Statistical-physics of economic systems: financial-market scaling-laws (Mantegna-Stanley); Pareto wealth distribution; agent-based models; Boltzmann-Gibbs income; networks of trade; complex-adaptive markets.
econophysics
Mantegna-Stanley financial scaling
Mantegna-Stanley 1995 / 2000 'Introduction to Econophysics'. Stock-price returns are Lévy-stable / power-law tails not Gaussian.…
Pareto wealth distribution
Pareto 1896: top wealth follows P(W > w) ~ w^{-α} with α ~ 1.5-2.5. Universal across countries / eras. Champernowne 1953 / Yakovenko 2009…
Agent-based financial models
Lux-Marchesi 1999 / Brock-Hommes 1998 noise-vs-fundamental traders. Reproduce stylised-facts: fat-tails / volatility-clustering. Bridges…
Boltzmann-Gibbs income distribution
Drăgulescu-Yakovenko 2000 / Souma 2001: bulk income (lower 90%) follows exponential / Boltzmann-Gibbs distribution; top 10% follows Pareto.…
International trade network
Serrano-Boguñá 2003 World Trade Web; Hidalgo-Hausmann 2009 product-space. Country-product bipartite-network / economic-complexity. Bridges…
Financial network systemic risk
Battiston 2012 DebtRank; Allen-Gale 2000 contagion; Acemoglu 2015. Bank-balance-sheet network propagates shocks. Bridges to L5 finance…
Market microstructure physics
Bouchaud-Farmer-Lillo 2009 'How markets slowly digest changes'. Order-book physics; impact-function. Universal-microstructure. Square-root…
Complex adaptive market hypothesis
Lo 2004 / Farmer 1999. Markets as evolving complex-adaptive-systems with heterogeneous agents + learning. Alternative to EMH. Bridges…
Flash crash + high-frequency physics
May 2010 flash crash / Aug 2015. HFT cascade-dynamics. Kirilenko 2017 SEC-CFTC analysis. Order-book transient-dynamics. Bridges…
Inequality (Piketty) wealth dynamics
Piketty 2014 'Capital in 21st Century': r > g (return on capital > growth rate) drives rising inequality. Yakovenko 2009…
Statistical mechanics of money (Yakovenko)
Yakovenko-Rosser 2009. Money-conserving binary-exchange yields BG distribution. Tax + savings modify. Connects econophysics to…
Opinion dynamics (Galam / Deffuant)
Galam 1982 / Deffuant 2000 / Sznajd 2000. Spin-models of social opinion. Phase-transitions in consensus formation. Bridges sociophysics +…
Pareto power-law (1896)
Vilfredo Pareto 1896 wealth-distribution P(x>X) ~ X^-alpha; alpha~1.5-2 across 100+ years; Mandelbrot 1960 stable-Levy generalization to…
Levy flight (Mandelbrot 1963)
Mandelbrot 1963 cotton-price returns: heavy-tailed alpha-stable Levy distribution alpha~1.7; characteristic-function exp(-|t|^alpha);…
Agent-based econophysics (Mantegna-Stanley)
Mantegna-Stanley 1995-2000 N-agent market simulators; reproduce volatility-clustering + fat-tails + leverage-effect; bridge to…
ARCH/GARCH (Engle 1982)
R Engle 1982 (Nobel 2003) ARCH: sigma_t^2 = a0 + sum_{i=1}^q a_i eps_{t-i}^2; Bollerslev 1986 GARCH adds AR-sigma terms; basis of…
Minority game (Challet-Zhang 1997)
Challet-Zhang 1997 N-player minority-game: agents pick 0/1; minority wins; emergent phase-transition between symmetric + asymmetric phases…
Stock-correlation networks (Mantegna 1999)
Mantegna 1999 minimum-spanning-tree of correlation matrix C_ij = Pearson(r_i, r_j); planar maximally-filtered graph; sector + super-sector…