Econophysics: a new field for statistical physics?

被引:7
作者
Gligor, M
Ignat, M
机构
[1] Collegium Roman Voda, Dept Phys, Roman 5500, Neamt, Romania
[2] Univ Al I Cuza Iasi, Fac Phys, Iasi 6660, Romania
关键词
D O I
10.1179/030801801679449
中图分类号
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号
07 ; 0710 ; 09 ;
摘要
This paper presents an overview of some recent applications of methods of statistical physics to financial problems such as stock market behaviour and crashes. This field of research has seen intensive developments over the last ten years and is today known as econophysics. The first section of the paper offers a review of the main directions of research in experimental, theoretical, and applied econophysics. A second section then introduces a case study of physical modelling of a financial event, namely a stock market crash seen as a higher order phase transition. The model used is the Ising model in Bethe-Peierls ('quasi chemical') approximation. In spite of its minimal character, the model exhibits a statistical pattern of stock market prices consistent with that observed empirically.
引用
收藏
页码:183 / 190
页数:8
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