On the 'Usual' Misunderstandings between Econophysics and Finance: Some Clarifications on Modelling Approaches and Efficient Market Hypothesis

Abstract

In line with the recent research and debates about econophysics and financial economics, this article discusses on usual misunderstandings between the two disciplines in terms of modelling and basic hypotheses. In the literature devoted to econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori "first principles") while econophysicists rather present themselves as scholars working with a (empirical data prone) bottom-up approach. Although this dualist perspective is very common in the econophysics literature, this paper claims that the distinction is very confusing and does not permit to reveal the essence of the differences between finance and econophysics. The distinction between these two fields is mainly investigated here through the lens of the Efficient Market Hypothesis in order to show that, in substance, econophysics and financial economics tend to have a similar approach implying that the misunderstanding between these two fields at the modelling level can therefore be overstepped.JEL classification: G1, B4, B5

O processo de definição de sociofísica e econofísica como campos de estudo

“…Para complicar, não há nem mesmo um consenso sobre a diferença fundamental entre econofísica e economia financeira. Ausloos et al (AUSLOOS;JOVANOVIC;SCHINCKUS, 2018) afirmam que a ideia mais difundida sobre a diferença entre econofísicos e economistas financeiros é que os econofísicos estudam os problemas por uma abordagem bottom-up (mais "microscópica") enquanto os economistas financeiros os estudam por uma abordagem top-down (partindo de expectativas racionais e da hipótese do mercado eficiente). Os autores consideram essa divisão confusa, não permitindo revelando a essência da diferença entre os campos de estudo, e afirmam uma diferença de caráter mais técnico: ambos sabem que a distribuição de probabilidade de retornos de ações não são bem descritas por uma gaussiana (como se pensava no passado), mas tratam os valores extremos que desviam dessa distribuição de formas diferentes.…”

Asset trading under non-classical ambiguity and heterogeneous beliefs

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