Econophysics

April 13, 2011 — April 13, 2011

buzzword
distributed
economics
statmech
wonk

Physicists 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.

1 Incoming

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

A paper recently appeared on the arXiv with the ever-so-intriguing title of “Attacking Covid-19 with the Ising-model and the Fermi-Dirac Distribution Function”. […] I’m a big fan of the Ising model — 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.

2 References

Bentley, Ormerod, and Batty. 2011. “Evolving Social Influence in Large Populations.” Behavioral Ecology and Sociobiology.
Bentley, Ormerod, and Shennan. 2011. “Population-Level Neutral Model Already Explains Linguistic Patterns.” Proceedings of the Royal Society B: Biological Sciences.
Challet, Marsili, and Zhang. 2000. “Modeling Market Mechanism with Minority Game.” Physica A: Statistical and Theoretical Physics.
Challet, and Zhang. 1997. “Emergence of Cooperation and Organization in an Evolutionary Game.” Physica A: Statistical and Theoretical Physics.
Crane, and Sornette. 2008. “Robust Dynamic Classes Revealed by Measuring the Response Function of a Social System.” Proceedings of the National Academy of Sciences.
de S. Cavalcante, Oriá, Sornette, et al. 2013. “Predictability and Suppression of Extreme Events in a Chaotic System.” Physical Review Letters.
Filimonov, Vladimir, Bicchetti, Maystre, et al. 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,.
Filimonov, Vladimir, and Sornette. 2011. “Spurious Trend Switching Phenomena in Financial Markets.” arXiv:1112.3868 [q-Fin].
———. 2012. “Quantifying Reflexivity in Financial Markets: Toward a Prediction of Flash Crashes.” Physical Review E.
Filimonov, V., and Sornette. 2013. “A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model.” Physica A: Statistical Mechanics and Its Applications.
Gallegati, Keen, Lux, et al. 2006. “Worrying Trends in Econophysics.” Physica A: Statistical Mechanics and Its Applications.
Lux, and Sornette. 2002. “On Rational Bubbles and Fat Tails.” Journal of Money, Credit and Banking.
Malevergne, Yannick, Saichev, and Sornette. 2008. “Zipf’s Law for Firms: Relevance of Birth and Death Processes.” SSRN Scholarly Paper ID 1083962.
Malevergne, Y., Saichev, and Sornette. 2010. “Zipf’s Law and Maximum Sustainable Growth.” arXiv:1012.0199 [Physics, q-Fin].
Malevergne, Y, and Sornette. 2005. Extreme Financial Shocks : From Dependence to Risk Management.
Ormerod. 2006. “Hayek, the Intellectuals and Socialism, and Weighted Scale-Free Networks.” Economic Affairs.
Ormerod, and Bentley. 2010. “Modelling Creative Innovation.” Cultural Science.
Ormerod, and Colbaugh. 2006. “Cascades of Failure and Extinction in Evolving Complex Systems.” Journal of Artificial Societies and Social Simulation.
Ormerod, and Mounfield. 2000. “Random Matrix Theory and the Failure of Macro-Economic Forecasts.” Physica A: Statistical Mechanics and Its Applications.
Ormerod, and Wiltshire. 2009. “‘Binge’ Drinking in the UK: A Social Network Phenomenon.” Mind & Society.
Saichev, Malevergne, and Sornette. 2010. Theory of Zipf’s Law and Beyond.
Schinckus. 2018. “When Physics Became Undisciplined: An Essay on Econophysics.”
Sornette, Didier. 2003. “Critical Market Crashes.” Physics Reports.
———. 2009a. “Probability Distributions in Complex Systems.” In Encyclopedia of Complexity and Systems Science.
———. 2009b. “Dragon-Kings, Black Swans and the Prediction of Crises.” arXiv:0907.4290 [Physics].
Sornette, Didier, and Cauwels. 2015. “Managing Risk in a Creepy World.” Journal of Risk Management in Financial Institutions.
Sornette, D, and Helmstetter. 2003. “Endogenous Versus Exogenous Shocks in Systems with Memory.” Physica A: Statistical Mechanics and Its Applications.
Sornette, D., Malevergne, and Muzy. 2004. “Volatility Fingerprints of Large Shocks: Endogenous Versus Exogenous.” In The Application of Econophysics.
Zhang, and Sornette. 2011. “Empirical Test of the Origin of Zipf’s Law in Growing Social Networks.” Physica A: Statistical Mechanics and Its Applications.