دانلود رایگان مقاله لاتین اکونو فیزیک و امور مالی از سایت الزویر
عنوان فارسی مقاله:
در سوء برداشت "معمول" بین اکونو فیزیک و امور مالی: توضیحات در مورد روش مدل سازی و فرضیه بازار کارا
عنوان انگلیسی مقاله:
On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis
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مقدمه انگلیسی مقاله:
1. Introduction
This article is a contribution in line with the recent research aiming to increase the dialogue between physicists (particularly econophysicists) and financial economists (Ausloos, 2001, 2013; Bouchaud, 2002; Bouchaud, Mezard, & Potters, 2002; Carbone, Kaniadakis, & Scarfone, 2007; Chakrabarti & Chakraborti, 2010; Chen & Li, 2012; Durlauf, 2005, 2012; Farmer & Lux, 2008; Gabaix, 2009; Jovanovic & Schinckus, 2015, 2016; Keen, 2003; Lux, 2009; McCauley, 2006, 2009; McCauley, Gunaratne, & Bassler, 2007; Potters & Bouchaud, 2003; Sornette, 2014; Stanley & Plerou, 2001). Actually, a recent article by Sornette (2014) offers a titillating example of largely widespread confusions about the distinction between econophysics and financial economics. We claim here that the cross-fertilization between econophysics and financial economics requires an objective clarification of both approaches in order to open the door for an interdisciplinary and fruitful dialogue. The misunderstanding evoked above seems to be rooted in the difference, pointed out by Sornette (2014), between the way of modelling in economics and how it is done in physics, which is broadly resumed by the “difference between empirically founded science and normative science” (Sornette, 2014, p. 3). As explained, “The difference between [the model for the best estimate for the fundamental price from physics] and [the model for the best estimate for the fundamental price from financial economic, i.e. efficient market theory] is at the core of the difference in the modeling strategies of economists, that can be called top-down (or from rational expectations and efficient markets), compared with the bottom-up or microscopic approach of physicists” (Sornette, 2014, p. 7). This distinction between the ways of modelling provides the corner argument for explaining the major differences between the two disciplines. Actually, this opposition is also used for claiming that modelling in economics can be looked on as a “puzzle” which “refers to problems posed by empirical observations that do not conform to the predictions based on theory” (Sornette, 2014, p. 5). In order to give up such a kind of puzzle, Sornette (2014, p. 7) suggested to use this distinction for formulating an (econo)physics definition of the efficient market hypothesis (EMH) compatible with the bottom-up approach. We thoroughly re-examine this “solution” from a fundamental conceptual way and from a critical analysis of the EMH. This dualist perspective (top-down vs. bottom-up) is frequently found in the econophysics literature (Bouchaud & Challet, 2014; Bouchaud & Potters, 2003; Challet, Marsili, & Cheng Zhang, 2005, p. 14; McCauley, 2004, 2006; Rickles, 2008; Schinckus, 2010; Stanley et al., 1999, p. 157). It is also a common argument for questioning the use of the Gaussian framework in a large number of financial economists' works. However, the argument based on this distinction is very confusing. It could even shock some financial economists who face regularly critiques about the too micro-focused knowledge usually implemented in finance. In the same vein, from a financial point of view, a lot of publications from econophysicists appear to be mainly phenomenological focusing on a macro-description of financial markets/economic systems. This classical opposition between econophysics and financial economics cannot be reduced to a couple of dualism: empirical science vs. normative science or micro vs. macro perspectives. Actually the opposition between these two fields is not obvious. We will investigate this point by arguing that, surprisingly, econophysicists and financial economists use a quite similar approach for analysing financial markets. However, their approaches appear to be different because these scientists are trained in “different schools” with different aims\vocabularies. We will illustrate this aspect in the following sections, yet wondering if it is only a matter of words. We will conclude by claiming that econophysics and financial economics tend to have a similar approach, although their respective backgrounds lead to present it differently. Therefore, the misunderstanding between these two fields can be overstepped.
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کلمات کلیدی:
Alternatives to Neoliberalism: Towards Equality and Democracy https://books.google.com/books?isbn=1447331141 Bryn Jones, Mike O'Donnell, Theo Papadopoulos - 2017 - Political Science The synthesis actually combines two types of model. The first represents an abstract theoretical approach known as the Efficient Market Hypothesis (EMH), ... [PDF]Testing the Efficient Market Hypothesis - The Department of Economics web.econ.ku.dk/okokj/stassen/thesis.pdf by CE Stassen - Cited by 1 - Related articles A General Equilibrium Approach to Asset Pricing. Vejleder: ... built around the EMH, including the famous Black Scholes model and the multiple valuation ... [PDF]Lo, “Efficient Market Hypothesis” legacy.earlham.edu/~lautzma/index_files/Capital/Part%202/EMH_LO_palgrave.pdf by AW Lo - Cited by 162 - Related articles The efficient markets hypothesis (EMH) maintains that market prices fully reflect all ..... The standard approach to modelling preferences is to assert that investors. A Critical Review of the Main Approaches on Financial Market ... https://www.degruyter.com/view/j/jheec.2015.2.issue-2/jheec.../jheec-2015-0017.xml by L Pasca - 2015 - Related articles Oct 17, 2016 - While the interpretation of the EMH has changed over the last 50 years, ... Choustova, O., 2007, Toward quantum-like modeling of financial ... Modelling and Forecasting in Dry Bulk Shipping https://books.google.com/books?isbn=1317701623 Shun Chen, Hilde Meersman, Eddy Van de Voorde - 2014 - Business & Economics However, they do not attempt to investigate the validity of RE and EMH in the ... rates, which are estimated using a vector autoregressive modelling approach. Searches related to modelling approaches and efficient market hypothesis efficient market hypothesis examples three forms efficient market hypothesis implications of efficient market hypothesis emh
