Econophysics means to apply physics into economical phenomena. Its objects include stock price, exchange rate,
size of firms, income and wealth, economy growth and technology development, and production chain. It aims to reveal the stylized facts or universal statistical properties, including distribution, autocorrelation, and fluctuation etc, and to analyze the mechanism behind by incorporating idea, concepts and technics from Physics. In this note, the author summarized recent development of Econophysics in data analysis and modelling, and presented some required knowledge from Math and Physics as theoretical foundation.
Introduction
Theoretical Foundation
Probability Theory and Stochastic Process
Guassian Distribution and Lévy Distribution Central Limit Theorem
Statistics for Extreme Value and Fisher-Tippett Limit Theorem
Introduction to Random Matrix Theory
Basic Stochastic Processes and Time Series Models
Statistical Physics--Framework, Technics and Models
Space, Distribution Function and Master Equation -- Shown by Ising Model
Aggregation and Annihilation Reaction and Rate Equation
Fokker-Planck Equation for Distribution Function
Phase Transition, Critical Phenomena, Scaling Laws and Renormalization Group Theory -- Shown by Ising Model and Percolation
Data Analysis
Before Statistical Analysis
Stock Price and Exchange Rate
For high and low frequency data of stock price
For Bid-Ask and order book data
Size of Firms
Wealth and income
Networks for Economy systems
Trade web
Production chain
Reference Models
Spin System and Critical Phenomena
Self-Organized Criticality (SOC)
Cellular Automata
Aggregation--Annihilation Reaction
Time Series Models in Econometrics
Why is it Econophysics?
Power Law
Phenomenon Emergent from Different Systems
Mechanism, really?
Resource online
Acknowledgment
Bibliography
This note was used by Jinshan Wu in his lecture of Econophysics in Beijing Normal University during Fall 2002.
Space, Distribution Function and Master Equation -- Shown by Ising Model