Economic uncertainty and econophysics

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 20, 2009, Pages 4415-4423

  Schinckus, Christophe ^a,b  

^a University Faculties of St Louis   (Belgium)

^b UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Economics; Econophysics; Hayek; Keynes; Knight; Uncertainty

Indexed keywords

PHYSICS;

ECONOPHYSICSS; HAYEK; KEYNES; KNIGHT; UNCERTAINTY;

ECONOMICS;

EID: 68649091783     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2009.07.008     Document Type: Article

References (63)

1. Lux T., and Ausloos M. Market fluctuations I: Scaling, multiscaling, and their possible origins. In: Bunde A., Kropp J., and Schnellnhuber H. (Eds). The Science of Disasters: Climate Disruptions, Heart Attacks and Market Crashes (2002), Springer, Berlin 373-409
2. Rickles D. Econophysics for philosophers. Studies in the History and Philosophy of Modern Physics 38 4 (2007) 948-978
3. B. Rosser, The nature and future of econophysics, Working Paper, James Madison University, 2005, pp. 1-16
4. Gallegati M., Keen S., Lux T., and Ormerod P. Worrying trends in econophysics. Physica A 370 (2006) 1-6
5. J. McCauley, Response to 'Worrying trends in econophysics', Working Paper, University of Houston, 2007
6. Mandelbrot B. The Misbehaviour of Markets (2004), Profile Group, London
7. Knight F.H. Risk, Uncertainty and Profit (1921), Hart, Schaffner & Marx, Houghton Mifflin Company, Boston, MA [1964]
8. Davidson P. Reality and economic theory. Journal of Post Keynesian Economics 18 (1998) 479-508
9. Perlman M., and McCann C. Varieties of uncertainty. In: Schmidt C. (Ed). Uncertainty in Economic Thought (1996), Edward Elgar, Cheltenham 9-21
10. Orléan A. Pour une approche cognitive des conventions économiques. Revue Economique 40 (1989) 241-272
11. Mirowski P. What were von Neumann and Morgenstern trying to accomplish?. History of Political Economy 24 (1992) 113-147
12. Keynes J. Treatise on Probability in The Collected Writings of J. M. Keynes (1921), Macmillan, London [1973]
13. Debreu G. Theory of Value: An Axiomatic Analysis of Economic Equilibrium (1959), Yale University Press, New Haven
14. Davidson P. Some misunderstandings on uncertainty in modern classical economics. In: Schmidt C. (Ed). Uncertainty in Economic Thought (1996), Edward Elgar, Cheltenham 21-37
15. Haavelmo T. The probability approach in econometrics. Econometrica 12 (1944) 1-118
16. Samuelson P. Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics 51 (1969) 239-246
17. Rosser B. Complexity in Economics (2003), Edward Elgar, New York
18. Keynes J. The general theory of employment. The Quarterly Journal of Economics 51 2 (1937) 209-223
19. Rosser B. Alternative Keynesian and post-Keynesian perspectives on uncertainty and expectations. Journal of Post Keynesian Economics 23 4 (2001) 545-566
20. Arrous J. Keynes et les probabilités: Un aspect du fondamentalisme keynésien. Revue économique 33 5 (1982) 839-861
21. C. Schinckus, The Diversification of Knowledge in Finance: Towards New Perspectives of Uncertainty, Ph.D. Dissertation, February, University of Paris I Panthéon-Sorbonne, 2009
22. Orléan A. Réflexions sur l'hypothèse d'objectivité de la valeur fondamentale dans la théorie financière moderne. In: Bourghelle D., Brandouy O., Gillet R., and et Orléan A. (Eds). Croyances, Représentations Collectives et Conventions en Finance (2005), Economica, Paris
23. R. Prechter, W. Parker, Financial/economics dichotomy, Working Paper, Socioeconomics Foundation, Gainesville, Georgia, 2004
24. Camerer C., and Weber M. Recent development in modeling preferences: Uncertainty and ambiguity. Journal of Risk and Uncertainty 5 (1992) 325-370
25. Keynes J. Théorie Générale de l'Emploi, de l'Intérêt et de la Monnaie (1936), Petite Bibliothèque Payot, Paris [1971]
26. Hayek F.A. The use of knowledge in society. The American Economic Review 35 4 (1945) 519-530
27. Ball T. The Cambridge History of Twentieth-Century Political Thought (2003), Cambridge University Press, Cambridge
28. Dempster G. Austrians and post-Keynesians: the questions of ignorance and uncertainty. The Quarterly Journal of Austrian Economics 2 4 (1999) 73-81
29. Leroux A., and Nadeau R. Ordre spontané et ordre organise chez Hayek. Cahiers d'Economie Politique 2 43 (2002) 31-32
30. Aimar T. Commentaire sur Economie et Connaissance de F. Hayek. Cahiers d'Economie Politique 2 43 (2002) 105-118
31. Butos W. Knowledge questions: Hayek, Keynes and beyond. The Review of Austrian Economics 16 4 (2003) 291-307
32. Légé P. Hayek: Penseur genial ou incoherent?. L'Economie Politique 4 36 (2007) 46-59
33. Hayek F.A. Scientism and the study of society. Economica 9 1 (1942) 267-291
34. Gray J. Hayek and classical liberalism: A bibliographical essay. Literature of Liberty 5 4 (1982) 19-101
35. Hayek F.A. Economics and knowledge. Economica 4 1 (1937) 33-54
36. Arneodo A., Muzy F., and Sornette D. Direct causal cascade in the stock market. European Physics Journal B 2 (1998) 277-282
37. Kast R. Rationalité et Marchés Financiers (1991), Economica, Paris
38. Jovanovic F. The construction of the canonical history of financial economics. History of Political Economy 40 2 (2008) 213-242
39. Von Neumann J., and Morgenstern O. Theory of Games and Economic Behavior (1944), Princeton University Press, Princeton, NJ
40. Keen S. Debunking Economics: The Naked Emperor of the Social Sciences (2001), Pluto Press, Australia
41. Markowitz H. Portfolio Selection (1959), Yale University Press, New Haven
42. Sharpe W. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19 (1964) 425-442
43. Fama E., and French K. The capital-asset pricing model: Theory and evidence. Journal of Economic Perspective 18 1 (2004) 25-46
44. Frankfurter G., and McGoun E. The Methodology of Finance: What it Is and What it Can Be (1996), JAI Press, London
45. Z. Burda, J. Jukiewicz, M. Nowak, Is econophysics a solid science?, Working Paper, Institute of Physics, Jagellonian University, Krakow, 2003
46. Mantegna R., and Stanley E. An Introduction to Econophysics (2000), Cambridge University Press, Cambridge
47. Mandelbrot B. Fractals, Hasard et Finance (1997), Flammarion, Paris
48. Bouchaud J.-P. An introduction to statistical finance. Physica A 313 (2002) 238-251
49. Stanley H., Amaral L., Gopikrishnan P., Lee Y., and Liu Y. Econophysics: Can physicists contribute to the science of economics?. Physica A 269 (1999) 156-169
50. Dionisio A., Menezes R., and Mendes D. An econophysics approach to analyze uncertainty in financial markets: An application to the Portuguese stock market. The European Physical Journal B 50 1 (2005) 161-164
51. Chakrabarti C., and Kajal D. Boltzmann-Gibbs entropy: Axiomatic characterization and application. International Journal of Mathematics 23 4 (2000) 243-251
52. Takahashi T. A probabilistic choice model based on Tsallis' statistics. Physica A 386 (2007) 335-338
53. Brody D., Buckley I., and Constantinou C. Option price calibration from Rényi entropy. Physica A 366 4-5 (2007) 298-307
54. Bentes S., Menezes R., and Mendes D. Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?. Physica A 387 (2008) 3826-3830
55. Ghashghaie S., Breyman W., Peinke J., Talkner P., and Dodge Y. Turbulent cascades in foreign exchange markets. Nature 381 (1996) 767-770
56. Gopikrishnan P., Meyer M., Amaral N., and Stanley H. Inverse cubic law for the distribution of stock-price variations. European Physics Journal B 3 (1998) 139-140
57. Liu Y., Cizeau P., Meyer M., Peng C., and Stanley H. Quantification of correlations in economic time series. Physica A 245 (1997) 437-440
58. Cont R., Potters M., and Bouchaud J.-P. Scaling in stock market data: Stable laws and beyond. In: Dubrulle B., Graner F., and Sornette D. (Eds). Scale Invariance and Beyond (1997), Springer, Berlin
59. Cizeau P., Liu Y., Meyer M., Peng C., and Stanley H. Volatility distribution in the S&P 500 Stock Index. Physica A 245 (1997) 441-445
60. Bak P., Paczuski M., and Shubik M. Price variations in a stock market with many agents. Physica A 246 (1997) 430-453
61. Bouchaud J.-P., and Cont R. A Langevin approach to stock-market fluctuations and crashes. European Physics Journal B 6 (1998) 543-550
62. Sawyer K. Social Emergence (2005), Cambridge University Press, Cambridge
63. Hayek F.A. The Road to Serfdom (1944), Routledge, London