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by Frédéric Abergel (Editor), Hideaki Aoyama (Editor), Bikas K. Chakrabarti (Editor), Anirban Chakraborti (Editor), Nivedita Deo (Editor), Dhruv Raina (Editor), Irena Vodenska (Editor)
About the Author
Frédéric Abergel is a Professor and Director of the Laboratory of Mathematics Applied to Systems, école Centrale Paris, Grande voie des vignes, Chatenay-Malabry, France. His research interests include financial markets, modeling of derivatives, and empirical properties of financial data. He has organized a number of international conferences and is also managing editor of the journal Quantitative Finance. He has published many articles in peer-reviewed journals.
Anirban Chakraborti is a Professor at Jawaharlal Nehru University, India. He gained his PhD in Physics in 2003 for a thesis entitled “Application of Statistical Physics to some Econophysics and Optimization Problems” and in 2009 he was awarded an Indian National Science Academy Young Scientist Medal. His current research focuses on statistical physics and its interdisciplinary application to problems in complex systems in economic and social sciences, and combinatorial optimization.
Hideaki Aoyama is a Professor in the Department of Physics, Graduate School of Science, Kyoto University, Japan. Prior to taking up this position in 2003, he was Professor in the Faculty of Integrated Human Studies and College of Liberal Arts and Sciences. He has published 46 research papers in physics, 3 in linguistics, and 25 in econophysics. He is a lifetime member of the American Physical Society and former president of the Kyoto chapter of the Japanese Physical Society.
Bikas K. Chakrabarti is Senior Professor of Physics at the Saha Institute of Nuclear Physics, Kolkata, India and Visiting Professor of Economics at the Indian Statistical Institute, Kolkata. He was elected as a Fellow of the Indian Academy of Sciences in 1997 and a Fellow of the Indian National Science Academy in 2003. His interests are condensed matter physics, statistical physics, and computational physics and he is the author of more than 150 refereed papers.
Nivedita Deo is Associate Professor in the Department of Physics and Astrophysics, University of Delhi, India. Her research interests include statistical mechanics of superstrings, quantum chaos, glasses, the spectrum of instantaneous normal modes in liquids and random matrices, and the mathematical properties of random matrix models. She is the author of many articles in peer-reviewed publications.
Dhruv Raina is a Professor at the Zakir Husain Centre for Educational Studies, School of Social Sciences, Jawaharlal Nehru University, New Delhi, India. He is also Honorary Director of the Northern Regional Centre, Indian Council for Social Science Research. Professor Raina has received many honors and awards. He has held the Heinrich Zimmer Chair for Indian Philosophy and Intellectual History at the University of Heidelberg, Germany and in 2015 was Visiting Professor at Université Paris Diderot.
Irena Vodenska is Assistant Professor in the Administrative Sciences Department, Metropolitan College, Boston University, USA. In addition to teaching finance courses, she has directed interdisciplinary research in collaboration with Boston University College of Arts and Sciences Physics Department. She is also Chief Investment Officer and founding partner of Amectron International LLC, Boston, Mass. and past Associate Director for Research, Center for Finance, Law, and Policy, Boston University.
About this book
This book presents the proceedings from ECONOPHYS-2015, an international workshop held in New Delhi, India, on the interrelated fields of “econophysics” and “sociophysics”, which have emerged from the application of statistical physics to economics and sociology. Leading researchers from varied communities, including economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others, report on their recent work, discuss topical issues, and review the relevant contemporary literature.
A society can be described as a group of people who inhabit the same geographical or social territory and are mutually involved through their shared participation in different aspects of life. It is possible to observe and characterize average behaviors of members of a society, an example being voting behavior. Moreover, the dynamic nature of interaction within any economic sector comprising numerous cooperatively interacting agents has many features in common with the interacting systems of statistical physics. It is on these bases that interest has grown in the application within sociology and economics of the tools of statistical mechanics. This book will be of value for all with an interest in this flourishing field.
Table of contents
Part I Econophysics
1 Why Have Asset Price Properties Changed so Little in 200 Years
2 Option Pricing and Hedging with Liquidity Costs and Market Impact
3 Dynamic Portfolio Credit Risk and Large Deviations
4 Extreme Eigenvector Analysis of Global Financial Correlation Matrices
5 Network Theory in Macroeconomics and Finance
6 Power Law Distributions for Share Price and Financial Indicators: Analysis at the Regional Level
7 Record Statistics of Equities and Market Indices
8 Information Asymmetry and the Performance of Agents Competing for Limited Resources
9 Kolkata Restaurant Problem: Some Further Research Directions
Part II Sociophysics
11 Kinetic Exchange Models as D Dimensional Systems: A Comparison of Different Approaches
12 The Microscopic Origin of the Pareto Law and Other Power-Law Distributions
13 The Many-Agent Limit of the Extreme Introvert-Extrovert Model
14 Social Physics: Understanding Human Sociality in Communication Networks
15 Methods for Reconstructing Interbank Networks from Limited Information: A Comparison
16 Topology of the International Trade Network: Disentangling Size, Asymmetry and Volatility
17 Patterns of Linguistic Diffusion in Space and Time: The Case of Mazatec
Part III Epilogue
18 Epilogue
Series: New Economic Windows
Hardcover: 256 pages
Publisher: Springer; 1st ed. 2017 edition (January 30, 2017)
Language: English
ISBN-10: 3319477048
ISBN-13: 978-3319477046
About the series
Even what seems simple in economics generally arises from behavior reflecting the enormous diversity of humanity in terms of knowledge, attitudes, and behaviors, which interact within an enormous range of institutional frameworks. Put briefly, the economy is a complex system.
This complexity arises naturally. Economic agents, be they banks, firms, households, consumers, or investors, act with strategic behavior and foresight by considering outcomes that might result from behavior they might undertake. Furthermore, they continually adjust their market operations, buying decisions, prices, and forecasts to the situations that these operations, decisions, prices, and forecasts together create. This adds a layer of complexity to economics not experienced in the natural sciences.
The recognition of such complexity has resulted in diverse new approaches to the analysis of economic phenomena. After two centuries of preferential study of static equilibrium models, economists are discovering models that contain discontinuity, nonlinearity, and a variety of phenomena that are not so easily predicted or understood.
The New Economics Windows (NEW) series, derived from Massimo Salzano’s ideas and work, comprises books that explore innovative perspectives and components of complexity theory in economics. They have in common an acceptance that economic phenomena should be investigated not as an outcome of deterministic, predictable, and mechanistic dynamics, but as history-dependent, organic, and continually evolving processes.
Research fields covered by the series include in particular (but are not limited to): • Agent-Based Models • Nonlinear Economic Systems • Evolutionary Economics • Econophysics • Chaos Theory • Fractal Analysis• Neuroeconomics• Fuzzy Systems• Network Theory
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