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UNIVERSITY OF BUCHAREST
FACULTY OF PHYSICS Guest
2024-11-23 18:07 |
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Conference: Bucharest University Faculty of Physics 2009 Meeting
Section: Theoretical Physics and Applied Mathematics Seminar
Title:
An Econophysics Perspective on Stock Market Evolution
Authors:
E.O.Lungu(1,2)
Affiliation:
(1)University of Bucharest, Faculty of Physics, P.O. Box MG-11, RO-077125 Bucharest-Magurele, Romania
(2)The Bucharest Academy of Economic Studies, Department of Economic Cybernetics, Calea Dorobantilor 15-17, 010552, Bucharest, Romania
E-mail
eliza.olivia.lungu@gmail.com
Keywords:
econophysics, multi-agent systems, phase transition, stock market
Abstract:
Econophysics is a relatively new interdisciplinary field of research, which applies theories and methods developed initially by physicists with the purpose of understanding and modeling of economical processes and phenomena. The paper consists of a macroscopic, econometric analysis of the stock market time series and a multi-agent based modeling. The last one focuses on the computer simulation and emergent phenomena analysis, using econophysics models (Lux-Marchesi and Levi, Levi, Solomon). Both analysis focus on discontinue phenomena and the conditions when they appear.
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