Abstract
Why did physicists start to be interested in economics, finance, and in general in the social sciences? Why and how can physics make an effective contribution to the description and understanding of these disciplines?
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Tacchella, A., Cristelli, M., Caldarelli, G., Gabrielli, A., & Pietronero, L. (2012). A new metrics for countries’ fitness and products’ complexity. Scientific Reports on Nature, 2, 723.
Cristelli, M., Tacchella, A., Caldarelli, G., Gabrielli, A., & Pietronero, L. (2013). Measuring the intangibles: a metrics for the complexity of countries and products. PLoS ONE (accepted).
Tacchella, A., Cristelli, M., Caldarelli, G., Gabrielli, A., & Pietronero, L. (2013). Economic complexity: conceptual grounding of a new metric for global competitiveness. Journal of Economic Dynamics and Control, 37(8), 1683–1691.
Bouchaud, J.-P. (2008). Economics needs a scientific revolution. Nature, 455, 1181.
Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637.
Bouchaud, J.-P., Kockelkoren, J., & Potters, M. (2004). Random walks, liquidity molasses and critical response in financial markets. Quantitative Finanace, 6, 115.
Lillo, F., & Farmer, J. (2004). The long memory of the efficient market. Studies in Nonlinear Dynamics & Econometrics, 8, 1226.
Farmer, J. D., Gerig, A., Lillo, F., & Mike., S. (2006). Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary. Quantitative Finanace, 6, 107.
Bouchaud, J.-P., Farmer, J. D., & Lillo, F. (2008). How Markets Slowly Digest Changes in Supply and Demand. Elsevier: Academic Press.
Chakraborti, A., Toke, I. M., Patriarca, M., & Abergel, F. (2011). Econophysics: Empirical facts and agent-based models. Quantitative Finance, (in press), http://arxiv.org/abs/arXiv:0909.1974v2.
Bouchaud, J.-P., Mezard, M., & Potters., M. (2002). Statistical properties of stock order books: empirical results and models. Quantitative Finanace, 2, 251.
Potters, M. & Bouchaud., J.-P. (2003). More statistical properties of order books and price impact. Physica A, 324, 133.
Wyart, M., Bouchaud, J.-P., Kockelkoren, J., Potters, M., & Vettorazzo., M. (2008). Relation between bid-ask spread, impact and volatility in order-driven markets. Quantitative Finance, 8, 41.
Lillo, F., Farmer, J. D., & Mantegna, R. N. (2002). Single curve collapse of price impact function for the New York Stock, Exchange. arXiv:cond-mat/0207428.
Farmer, J. D., Gillemot, L., Lillo, F., Mike, S., & Sen., A. (2004). What really causes large price changes? Quantitative Finance, 4, 383.
Lillo, F., Farmer, J. D., & Mantegna, R. N. (2003). Master curve for price-impact function. Nature, 421, 129.
Weber, P., & Rosenow, B. (2006). Large stock price changes: volume and liquidity. Quantitative Finance, 6, 7.
Cristelli, M., Zaccaria, A., and Pietronero, L. (2011). Critical overview of agent-based models for economics. In Proceedings of the School of Physics E. Fermi, course CLXXVI, 2010, Varenna. http://arxiv.org/abs/arXiv:1101.1847.
Alfi, V., Cristelli, M., Pietronero, L., & Zaccaria, A. (2009). Minimal agent based model for financial markets I: origin and self-organization of stylized facts. European Physical Journal B, 67, 385. http://arxiv.org/abs/0808.3562.
Alfi, V., Cristelli, M., Pietronero, L., & Zaccaria, A. (2009). Minimal agent based model for financial markets II: statistical properties of the linear and multiplicative dynamics. European Physical Journal B, 67, 399. http://arxiv.org/abs/0808.3565.
Alfi, V., Cristelli, M., Pietronero, L., & Zaccaria, A. (2009). Mechanisms of self-organization and finite size effects in a minimal agent based model. Journal of Statistical Mechanics, P03016.
Samanidou, E., Zschischang, E., Stauffer, D., & Lux, T. (2007). Microscopic models of financial markets. Reports on Progress in Physics, 70, 409. doi:10.1088/0034-4885/70/3/R03
Lux, T., & Marchesi, M. (1999). Scaling and criticality in a stochastic multi-agent model of a financial market. Nature, 397, 498.
Giardina, I., & Bouchaud, J.-P. (2003). Bubbles, crashes and intemittency in agent based market. European Physical Journal B, 31, 421.
Caldarelli, G., Marsili, M., & Zhang, Y.-C. (1997). A prototype model of stock exchange. European Physical Letter, 40, 479.
Alfi, V., Pietronero, L., & Zaccaria, A. (2009). EPL, 86, 58003.
Battiston, S., Puliga, M., Kaushik, R., Tasca, P., & Caldarelli, G. (2012). Debtrank: Too central to fail? financial networks, the fed and systemic risk. Scientific Reports on Nature, 2, 541.
Golub, T. (2010). Counterpoint: data first. Nature, 464, 679.
Evans, J., & Rzhetsky, A. (2010). Machine science. Science, 329, 399.
Lazer, D., et al. (2009). Life in the network: the coming age of computational social science. Science, 323, 5915.
Gonzalez, M., Hidalgo, C., & Barabasi, A.-L. (2008). Understanding individual human mobility patterns. Nature, 453, 479.
Choi, H. & Varian, H. (2009). Predicting the present with google trends. Technical report. http://static.googleusercontent.com/external_content/untrusted_dlcp/www.google.com/it//googleblogs/pdfs/google_predicting_the_present.pdf.
Bordino, I., Battiston, S., Caldarelli, G., Cristelli, M., Ukkonen, A., & Weber, I. (2012). Web search queries can predict stock market volumes. PLoS ONE, 7, e40014.
Hidalgo, C. A., Klinger, B., Barabási, A. L., & Hausmann, R. (2007). The Product Space Conditions the Development of Nations. Science, 317, 482.
Hidalgo, C. A., & Hausmann, R. (2009). The building blocks of economic complexity. Proceedings of the National Academy of Sciences, 106, 10570.
Caldarelli, G., Cristelli, M., Gabrielli, A., Pietronero, L., Scala, A., & Tacchella, A. (2012). A network analysis of countries’ export flows: firm grounds for the building blocks of the economy. PLoS ONE, 7, e47278. http://arxiv.org/abs/arXiv:1108.2590.
Gaulier, G., & Zignago, S. (2010). Baci: International trade database at the product-level. Available from: http://www.cepii.fr/anglaisgraph/workpap/pdf/2010/wp2010-23.pdf.
Smith, A. (1776). In W. Strahan, & T. Cadell (Eds.), The Wealth of Nations, London: Onxofrd University Press.
Ricardo, D. (1817). On the Principles of Political Economy and Taxation. John Murray.
Romer, P. (1990). Endogenous technological change. Journal of Political Economy, 98, 71.
Grossman, G. M., & Helpman, E. (1990). Quality ladders in the theory of growth. Review of Economic Studies, 98, 71.
Flam, H., & Flanders, M. (1991). Heckscher-Ohlin trade theory. Cambridge, Mass.: MIT Press.
Cristelli, M., Alfi, V., Pietronero, L., & Zaccaria, A. (2010). Liquidity crisis, granularity of the order book and price fluctuations. European Physical Journal B, 73, 41.
Zaccaria, A., Cristelli, M., Alfi, V., Ciulla, F., & Pietronero, L. (2010). Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement. Physical Review E, 81, 066101.
Alfi, V., Cristelli, M., Pietronero, L., & Zaccaria, A. (2010). Reconstructing agents’ strategies from price behavior. In Abergel et al. (Ed.) Econophysics of Order-driven Markets, Springer.
Preliminary findings regarding the market events of May 6, 2010. Technical report, SEC (2010). Available from: http://www.sec.gov/sec-cftc-prelimreport.pdf.
Garzarelli, F., Cristelli, M., Zaccaria, A., & Pietronero, L. (2011) Empirical evidence of technical trading. Journal Statistical, (submitted), http://arxiv.org/abs/1110.5197.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2014 Springer International Publishing Switzerland
About this chapter
Cite this chapter
Cristelli, M. (2014). Introduction. In: Complexity in Financial Markets. Springer Theses. Springer, Cham. https://doi.org/10.1007/978-3-319-00723-6_1
Download citation
DOI: https://doi.org/10.1007/978-3-319-00723-6_1
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-00722-9
Online ISBN: 978-3-319-00723-6
eBook Packages: Physics and AstronomyPhysics and Astronomy (R0)