Econophysics review: I. Empirical facts

Texto completo, versión de autor.- PACS Nos.: 05.45.Tp, 02.50.Sk, 05.40.-a, 05.45.Ra, 89.75.Fb

Detalles Bibliográficos
Autores: Chakraborti, Anirban, Muni Toke, Ioane, Patriarca, Marco, Abergel, Frédéric
Tipo de recurso: artículo
Fecha de publicación:2011
País:España
Institución:Consejo Superior de Investigaciones Científicas (CSIC)
Repositorio:DIGITAL.CSIC. Repositorio Institucional del CSIC
OAI Identifier:oai:digital.csic.es:10261/47012
Acceso en línea:http://hdl.handle.net/10261/47012
Access Level:acceso abierto
Palabra clave:Econophysics
Stylized facts
Financial time series
Correlations
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spelling Econophysics review: I. Empirical factsChakraborti, AnirbanMuni Toke, IoanePatriarca, MarcoAbergel, FrédéricEconophysicsStylized factsFinancial time seriesCorrelationsTexto completo, versión de autor.- PACS Nos.: 05.45.Tp, 02.50.Sk, 05.40.-a, 05.45.Ra, 89.75.FbThis article and the companion paper aim at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since the name was coined in 1995 by merging the words ‘Economics’ and ‘Physics’, this new interdisciplinary field has grown in various directions: theoretical macroeconomics (wealth distribution), microstructure of financial markets (order book modeling), econometrics of financial bubbles and crashes, etc. We discuss the interactions between Physics, Mathematics, Economics and Finance that led to the emergence of Econophysics. We then present empirical studies revealing the statistical properties of financial time series. We begin the presentation with the widely acknowledged ‘stylized facts’, which describe the returns of financial assets—fat tails, volatility clustering, autocorrelation, etc.—and recall that some of these properties are directly linked to the way ‘time’ is taken into account. We continue with the statistical properties observed on order books in financial markets. For the sake of illustrating this review, (nearly) all the stated facts are reproduced using our own high-frequency financial database. Finally, contributions to the study of correlations of assets such as random matrix theory and graph theory are presented. The companion paper will review models in Econophysics from the point of view of agent-based modeling.Peer reviewedTaylor & Francis201220122011info:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501http://hdl.handle.net/10261/47012reponame:DIGITAL.CSIC. Repositorio Institucional del CSICinstname:Consejo Superior de Investigaciones Científicas (CSIC)Ingléshttp://dx.doi.org/10.1080/14697688.2010.539248info:eu-repo/semantics/openAccessoai:digital.csic.es:10261/470122026-05-22T06:33:51Z
dc.title.none.fl_str_mv Econophysics review: I. Empirical facts
title Econophysics review: I. Empirical facts
spellingShingle Econophysics review: I. Empirical facts
Chakraborti, Anirban
Econophysics
Stylized facts
Financial time series
Correlations
title_short Econophysics review: I. Empirical facts
title_full Econophysics review: I. Empirical facts
title_fullStr Econophysics review: I. Empirical facts
title_full_unstemmed Econophysics review: I. Empirical facts
title_sort Econophysics review: I. Empirical facts
dc.creator.none.fl_str_mv Chakraborti, Anirban
Muni Toke, Ioane
Patriarca, Marco
Abergel, Frédéric
author Chakraborti, Anirban
author_facet Chakraborti, Anirban
Muni Toke, Ioane
Patriarca, Marco
Abergel, Frédéric
author_role author
author2 Muni Toke, Ioane
Patriarca, Marco
Abergel, Frédéric
author2_role author
author
author
dc.subject.none.fl_str_mv Econophysics
Stylized facts
Financial time series
Correlations
topic Econophysics
Stylized facts
Financial time series
Correlations
description Texto completo, versión de autor.- PACS Nos.: 05.45.Tp, 02.50.Sk, 05.40.-a, 05.45.Ra, 89.75.Fb
publishDate 2011
dc.date.none.fl_str_mv 2011
2012
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dc.identifier.none.fl_str_mv http://hdl.handle.net/10261/47012
url http://hdl.handle.net/10261/47012
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv http://dx.doi.org/10.1080/14697688.2010.539248
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:DIGITAL.CSIC. Repositorio Institucional del CSIC
instname:Consejo Superior de Investigaciones Científicas (CSIC)
instname_str Consejo Superior de Investigaciones Científicas (CSIC)
reponame_str DIGITAL.CSIC. Repositorio Institucional del CSIC
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