By Franck Jovanovic, Christophe Schinckus
"Econophysics and monetary Economics offers the 1st huge analytic comparability among versions and effects from econophysics and monetary economics in an available and customary vocabulary. Jovanovic and Schinckus movement past disciplinary frontiers to start up the advance of a standard theoretical framework that is smart for either commonly educated monetary economists and econophysicists. The major
"This publication strikes past the disciplinary frontiers with a purpose to start up the advance of a standard theoretical framework that is sensible for either regularly expert monetary economists and econophysicists. not like different courses devoted to econophysics, this ebook is written via monetary economists and it situates econophysics within the evolution of economic economics. the foremost concerns that situation the collaboration among the 2 fields are analyzed intimately. extra in particular, this e-book explains the theoretical and methodological foundations of those fields in an obtainable vocabulary offering the 1st broad analytic comparability among versions and effects from either fields. The ebook additionally identifies the main conceptual gate-keepers that complicate discussion among the 2 groups whereas it presents parts to beat them. by means of blending conceptual, historic, theoretical and formal arguments our research bridges the present deaf discussion among monetary economists and econophysicists. This publication information the new ends up in econophysics that carry it toward monetary economics. So doing, it identifies what is still performed for econophysicists to give a contribution considerably to monetary economics. past the rationalization of the present state of affairs, this booklet additionally proposes a familiar version appropriate with the 2 fields, defining minimum stipulations for universal versions. eventually, this publication presents a study time table for a extra fruitful collaboration among econophysicists and fiscal economists, developing new examine possibilities. during this point of view, it lays the principles for universal theoretical framework and models"-- Read more...
summary: "Econophysics and monetary Economics offers the 1st huge analytic comparability among versions and effects from econophysics and monetary economics in an obtainable and customary vocabulary. Jovanovic and Schinckus circulate past disciplinary frontiers to begin the improvement of a standard theoretical framework that is smart for either frequently educated monetary economists and econophysicists. the most important concerns that restrict and hinder collaboration among the 2 fields are analyzed intimately. The e-book explains the theoretical and methodological foundations of those fields in an obtainable vocabulary delivering the 1st wide analytic comparability among types and effects from either fields. through blending conceptual, historic, theoretical and formal arguments and research, the e-book information the hot leads to econophysics that deliver it in the direction of monetary economics. past the clarifying the present scenario of 2 camps, this booklet additionally proposes a accepted version appropriate with the 2 fields that during flip is helping outline minimum stipulations for universal versions. It additionally identifies what continues to be performed for econophysicists to give a contribution considerably to monetary economics. eventually, this e-book offers a examine schedule for a extra fruitful collaboration among econophysicists and monetary economists, growing new examine possibilities. Econophysics and monetary Economics is a crucial step in making a ecocnomic discussion among monetary economists and econophysicists. It does so by way of deciding upon a typical theoretical framework permitting the construction of extra effective types for the monetary industry."--
"This publication strikes past the disciplinary frontiers in an effort to begin the advance of a typical theoretical framework that is sensible for either usually expert monetary economists and econophysicists. in contrast to different guides devoted to econophysics, this publication is written by means of monetary economists and it situates econophysics within the evolution of monetary economics. the most important concerns that trouble the collaboration among the 2 fields are analyzed intimately. extra in particular, this booklet explains the theoretical and methodological foundations of those fields in an obtainable vocabulary supplying the 1st wide analytic comparability among types and effects from either fields. The ebook additionally identifies the foremost conceptual gate-keepers that complicate discussion among the 2 groups whereas it offers parts to beat them. via blending conceptual, ancient, theoretical and formal arguments our research bridges the present deaf discussion among monetary economists and econophysicists. This e-book information the hot ends up in econophysics that carry it towards monetary economics. So doing, it identifies what is still performed for econophysicists to give a contribution considerably to monetary economics. past the rationalization of the present scenario, this publication additionally proposes a primary version appropriate with the 2 fields, defining minimum stipulations for universal types. ultimately, this booklet presents a study time table for a extra fruitful collaboration among econophysicists and monetary economists, developing new learn possibilities. during this point of view, it lays the rules for universal theoretical framework and versions"
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Extra info for Econophysics and financial economics : an emerging dialogue
Example text
2. The First Attempts to Model Extreme Variations with Pareto-Lévy Distributions The first attempts to model extreme stock market price variations using stable Lévy processes were the work of Mandelbrot. After graduating in France, he left for the 35 Extreme Values in Financial Economics United States permanently in 1958 and began working for IBM. From the beginning of his research, Mandelbrot aimed to extend statistical physics to other fields, including social sciences. In his 1957 report, he set out his “interdisciplinary” project: “It appears that the author’s activity has by now been durably oriented along the lines of a long-range program, having two aspects: the study of physical and non-physical applications of thermodynamics, and the study of the ‘universal’ foundations” (1957, 4).
A proliferation of theoretical developments combined with the accumulation of empirical work led to a confusing situation. Indeed, the definition of efficient markets has changed depending on the emphasis placed by each author on a particular feature. For instance, Fama et al. (1969, 1) defined an efficient market as “a market that adjusts rapidly to new information”; Jensen (1978, 96) stated that “a market is efficient with respect to information set θt if it is impossible to make economic profit by trading on the basis of information set θt”; and according to Malkiel (1992), “The market is said to be efficient with respect to some information set … if security prices would be 19 Foundations of Financial Economics unaffected by revealing that information to all participants.
With the development of barometers, economists—for example Fisher7 and Mitchell8 (Armatte 1992; Banzhaf 2001; Diewert 1993)—became increasingly interested in the construction of indices, among them the stock price index. According to barometer analysis, stock price movements were an important indicator of economic activity, and this belief led economists to study stock price variations and their distributions. Economists interested in barometers were among the first to notice that stock price variations were not necessarily distributed according to the normal distribution.