Physicists Attempt to Scale the Ivory Towers of Finance

J. Farmer

Working Papers from Santa Fe Institute

Abstract: Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random-process models for price dynamics, agent-based modeling, and practical applications.

Keywords: Finance; physics; agent-based modeling; portfolio theory; options; random processes. (search for similar items in EconPapers)
Date: 1999-10
New Economics Papers: this item is included in nep-cmp and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

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Journal Article: PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:wop:safiwp:99-10-073

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