Econophysics and Financial Economics

An Emerging Dialogue

Franck Jovanovic and Christophe Schinckus

The first volume to give econophysics due grounding in theory and empirical research
Emphasizes the compatibility of a common framework between econophysics and financial economics
Intended to distill econophysics to a broader readership

Econophysics and Financial Economics

An Emerging Dialogue

Franck Jovanovic and Christophe Schinckus

Description

Econophysics and Financial Economics provides the first extensive analytic comparison between models and results from econophysics and financial economics in an accessible and common vocabulary.

Jovanovic and Schinckus move beyond disciplinary frontiers to initiate the development of a common theoretical framework that makes sense for both traditionally trained financial economists and econophysicists. The major issues that limit and obstruct collaboration between the two fields are analyzed in detail. The book explains the theoretical and methodological foundations of these two fields in an accessible vocabulary providing the first extensive analytic comparison between models and results from both fields.

By mixing conceptual, historical, theoretical and formal arguments and analysis, the book details the recent results in econophysics that bring it closer to financial economics. Beyond the clarifying the current situation of two camps, this book also proposes a generic model compatible with the two fields that in turn helps define minimal conditions for common models. It also identifies what remains to be done for econophysicists to contribute significantly to financial economics. Finally, this book provides a research agenda for a more fruitful collaboration between econophysicists and financial economists, creating new research opportunities.

Econophysics and Financial Economics is an important step in creating a profitable dialogue between financial economists and econophysicists. It does so by identifying a common theoretical framework allowing the creation of more efficient models for the financial industry.

Econophysics and Financial Economics

An Emerging Dialogue

Franck Jovanovic and Christophe Schinckus

Chapter 1: Foundations of financial economics: the key role of the Gaussian distribution

Chapter 2: Extreme values in financial economics: from their observation to their integration into the Gaussian framework

Chapter 3. New tools for extreme-value analysis: statistical physics goes beyond its borders

Chapter 4: The disciplinary position of Econophysics: new opportunities for financial innovations

Chapter 5. Major contributions of Econophysics to Financial Economics

Chapter 6: Towards a common framework

Conclusion: What kind of future lies in store for econophysics?

Econophysics and Financial Economics

An Emerging Dialogue

Franck Jovanovic and Christophe Schinckus

Author Information

Franck Jovanovic is a Full Professor in Economics and Finance at the School of Business of the University of Québec's Distance Learning (TELUQ). He was previously an Associate Professor in Finance at University of Leicester School of Management. He published and edited 4 books and published almost 40 papers. His research interest mainly focuses on interdisciplinary issues in financial economics.

Christophe Schinckus is Associate Professor in Finance at the University of Leicester, he published more than 50 papers in peer-reviewed journals. His research interest focuses on interdisciplinary issues in financial economics. He presented more than 40 communications in conference and was invited to give lectures in UK (Cambridge), Canada, Europe, Thailand and Vietnam. He is currently finishing a second PhD in Philosophy of Science at the University of Cambridge.

Econophysics and Financial Economics

An Emerging Dialogue

Franck Jovanovic and Christophe Schinckus

Reviews and Awards

"Twenty years after the creation of econophysics, econophysicists and financial economists still tend to ignore each other. Unraveling the nature and the foundations of these two disciplines is essential in understanding where we are today, and Franck Jovanovic and Christophe Schinckus' book does this extremely well. It provides an outstanding analysis of the current state of knowledge that has emerged between econophysics and financial economics. The authors strive to transcend the boundary between the two disciplines and create a profitable dialogue, and they achieve this goal completely. I admire the authors and their work. All economists, financiers and physicists should read this book!" -- Eugene Stanley

"Jovanovic and Schinckus have written a highly original book that looks at the intersection of physics and financial economics (econophysics) from a fresh perspective. Written by financial economists rather than physicists, it converts the results and concepts of econophysics into a language that can be grasped by economists and so put into practice. The fluid integration of history, conceptual foundations, formal details, as well as applications renders the book highly readable and of interest to researchers from a wide variety of disciplines." -- Dean Rickles, Associate Professor, Faculty of Science, The University of Sydney