Physicists attempt to scale the ivory towers of finance

Abstract

Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random-process models for price dynamics, agent-based modeling, and practical applications.

13 pages, 5 figures

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• Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''
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Cited by in corpus (7)

• Social physics
• The leverage effect in financial markets: retarded volatility and market panic
• Hitting Time Distributions in Financial Markets
• Microscopic Models for Long Ranged Volatility Correlations
• On the distribution of high-frequency stock market traded volume: a dynamical scenario
• Multifractal model of asset returns with leverage effect
• On the potential of quantum walks for modeling financial return distributions