Reference : Applications of statistical physics to economic and financial topics
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Physics
http://hdl.handle.net/2268/18022
Applications of statistical physics to economic and financial topics
English
Ausloos, Marcel mailto [Université de Liège - ULg > Département de physique > Physique statistique appliquée et des matériaux - S.U.P.R.A.S. >]
Vandewalle, Nicolas mailto [Université de Liège - ULg > Département de physique > Physique statistique >]
Boveroux, P. [> >]
Minguet, A. [> >]
Ivanova, K. [> >]
1-Dec-1999
Physica A: Statistical Mechanics and its Applications
274
1-2
229-240
Yes (verified by ORBi)
0378-4371
[en] Problems in economy and finance have started to attract the interest of statistical physicists. Fundamental problems pertain to the existence or not of long-, medium-, short-range power-law correlations in economic systems as well as to the presence of financial cycles. Methods like the extended detrented fluctuation analysis, and the multi-affine analysis are recalled emphasizing their value in sorting out correlation ranges and predictability. Among spectacular results, the possibility of crash predictions is indicated. The well known financial analyst technique, the so-called moving average, is shown to raise questions about fractional Brownian motion properties. Finally, the (m,k)-Zipf method and the i-variability diagram technique are presented for sorting out short range correlations. Analogies with other fields of modem applied statistical physics are also presented in view of some universal openess.
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/18022

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