–102. Springer Japan. http://link.springer.com/chapter/10.1007/978-4-431-53947-6_12.

Zhang, Qunzhi, and Didier Sornette. 2011. “Empirical Test of the Origin of Zipf’s Law in Growing Social Networks.” Physica A: Statistical Mechanics and Its Applications 390 (23–24): 4124–30. https://doi.org/10.1016/j.physa.2011.06.063.