Statistical physics and economics. Concepts, tools, and applications. (Q1412190): Difference between revisions

The main goal of this book is to develop concepts and methods that allow to deal with the evolution and dynamics of economic systems from an uniform, physically-motivated point of view. The presented tools and techniques are also relevant to a much larger class of problems than (only) economics, with the specific characteristics that they are related to very complex underlying systems. Therefore, the enclosed mathematical background and the theoretical framework of physics and statistical physics used for the analysis of economic systems may also be quite relevant for the description of social systems, biological organisms, populations, communication networks, biological evolution systems, meteorology, geosciences, turbulence, granular matter, epidemics etc. It is the econophysics science which, without substituting the economics science but completing and supporting it, may provide a consistent basis for the interpretation of the structure and dynamics of complex economic systems or subsystems such as financial markets or national economics. The central theme of the book is that of collective and cooperative properties in the behaviour of economic units such as fins, markets, and consumers. Understanding of these properties is a consequence of interaction of a large number of degrees of freedom. This fact allows the description of economic phenomena using both modern physical concepts, viz. deterministic chaos, self-organization, scaling laws, renormalization group techniques, and complexity, as well as traditional ideas such as fluctuation theories, response theory, disorder, and non-reproducibility. The econophysics theory focuses its attention on the description of economic systems and problems in terms of various scales of interest (such as the essential price scale) which determine the choice of the relevant degrees of freedom and the mathematical method for solving the underlying problem. The book is organized in six chapters whose contents can be outlined briefly as fours: Chapter I (Economy and Complete Systems) and Chapter 2 (Evolution and Probabilistic Concepts) cover important notions and notations for complex systems, the statistical physics of out-of equilibrium considering the dominant scales and the relevant degrees of freedom. The mathematical contents is presented in a s simple and intuitive manner. Chapter 3 (Financial Markets) deals with problems related to financial markets. The financial market is a complex system from a physical point of view, where die rates of stocks and other asset prices are characterized as relevant degrees of freedom. All other degrees of freedom are considered to be irrelevant quantities. The physical model presented provides a way to derive the complicated, partially anomalous fluctuations of stock prices and exchange rates from general, universal laws. The mathematical and physical tools are devices are extended, aiming to introduce the concept of renormalizing group approach, the generalized central limit theorem, and the theory of large fluctuations. Chapter 4 (Economic Systems) considers economic problems that are not directly connected with the dynamics of markets. Microeconomics, the limitation of thermodynamic concepts in economy, environmental economics, and macroeconomics are discussed in terms of deterministic chaos, stability theory, scaling laws, field theories, and self-organized criticality. In Chapter 5 (Computer Simulations), several numerical methods used for the solution of economic problems are examined and compared with similar physical techniques. Various kinds of Monte Carlo simulations (dynamical, reversed, and quasi-Monte Carlo) and cellular automata theories are introduced. Chapter 6 (Forecasting) gives an overview of several methods that may be applied for the prediction of the evolution of economic phenomena and the estimation of general trends in the evolution of economic systems. The book is devoted to (graduate) students in econophysics and to researchers working in any of the following fields: physics, chemistry, economics, and financial mathematics.