#econophysics

[raptured-night]

Sociophysics and Econophysics, the Future of Social Science? | JSTOR Daily

Can empirical data about human behavior make the “soft” sciences more like the “hard” ones? New interdisciplinary fields are voting yes.

[quasi-normalcy]

I am increasingly convinced that "econophysics," as a discipline, is made up entirely of cranks and charlatans.

[inventinginventions]

This is the territory of econophysics, a discipline that sometimes sounds less like a collaboration between physics and economics and more like an attempted takeover of the latter by the former. By using the techniques of physics – poring through vast quantities of data in order to build models from the ground up, searching for patterns and, ultimately, for laws – econophysicists are trying to explain things that traditional financial theories do not.

Physicists and the financial markets

[econophysics-blog]

Simulation Research Design

Background Reading

Preliminary Simulations

Formulating the Problems

Simulation Design

Running and Collecting data

Data analysis (1) numerical

Data analysis (2) physical

Data analysis (3) theoretical

What is the purpose of doing the simulation?

Well, what is the purpose of any research?  Research is a process to find new knowledge. And science is a quest to understand. So in this case, simulations' goal is to understand. The question is: "How do we understand anything by simulations?"

[juwono-blog]

[econophysics-blog]

Getting Started

Individuals appear and disappear. One way to do the simulation is by making only one individual appear or disappear at each Monte Carlo step. This is not exactly what happens in nature, of course. To correct that, we use MCSS instead of MCS, as our time unit.

We set up the simulations in many different way. One way is to drive them by a Hamiltonian and let it obey the detailed balance etc, the other way is by a set of simulation rules.

Now remember  that "Monte Carlo" means "doing something with probability". Individuals are distributed (or taken away) from the system with a probability, individuals are also interacting with each other, with a probability.

Each individual has properties. The simplest property of an individual is just to exist. Such individual can be found in Ising model simulations where we can define an individual as spin-up (when it exists) or spin-down (when it doesn't exist).  An individual could have a more complex set of properties. This "individual" can be a species, a language, or an agent in financial market. In this case we need to include the properties of the individual in the simulation. One way to do that by using a bit string for each individual. Now, what are the ingredients of the simulation? - The rule for the materialization or de-materialization of individuals - The rule for displacements of individuals. - The rule for population growth or shrink toward an equilibrium or fixed points

- The rule for independent mutation of each individual, and the rule for mutation by interaction with each other.

Next, of course, is running the simulation and getting the measurement results.

[b0blocker-blog]

Are small-cap premiums justified? Maybe. Large companies are fragile. Large cities are antifragile.