and other fragments from The Statistical
I consider to write an econophysics paper
with the title: Cointegration of
networks with financial
markets and in
particular the Nasdaq stock market bubble.
It will be based on a simple search of the word market in abstracts of papers
stored at xxx.lanl.gov
for the years 1998 - 2004 with the following results:
Notice how the peak in publications coincides with the peak of the Nasdaq bubble (we do not need
to define this term, do we ?), if we assume a lag of approximately 12
months, which would be the average
time needed to concoct a paper, type it in LaTex and submit it. We can
thus estimate viscosity effects
in a heterogenous multi-agent
network. In the conclusion, the importance of "need, greed and noise"
in multi-agent research networks shall be discussed.
In case you are (or want to become) a practitioner
instead of academic econophysicist, you will
have to face the simple but non-trivial fact that competing 'agents'
least as smart as you are.
After all, neuronal
else (?) you need
to know in order to trade
options[pdf!], or the underlying markets,
is available to everybody with
a PC and an internet connection.
But what about the hypothetical situation of dealing with an 'agent' of
far superior intelligence
knowledge, a truly superior being?
This leads us to Newcomb's
problem and fortunately there is
available about it, so that I do not have to explain it here in detail.
is at least as efficient as any other market.) As Robert Nozick
pointed out, about half of the people
confronted with this problem/paradox
prefer the 1 box solution, let us call them type 1 personalities,
others are of type 2,
opting for opening both boxes.
I have a hunch (but certainly no firm evidence) that type 1 people would have an
advantage as traders,
while type 2 should be found
more often among physicists. Does this point to the
main difficulties of
econophysicists trying to describe financial markets and could one
perhaps describe financial markets
as superior beings, which
anticipate the next move(s) of the average trader (= you)?
The intention of the Basel
accords is to enhance the stability of the worldwide banking and
system and it is
too early to estimate whether this goal will be achieved (or if it can
be achieved). However, it is almost certain that
the Basel accords will increase the size of various risk control
departments and there is some hope that a substantial
number of theoretical physicists and in particular econophysicists will
find (or have already found) job opportunities
there. Thus a Basel
Physicists guide has been published recently, although the ultimate
essay [pdf!] on risk
control has been written already some time ago. May the new theories
and models of risk
prevent us all from meeting
the black swan
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