Investigations of Financial Markets Using Statistical Physics Methods

Plotting the Words of Econophysics

Entropy ◽

10.3390/e23080944 ◽

2021 ◽

Vol 23 (8) ◽

pp. 944

Author(s):

Gianfranco Tusset

Keyword(s):

Text Mining ◽

Financial Markets ◽

Relative Frequency ◽

Statistical Physics ◽

Distribution Of Wealth ◽

Research Production

Text mining is applied to 510 articles on econophysics to reconstruct the lexical evolution of the discipline from 1999 to 2020. The analysis of the relative frequency of the words used in the articles and their “visualization” allow us to draw some conclusions about the evolution of the discipline. The traditional areas of research, financial markets and distribution of wealth, remain central, but they are flanked by other strands of research—production, currencies, networks—which broaden the discipline by pushing towards a dialectical application of traditional concepts and tools drawn from statistical physics.

Download Full-text

The Statistical Foundations of Entropy

Entropy ◽

10.3390/e23101367 ◽

2021 ◽

Vol 23 (10) ◽

pp. 1367

Author(s):

Petr Jizba ◽

Jan Korbel

Keyword(s):

Social Networks ◽

Information Theory ◽

Financial Markets ◽

Statistical Estimation ◽

Statistical Physics ◽

Scientific Disciplines

During the last few decades, the notion of entropy has become omnipresent in many scientific disciplines, ranging from traditional applications in statistical physics and chemistry, information theory, and statistical estimation to more recent applications in biology, astrophysics, geology, financial markets, or social networks[...]

Download Full-text

A Critical Review of the Main Approaches on Financial Market Dynamics Modelling

Journal of Heterodox Economics ◽

10.1515/jheec-2015-0017 ◽

2015 ◽

Vol 2 (2) ◽

pp. 151-167 ◽

Cited By ~ 2

Author(s):

Lucian Pasca

Keyword(s):

Decision Making ◽

Financial Markets ◽

Financial Market ◽

Cognitive Processes ◽

Statistical Physics ◽

Price Formation ◽

Cognitive Level ◽

Financial Systems ◽

Flexible Framework ◽

Dynamics Modelling

Abstract While the interpretation of the EMH has changed over the last 50 years, its meaningfulness continues to define our view on how financial markets work. Competing approaches such as BFT and ACT have been proven to be in particular cases of an infinite spectrum of market states; all come under the framework of the AMH. The flexible framework of the AMH enables a trans-disciplinary approach for the study of financial system dynamics. An evolutionary and contextual view on financial systems allows researchers to use techniques and instruments from quantum mechanics and statistical physics to quantify volatility and provide an interpretation to the cognitive processes underlying investor decision making. Such a context also enables to tackle the interpretation of information processing at a cognitive level through consideration of quantum effects in the price formation mechanism.

Download Full-text