Christophe Schinckus pioneers econophysics for finance
Such a development is seen by Schinckus as part of the evolution of econophysics (statistical physics applied to finance) towards a transdisciplinary econophysics, or “trans-econophysics” whose statistical models coming from physics would integrate the main theoretical assumptions coming from financial economics. While econophysics refers to an application of statistical tools to financial data (without consideration for economic meaning), trans-econophysics will make it possible to revisit the theoretical foundations of financial economics, rethink radical (Knightian) uncertainty, and develop new models and theories better suited to the management of financial risks and financial markets.
Illustrative of this development is the combining of statistical physics and agent-based modelling, a generic non-linear approach that is being applied to a variety of physical, natural and social systems. In talk at CIRST (Centre Interdisciplinaire de Recherche sur la Science et la Technologie), Christophe showed that the combination of statistical econophysics with an agent-based approach avoids arbitrary assumptions as they are based on empirical verification. The complementary nature of these two fields arises from their different ways of dealing with complexity. Statistical physics offers analytical tools to describe the macro-statistical regularities such as power-law tails of distributions, temporal scaling of volatility, fractality of time that are observed in real complex economic systems. On the other hand, agent-based modelling provides a framework reproducing these statistical regularities by giving them behavioural and micro-foundations. The heterogeneity of behaviours and the learning abilities of agents can give economic meaning to the micro-interactions that generate the macro-properties observed by physicists.
Christophe Schinckus presented Towards a Trans-econophysics at the History of Economic Society Conference organized by Brock University, Canada, the 23th of June 2012.
And, Statistical econophysics and agent-based econophysics: a methodological perspective” at a seminar organized by CIRST (University of Quebec at Montreal, Canada, the 20th of April 2012). This paper will be published in Quantitative Finance
