Econophysics: A challenge to econometricians

Zapart, Christopher

doi:10.1016/j.physa.2014.10.013

Cited by 8 publications

(5 citation statements)

References 20 publications

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“…Further, they use permutation entropy, which is not a good approach to use with financial data as it cannot account for long range dependencies [17]. Zapart shows that more regularities are to be found on smaller scales (which is consistent with our results), but he uses Approximate Entropy, which cannot be directly linked to predictability [19]. Finally, Rodriguez et al show differences at scales ranging from a week to a year, while we are interested in intraday scales [18].…”

Section: Introductionsupporting

confidence: 76%

“…However, we do not know how this predictability changes with varying time scales, which is the subject of this paper. Some papers have partially explored this question, but their methodology leaves something to be desired [17][18][19]. Aghamohammadi et al show complexity at different sampling rates, which are not equivalent to different scales as understood in this study, and we find this approach less interesting, as it ignores a lot of market activity.…”

Section: Introductionmentioning

confidence: 75%

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Multiscale Analysis of the Predictability of Stock Returns

Fiedor¹

2015

Risks

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Due to the strong complexity of financial markets, economics does not have a unified theory of price formation in financial markets. The most common assumption is the Efficient-Market Hypothesis, which has been attacked by a number of researchers, using different tools. There were varying degrees to which these tools complied with the formal definitions of efficiency and predictability. In our earlier work, we analysed the predictability of stock returns at two time scales using the entropy rate, which can be directly linked to the mathematical definition of predictability. Nonetheless, none of the above-mentioned studies allow any general understanding of how the financial markets work, beyond disproving the Efficient-Market Hypothesis. In our previous study, we proposed the Maximum Entropy Production Principle, which uses the entropy rate to create a general principle underlying the price formation processes. Both of these studies show that the predictability of price changes is higher at the transaction level intraday scale than the scale of daily returns, but ignore all scales in between. In this study we extend these ideas using the multiscale entropy analysis framework to enhance our understanding of the predictability of price formation processes at various time scales.

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Section: Introductionsupporting

confidence: 76%

Section: Introductionmentioning

confidence: 75%

Multiscale Analysis of the Predictability of Stock Returns

Fiedor¹

2015

Risks

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“…The application of the theories of physics in economics or business is rapidly evolving and proves efficient in many complex market scenario (Jovanovic and Schinckus, 2016;McCauley, 2004;Schinckus and Jovanovic, 2013;Zapart, 2015). The new shipbuilding market is a complex dynamics where shipbuilding order is gravitated by the force between two critical masses: the "existing shipping market prospect" and ship's age-adjusted "future shipping market prospect" (Stopford, 2009;Bruce and Garrard, 1999;UNCTAD, 2018a, Steidl et al, 2018.…”

Section: Econophysics Methodologymentioning

confidence: 99%

“…However, there are successful instances of applying econophysics approach in fields that include business volatility and stock markets, economic value and growth, economic and financial time series, behavioural finance, corporation financial stability, distribution and interactions of economic entities, market structure and financial risks (Chen and Li, 2012;Chakraborti et al, 2011;Huang, 2015;Guedes et al, 2019;Schinckus and Jovanovic, 2013;Zapart, 2015;McCauley, 2004;Meng et al, 2016;Rickles, 2007;Zhong et al, 2019). Mainly the concepts of physics such as Bernoulli's equation, Newton's law of gravitation, Brownian motion, Schrodinger equation, Bose-Einstein distribution, Gaussian function, Fourier transformation, and Heisenberg's uncertainty principle have been adopted to naturalise the econophysics models (Donmez and Sen, 2018;Meng et al, 2016;Zhang and Huang, 2010;Cotfas, 2013;Pedram, 2012;Mantegna, 2016;Kusmartsev, 2011;Agustini et al, 2018;Hsu, 2010;Wang and Pei, 2015).…”

Section: Introductionmentioning

confidence: 99%

An econophysics approach to forecast bulk shipbuilding orderbook: an application of Newton’s law of gravitation

Sakalayen

Duru

Hirata

2020

MABR

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Purpose Bulk shipping mostly facilitates the smooth flow of raw materials around the globe. Regardless, forecasting a bulk shipbuilding orderbook is a seldom researched domain in the academic arena. This study aims to pioneer an econophysics approach coupled with an autoregressive data analysis technique for bulk shipbuilding order forecasting. Design/methodology/approach By offering an innovative forecasting method, this study provides a comprehensive but straightforward econophysics approach to forecast new shipbuilding order of bulk carrier. The model has been evaluated through autoregressive integrated moving average analysis, and the outcome indicates a relatively stable good fit. Findings The outcomes of the econophysics model indicate a relatively stable good fit. Although relevant maritime data and its quality need to be improved, the flexibility in refining the predictive variables ensure the robustness of this econophysics-based forecasting model. Originality/value By offering an innovative forecasting method, this study provides a comprehensive but straightforward econophysics approach to forecast new shipbuilding order of bulk carrier. The research result helps shipping investors make decision in a capital-intensive and uncertainty-prone environment.

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“…Examples of the use of econophysic models can be found principally in finance (Plerou et al, 2003;Rickles, 2008) and macroeconomics (Richards, 2000), and more recently new research paths have also been proposed for econometricians (Zapart, 2015). A quick review of the application of thermoeconomic approaches reveals how the vast majority of contributions can be found on the cost analysis of the processes taking place inside firms.…”

Section: Introductionmentioning

confidence: 99%

The Value Pump: introducing a thermodynamic model to assess innovation systems’ performance

Gómez¹,

Zabala‐Iturriagagoitia

Cortés

et al. 2019

SAE

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La medición del desempeño innovador de la innovación no ha sido aún abordada desde la perspectiva de la econofísica y la termodinámica. El artículo desarrolla un marco termodinámico, basado en modelos de bomba de calor, que se emplea para evaluar el desempeño de los sistemas de innovación. Este modelo se puede utilizar para evaluar el desempeño tanto a nivel nacional, como regional, sectorial y empresarial. El marco desarrollado se aplica en el caso de los Estados Unidos de México, midiendo el desempeño de la innovación de las regiones mexicanas entre 2010 y 2013. Nuestros resultados revelan que las conclusiones alcanzadas con la aplicación de este enfoque para medir el desempeño innovador son sólidas y estables en el tiempo.

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Econophysics: A challenge to econometricians

Cited by 8 publications

References 20 publications

Multiscale Analysis of the Predictability of Stock Returns

Multiscale Analysis of the Predictability of Stock Returns

An econophysics approach to forecast bulk shipbuilding orderbook: an application of Newton’s law of gravitation

The Value Pump: introducing a thermodynamic model to assess innovation systems’ performance

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