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

Philip Moriarty, Will Fermi and Dirac save us? Probably not.

A paper recently appeared on the arXiv with the ever-so-intriguing title of β€œAttacking Covid-19 with the Ising-model and the Fermi-Dirac Distribution Function”. […] I’m a big fan of the Ising model β€” not least because we have extensively used a variant to simulate pattern formation in nanoparticle assemblies for many* years […] Having now read the paper, it’s a little, um, underwhelming, given the rather overstated premise of the title. That’s not to say that it’s not worth reading as an example of how modelling and simulation strategies from condensed matter physics can be translated to social and epidemiological settings.

References

Bentley, R Alexander, Paul Ormerod, and Michael Batty. 2011. β€œEvolving Social Influence in Large Populations.” Behavioral Ecology and Sociobiology 65 (3): 537–46.
Bentley, R Alexander, Paul Ormerod, and Stephen Shennan. 2011. β€œPopulation-Level Neutral Model Already Explains Linguistic Patterns.” Proceedings of the Royal Society B: Biological Sciences 278 (1713): 1770–72.
Challet, Damien, Matteo Marsili, and Yi-Chang Zhang. 2000. β€œModeling Market Mechanism with Minority Game.” Physica A: Statistical and Theoretical Physics 276 (1-2): 284–315.
Challet, Damien, and Yi-Cheng Zhang. 1997. β€œEmergence of Cooperation and Organization in an Evolutionary Game.” Physica A: Statistical and Theoretical Physics 246 (3-4): 407–18.
Crane, Riley, and Didier Sornette. 2008. β€œRobust Dynamic Classes Revealed by Measuring the Response Function of a Social System.” Proceedings of the National Academy of Sciences 105 (41): 15649–53.
Filimonov, Vladimir, David Bicchetti, Nicolas Maystre, and Didier Sornette. 2014. β€œQuantification 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.
Filimonov, Vladimir, and Didier Sornette. 2011. β€œSpurious Trend Switching Phenomena in Financial Markets.” arXiv:1112.3868 [q-Fin], December.
β€”β€”β€”. 2012. β€œQuantifying Reflexivity in Financial Markets: Toward a Prediction of Flash Crashes.” Physical Review E 85 (5): 056108.
Filimonov, V., and D. Sornette. 2013. β€œA Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model.” Physica A: Statistical Mechanics and Its Applications 392 (17): 3698–3707.
Gallegati, Mauro, Steve Keen, Thomas Lux, and Paul Ormerod. 2006. β€œWorrying Trends in Econophysics.” Physica A: Statistical and Theoretical Physics 370: 1.
Lux, Thomas, and Didier Sornette. 2002. β€œOn Rational Bubbles and Fat Tails.” Journal of Money, Credit and Banking 34: 589–610.
Malevergne, Yannick, Alexander I. Saichev, and Didier Sornette. 2008. β€œZipf’s Law for Firms: Relevance of Birth and Death Processes.” SSRN Scholarly Paper ID 1083962. Rochester, NY: Social Science Research Network.
Malevergne, Y., A. Saichev, and D. Sornette. 2010. β€œZipf’s Law and Maximum Sustainable Growth.” arXiv:1012.0199 [Physics, q-Fin], December.
Malevergne, Y, and D Sornette. 2005. Extreme Financial Shocks : From Dependence to Risk Management. Berlin; London: Springer.
Ormerod, Paul. 2006. β€œHayek, the Intellectuals and Socialism, and Weighted Scale-Free Networks.” Economic Affairs 26: 41–47.
Ormerod, Paul, and R Alexander Bentley. 2010. β€œModelling Creative Innovation.” Cultural Science 3 (1).
Ormerod, Paul, and Rich Colbaugh. 2006. β€œCascades of Failure and Extinction in Evolving Complex Systems.” Journal of Artificial Societies and Social Simulation 9.
Ormerod, Paul, and Craig Mounfield. 2000. β€œRandom Matrix Theory and the Failure of Macro-Economic Forecasts.” Physica A: Statistical Mechanics and Its Applications 280 (3-4): 497–504.
Ormerod, Paul, and Greg Wiltshire. 2009. β€œβ€˜Binge’ Drinking in the UK: A Social Network Phenomenon.” Mind & Society 8 (2): 135–52.
S. Cavalcante, Hugo L. D. de, Marcos OriΓ‘, Didier Sornette, Edward Ott, and Daniel J. Gauthier. 2013. β€œPredictability and Suppression of Extreme Events in a Chaotic System.” Physical Review Letters 111 (19): 198701.
Saichev, Alexander I., Yannick Malevergne, and Didier Sornette. 2010. Theory of Zipf’s Law and Beyond.
Sornette, D, and A Helmstetter. 2003. β€œEndogenous Versus Exogenous Shocks in Systems with Memory.” Physica A: Statistical Mechanics and Its Applications 318 (3–4): 577–91.
Sornette, Didier. 2003. β€œCritical Market Crashes.” Physics Reports 378 (1): 1–98.
β€”β€”β€”. 2009a. β€œProbability Distributions in Complex Systems.” In Encyclopedia of Complexity and Systems Science, edited by Robert A. Meyers, 7009–24. Springer New York.
β€”β€”β€”. 2009b. β€œDragon-Kings, Black Swans and the Prediction of Crises.” arXiv:0907.4290 [Physics] 2 (1).
Sornette, Didier, and Peter Cauwels. 2015. β€œManaging Risk in a Creepy World.” Journal of Risk Management in Financial Institutions 8 (1): 83–108.
Sornette, D., Y. Malevergne, and J.-F. Muzy. 2004. β€œVolatility Fingerprints of Large Shocks: Endogenous Versus Exogenous.” In The Application of Econophysics, edited by Hideki Takayasu, 91–102. Springer Japan.
Zhang, Qunzhi, and Didier Sornette. 2011. β€œEmpirical Test of the Origin of Zipf’s Law in Growing Social Networks.” Physica A: Statistical Mechanics and Its Applications 390 (23–24): 4124–30.

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