دانلود رایگان مقاله اکونو فیزیک و امور مالی: روش مدل سازی و فرضیه بازار کارا

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.

6. Conclusion

This article has studied confusions that are largely widespread in the econophysics literature about financial economics, and vice versa. As we saw, both communities do not share the same scientific culture; this situation generated many oppositions between econophysicists and economists. These misunderstandings fuel the current deaf dialogue between the two scholar communities. However, this paper has shown the necessity to compare what is comparable. With this purpose, surprisingly, econophysics and financial economics have more in common than it is generally suggested in the literature. Part of their researches shares a calibration approach rooted in a bottom-up approach although their approaches are different. Concerning the EMH, by making a clear distinction between this hypothesis and the Gaussian processes the two disciplines can easily focus on common goals. For instance, while the rejection of Gaussian processes by econophysicists has led some of them (Lux & Ausloos, 2002; Vandewalle & Ausloos, 1997) to develop models away from the classical Brownian motion, going to fractional Brownian motion (and multifractals), we could expect that they try to integrate their results in the theoretical framework in finance such as defined by Harrison, Kreps and Pliska (Harrison & Kreps, 1979; Harrison & Pliska, 1981). As pointed out, financial economists are aware for keeping a link with the Gaussian framework in order to use statistical tests considered as strong enough. However, common research is still necessary in order to reduce the gap between the two frameworks and to develop fruitful collaborations.