Econophysics: Empirical facts and agent-based models - Quantitative Finance > General FinanceReportar como inadecuado

Econophysics: Empirical facts and agent-based models - Quantitative Finance > General Finance - Descarga este documento en PDF. Documentación en PDF para descargar gratis. Disponible también para leer online.

Abstract: This article aims at reviewing recent empirical and theoretical developmentsusually grouped under the term Econophysics. Since its name was coined in 1995by merging the words Economics and Physics, this new interdisciplinary fieldhas grown in various directions: theoretical macroeconomics wealthdistributions, microstructure of financial markets order book modelling,econometrics of financial bubbles and crashes, etc. In the first part of thereview, we discuss on the emergence of Econophysics. Then we present empiricalstudies revealing statistical properties of financial time series. We begin thepresentation with the widely acknowledged stylized facts which describe thereturns of financial assets- fat tails, volatility clustering, autocorrelation,etc.- and recall that some of these properties are directly linked to the waytime is taken into account. We continue with the statistical propertiesobserved on order books in financial markets. For the sake of illustrating thisreview, nearly all the stated facts are reproduced using our ownhigh-frequency financial database. Finally, contributions to the study ofcorrelations of assets such as random matrix theory and graph theory arepresented. In the second part of the review, we deal with models inEconophysics through the point of view of agent-based modelling. Amongst alarge number of multi-agent-based models, we have identified threerepresentative areas. First, using previous work originally presented in thefields of behavioural finance and market microstructure theory, econophysicistshave developed agent-based models of order-driven markets that are extensivelypresented here. Second, kinetic theory models designed to explain someempirical facts on wealth distribution are reviewed. Third, we brieflysummarize game theory models by reviewing the now classic minority game andrelated problems.

Autor: Anirban Chakraborti, Ioane Muni Toke, Marco Patriarca, Frederic Abergel


Documentos relacionados