The most active and well known scientists contributing towards FuturICT project have organized their ideas into few articles, which discuss the current situation in contemporary complex social system modeling. These articles we published in a special issue of “The European Physical Journal Special Topics”. Most of the articles are available for free, thus we invite you to familiarize yourselves with them.
Main topic: Econometrics
Econometrics is an interdisciplinary field which is frequently described as an application of mathematical and statistical methods towards economic data. Another popular point of view is that econometrics is a branch of economics, which attempts to provide empirical content to economic ideas.
In the last year we have already written that work in the context of Physics of Risk provides varying insights into very different complex systems. The previous article 1 contained brief review of Physics of Risk platform and discussions on some of the models published using it. This article received great response and was even awarded the Best Paper Award by the publisher IARIA. Continue reading “IARIA publication reviewing our different research directions” »
Several people related to the widely known econophysics portal “EconoPhysics Forum” have joined the European Union financed project “Non-Equilibrium Social Science” (abbr. NESS). This project aims to help social sciences to gain proper footing in the 21st century. Despite that economics is in the focus of the NESS team, but the teams is also interested in the other social sciences as NESS aims to be truly genuine transdisciplinary venture.
Anyone willing to subscribe for NESS newsletter can visit http://www.nessnet.eu/dadamail/mail.cgi/list/ness/ to do so. Newsletter will be sent in English once per month (near the 20th day of each month). If you won’t like the newsletter you’ll be able to easily remove yourself from the mailing list. Continue reading “NESS project is starting” »
Last week, on 26th and 27th of January, Lithuanian Society of Young Researchers held a conference “Interdisciplinarity: How to Make it Work”. During the conference presenters, which included both scientists and officers of varying institutions, from all over the world and Lithuania have shared with the attendees their success stories and provided ideological grounds for the discussions on the interdisciplinarity.
For me the most important part was the aforementioned ideological background. Working in the context of Physics of Risk it is important for us to see where do we actually stand. Are we still in physics or maybe we have moved to the other domains (ex. economics, financial mathematics or maybe even into the brand new independent field econophysics?). So in this text I will attempt to share and develop some interesting thoughts heard during the conference. Continue reading “Aleksejus Kononovicius: Impresions from the Interdisciplinarity conference” »
In the next Physica A issue (will be made available in February, 2012) our article 1 will be published. The article is on the agent based reasoning for the stochastic models. Basically this article incorporates knowledge obtained while working on the simple models provided on Physics of Risk: Continue reading “Our recent articles on agent based reasoning and the burst statistics” »
In the past few year European econophysicists shared a rumors on the upcoming flagship project, which should innovate not only econophysics, but also economic and other social sciences. Finally it has started and Lithuanian scientists have joined it! We, scientists of VU ITPA, are also among them.
Time series obtained by solving non-linear stochastic models exhibit rather interesting statistical properties. On Physics of Risk we have already discussed some of these models 1, 2 (ex. stochastic model of return, herding model of financial markets), which are able to reproduce statistical properties of high frequency return (namely spectral density and probability distribution).
In statistical sense model and financial market behavior might be studied in many different manners. One may study probability distributions, moments, spectral densities, autocorrelations and etc., using each of them to obtain vital information on the statistical and dynamical properties of the studied system. It is important to note that new useful information might be provided by the statistical indicators, which are related to the previously used indicators in unambiguous manner. One may also introduce new variables describing system itself or its time series.
There is a group of such variables, which is closely related to the estimation of risk, known as burst statistics 3, 4. In this text we will discuss these variables and their statistical properties. At the end of the text we also present interactive java applet, using which one can reproduce burst statistics of certain stochastic model. Continue reading “Brust statistics in non-linear stochastic models” »
From the practical point of view price is the most interesting observable of the financial markets. Though modeling and analysis of price fluctuations are hindered by the fact that price itself is non-stationary process – mean price and market volatility constantly change. While price changes, at least at short time scales, behave as stationary process – mean price change is equal, or at least approximately equal, to zero. Thus it is convenient to introduce variable related to the relative price changes, which is known as return
Continue reading “Long-range memory stochastic model of return” »