Econophysics: An Introduction to Correlations & Complexity

[tt]

Just considering writing a masters thesis on Econophysics. Currently reading the book "An Introduction to Econophysics: Correlations and Complexity in Finance" by Mantegna and Stanley. Could you recommend me some introductory literature on the subject, not just on econophysics, but econometrics would be welcome too. Thanks.

 

[Zaphys]

Economy is not for physicists as it is a human invention. If you got a physics degree keep on doing science of good quality ;)

 

[twofish-quant]

Just considering writing a masters thesis on Econophysics. Currently reading the book "An Introduction to Econophysics: Correlations and Complexity in Finance" by Mantegna and Stanley. Could you recommend me some introductory literature on the subject, not just on econophysics, but econometrics would be welcome too. Thanks.

I don't think that there is very much in the way of intro literature to the field. It's all research papers.

One thing that you might find interesting is how little econophysics is used by physicists working in Wall Street.

 

[twofish-quant]

Here's a link to a lot of papers in quantitative finance

http://arxiv.org/archive/q-fin

Also take a look at

http://cob.jmu.edu/.../Debating%20the%20Role%20of%20Econophysics.doc

http://www.debunking-economics.com/Papers/Econophysics/GallegattiKeenLuxOrmerod2006WorryingTrendsInEconophysics_PhysicaA370pp1-6.pdf

Two questions that I've been thinking about are:

1) it is possible to model the economic meltdown as a first order phase transition and thereby calculate the amount of required capital that is needed for a stable financial system, and

2) in finance you have a situation in which models can change the economy. How can this be modeled.