Econophysics: Can statistical physics contribute to the science of economics?

L. A N Amaral; P. Cizeau; P. Gopikrishnan; Y. Liu; M. Meyer; C. K. Peng; H. E. Stanley

doi:10.1016/S0010-4655(99)00301-X

Econophysics: Can statistical physics contribute to the science of economics?

L. A N Amaral, P. Cizeau, P. Gopikrishnan, Y. Liu, M. Meyer, C. K. Peng, H. E. Stanley

Chemical and Biological Engineering

Research output: Contribution to journal › Conference article › peer-review

17 Scopus citations

Abstract

We address a current question in econophysics: Are fluctuations in economic indices correlated? To this end, we analyze 1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks. We extend the 6-year data base studied by Mantegna and Stanley by including the 13 years 1984-1996 inclusive, with a recording frequency of 15 seconds. The total number of data points in this 13 years period exceed 4.5 million, which allows for a very detailed statistical analysis. We find that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law. We also briefly describe some recent scaling results in economics, specifically some surprising features that appear to be common to the growth rates of business firms, countries, research budgets, and bird populations.

Original language	English (US)
Pages (from-to)	145-152
Number of pages	8
Journal	Computer Physics Communications
Volume	121
DOIs	https://doi.org/10.1016/S0010-4655(99)00301-X
State	Published - Jan 1 1999
Event	Proceedings of the 1998 Europhysics Conference on Computational Physics (CCP 1998) - Granada, Spain Duration: Sep 2 1998 → Sep 5 1998

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Hardware and Architecture
Physics and Astronomy(all)

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title = "Econophysics: Can statistical physics contribute to the science of economics?",

abstract = "We address a current question in econophysics: Are fluctuations in economic indices correlated? To this end, we analyze 1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks. We extend the 6-year data base studied by Mantegna and Stanley by including the 13 years 1984-1996 inclusive, with a recording frequency of 15 seconds. The total number of data points in this 13 years period exceed 4.5 million, which allows for a very detailed statistical analysis. We find that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law. We also briefly describe some recent scaling results in economics, specifically some surprising features that appear to be common to the growth rates of business firms, countries, research budgets, and bird populations.",

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T2 - Proceedings of the 1998 Europhysics Conference on Computational Physics (CCP 1998)

AU - Amaral, L. A N

AU - Cizeau, P.

AU - Gopikrishnan, P.

AU - Liu, Y.

AU - Meyer, M.

AU - Peng, C. K.

AU - Stanley, H. E.

PY - 1999/1/1

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N2 - We address a current question in econophysics: Are fluctuations in economic indices correlated? To this end, we analyze 1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks. We extend the 6-year data base studied by Mantegna and Stanley by including the 13 years 1984-1996 inclusive, with a recording frequency of 15 seconds. The total number of data points in this 13 years period exceed 4.5 million, which allows for a very detailed statistical analysis. We find that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law. We also briefly describe some recent scaling results in economics, specifically some surprising features that appear to be common to the growth rates of business firms, countries, research budgets, and bird populations.

AB - We address a current question in econophysics: Are fluctuations in economic indices correlated? To this end, we analyze 1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks. We extend the 6-year data base studied by Mantegna and Stanley by including the 13 years 1984-1996 inclusive, with a recording frequency of 15 seconds. The total number of data points in this 13 years period exceed 4.5 million, which allows for a very detailed statistical analysis. We find that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law. We also briefly describe some recent scaling results in economics, specifically some surprising features that appear to be common to the growth rates of business firms, countries, research budgets, and bird populations.

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JF - Computer Physics Communications

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Y2 - 2 September 1998 through 5 September 1998

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Econophysics: Can statistical physics contribute to the science of economics?

Abstract

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