## Statistical Physics and Economics: Concepts, Tools, and ApplicationsEconophysics describes phenomena in the development and dynamics of economic systems by using of a physicMly motivated methodology. First of all, Mandelbrot had analyzed economic and social relations in terms of modern statistical physics. Since then, the number of publications related to this topic has increased irresistible greatly. To be fair to this historical evolution, I point out, however, that physical and economic concepts had already been connected long ago. Terms such as work, power, and efficiency factor have similar physical and economic meanings. Many physical discoveries for instance in thermodynamics, optics, solid state physics, or chemical physics correspond to a parallel evolution in the fields of technology and economics. The term econophysics, or social physics, also is not a recent idea. For ex ample, in the small book Sozialphysik published in 1925 [221], R. L£mmel demonstrates how social and economic problems can be understood by applying simple physical relations. Of course, the content of early social physics and the topics of modern econophysics are widely different. Nevertheless, the basic idea (i.e., the description and the explanation of economic phenomena in terms of a physical theory) did not change over the whole time. At this point, an important warning should be pronounced. |

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### Contents

1 | |

2 Evolution and Probabilistic Concepts | 12 |

3 Financial Markets | 49 |

4 Economic Systems | 157 |

5 Computer Simulations | 194 |

6 Forecasting | 207 |

227 | |

241 | |

### Other editions - View all

Statistical Physics and Economics: Concepts, Tools, and Applications Michael Schulz Limited preview - 2003 |

Statistical Physics and Economics: Concepts, Tools, and Applications Michael Schulz No preview available - 2003 |

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asset price asymptotic behavior cellular automaton central limit theorem coefficients complex systems concept conditional probability consider convergence correlation functions corresponding cumulants defined degrees of freedom described determine deterministic dynamics economic system econophysics empirical evolution exponent financial market finite Fokker–Planck equation formalism Furthermore Gaussian law given initial condition input integral interval irrelevant joint probability large number leads Lévy distribution Lévy functions Lévy law linear logarithmic price changes macroeconomic Markov horizon mathematical matrix microscopic Monte Carlo neural network nonlinear observations obtain option output physical portfolio power law prediction price fluctuations probability density probability distribution function problem procedure properties quasirandom random regime relation relevant degrees relevant quantities rescaling scale simulations solution stationary statistical stochastic differential equations structure term theory thermodynamic timescales trajectories ultrametric underlying variables variance vector volatility Wiener process