Econophysics: Past and present

Pereira, Éder Johnson de Area Leão; Silva, Marcus Fernandes da; Pereira, Hernane Borges de Barros

doi:10.1016/j.physa.2017.01.007

Cited by 52 publications

(18 citation statements)

References 46 publications

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“…While some economic models and hypotheses, such as the efficient market hypothesis of Fama (1970) and Fama (1991) and the Black and Scholes (1973) model, have assumed that returns follow a normal distribution, Econophysics has contradicted this since its emergence: if the distribution of stock returns follows a power-law distribution, this implies that large fluctuations in stock exchanges can occur. Accepting that financial markets are subject to wide variations can contribute to mitigation of these financial instabilities or even prevent them (Pereira et al 2017).…”

Section: Power Laws In Financementioning

confidence: 99%

From Big Data to Econophysics and Its Use to Explain Complex Phenomena

Ferreira

Pereira

2020

JRFM

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Big data has become a very frequent research topic, due to the increase in data availability. In this introductory paper, we make the linkage between the use of big data and Econophysics, a research field which uses a large amount of data and deals with complex systems. Different approaches such as power laws and complex networks are discussed, as possible frameworks to analyze complex phenomena that could be studied using Econophysics and resorting to big data.

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Section: Power Laws In Financementioning

confidence: 99%

From Big Data to Econophysics and Its Use to Explain Complex Phenomena

Ferreira

Pereira

2020

JRFM

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“…Recently, a variation was introduced for calculation of the Detrended Multiple Cross Correlation Coefficient [26]). According to Pereira et al [47], the use of complex systems tools in economics is named econophysics, including the multiscale cross-correlation method [48][49][50]. Some other papers have evolved the application of cross-correlation methods, like Kwapień et al [31], Qian et al [32], Kristoufek [29], Jiang et al [51], Kristoufek [52], Wang et al [53], Yuan et al [54] and Wang et al [55].…”

Section: Statistical Modelmentioning

confidence: 99%

Comparative Analysis between Hydrous Ethanol and Gasoline C Pricing in Brazilian Retail Market

et al. 2019

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The global energy landscape is rapidly changing, including the transition to a low carbon economy and the use of liquid biofuel. The production of liquid biofuel has emerged as an alternative to the use of fossil fuels for purposes of energy conservation, carbon emission mitigation and agricultural development. In this article we study the co-movements between hydrous ethanol and gasoline C in the Brazilian retail market. A multi-scale cross correlation analysis was applied to the Average Retail Margin time series of hydrous ethanol for fifteen relevant retail markets in Brazil to analyze the competitiveness of hydrous ethanol towards gasoline C. The empirical results showed a remarkable different behavior between hydrous ethanol and gasoline C, for any time scale, regardless of geographical distance or regional differences.

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“…The huge amount of data drew the attention of a particular audience of researchers. Statistical physicists started to manage and study financial data, creating an interdisciplinary research area called Econophysics (see [4][5][6][7] for recent reviews). The use of detrended fluctuation analysis (DFA) and detrended cross-correlation analysis (DCCA) come under this research area and will be used here.…”

Section: Introductionmentioning

confidence: 99%

An Econophysics Study of the S&P Global Clean Energy Index

Ferreira

Loures

2020

Sustainability

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The study of how financial markets behave continues to be interesting. The existence of more and more data and the development of statistical techniques are some reasons for the increase in research in finance. However, the difficulty in understanding some markets’ behavior is a continuous challenge. In this context, a new research area called Econophysics has emerged, which is constantly increasing in size. We propose in this work to use methodologies related to Econophysics to analyze one stock index composed of firms producing clean energy (S&P Global Clean Energy Index) and compare it with the New York Stock Exchange (NYSE) as a stock market benchmark and with the price of crude oil. In a context where environmental issues are on the agenda, this is an important area of research, because it could help investors to make their decisions. Our results show that the clean energy index seems to have higher time serial dependence than the others, and is less exposed to oil price than the NYSE.

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Econophysics: Past and present

Cited by 52 publications

References 46 publications

From Big Data to Econophysics and Its Use to Explain Complex Phenomena

From Big Data to Econophysics and Its Use to Explain Complex Phenomena

Comparative Analysis between Hydrous Ethanol and Gasoline C Pricing in Brazilian Retail Market

An Econophysics Study of the S&P Global Clean Energy Index

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