Physics of Ownership
Currently this page is static. It has a marginal interest because it
catalogues the first epapers in the field of econophysics, so it gives
you a decent clue to keep looking for more recent work.
In some sense, econophysics is the branch of economy which will come
to justify the existence of economical markets as perturbations from
an scaleinvariant market, just as renormalisation works for
physics.
Scale invariant markets have been thought by theorists time ago. Sometimes
I call them "Kropotkin markets" in honour to the naturalist who
postulated them back in the XIXth century. The key point to his use
in econophysics is to consider perturbations of them: the scaleinvariance
breaks and a monetary scale appears; stability of the system depends
of the properties of the fixed point, which physicists refer as
K, the critical point.
K is a theoretical point and the question of if it is technically
reachable point has been a political issue of
Anarchism for a while. Some models have been proposed where the
production relationships are kept while the access to capital is
enhanced; then it is postulated that a increase of freetime (say
5 hours day of labour) and an increase of R & D outcomes should drive
economy to a overproduction phase
having this scaleinvariant property (any moneyscale becomes negligible).
While this model is socially interesting, its existence is not necesary
for the development of a economic theory as described in previous
parragraph.
Alejandro Rivero (Zaragoza Univ.
& prev. Telefonica I+D  I had a bored job, but look my Physics & Geometry research...)
Do we need a Subject Class?
(Image
from ISI Atlas of Science)
Introduction
While capital by itself has not an appropriate scale to be measured,
ownership lets such capital to be traded against a measurable
good, usually called money. The study of this spontaneous apparition
of scale has only recently attracted attention of modern physicists.
Here we accumulate a collection of references, mostly
from the point of view of mathematical physics.
From the point of view of fundamental physics, this
research is also important, because it provides a different
playground for our mathematical tools, then helping
us to distinguish between physical principles and sophisticated
mathematical tools.
Technical, historical and philosophical notes
(this section moved to a separate
page. Comments are welcome!)
Bibliography
Notice: This list is made by hand; please communicate new preprints or
missing entries to rivero@sol.unizar.es
 Check also
 Published offline
 P. Wilmott, S. Howison, J. Dewynne, The Mathematics of Financial
Derivatives (Was some spanish brigadist involved in the design
of the cover of this book??)
 J. Hull, of course: Futures, Options and other derivatives, third edition.
Both Hull and Wilmott are very rich in references.
 Baxter, Rennie: Financial Calculus
 Roepstorff, Path Integral Approach to Quantum Physics.
First two chapters give a good idea of brownian paths and its use in physics. A
lot of references, from the original work of Einstein until the 90s.
 Europhysics news, vol 29, n 2, 1998, has two articles on the
subject (pages 51, by YiCheng Zhang and 70, by Marcel Ausloos).
 Online from Off the Wall (at numerix website):
 Online from sparse sources
 Online from xxx archives.

Paper: condmat/9903079
From: "H.Rieger"

Title: A prognosis oriented microscopic stock market model
Authors: C. Busshaus and H. Rieger
 Paper: condmat/9902283
From: Gopikrishnan Parameswaran
Date: Sat, 20 Feb 1999 17:13:31 GMT (37kb)

Title: Universal and nonuniversal properties of crosscorrelations in
financial time series
Authors: Vasiliki Plerou, Parameswaran Gopikrishnan, Bernd Rosenow, Luis A.
Nunes Amaral, and H. Eugene Stanley


Title: How to account for virtual arbitrage in the standard derivative pricing
Authors:
Kirill Ilinski


Title: Derivative pricing with virtual arbitrage
Authors:
Kirill Ilinski,
Alexander Stepanenko



Title: Virtual Arbitrage Pricing Theory
Authors:
Kirill Ilinski


Title: How to reconcile Market Efficiency and Technical Analysis
Authors:
Alexandra Ilinskaia,
Kirill Ilinski


Title: Modeling interest rate dynamics: an infinitedimensional approach
Authors:
Rama Cont (CMAP  Ecole Polytechnique)
Comments: Keywords: interest rates, stochastic PDE, term structure models,
stochastic processes in Hilbert space. Other related works may be retrieved
on this http URL
Subjclass: Statistical Mechanics; Disordered Systems and Neural Networks;
Probability Theory
lag , December 98 January 99, to be filled


Title: Financial ``AntiBubbles'': LogPeriodicity in Gold and Nikkei collapses
Authors:
A. Johansen (IGPP, UCLA),
D. Sornette (CNRSUniversity of Nice and UCLA)


Title: Minimizing volatility increases large risks
Authors:
D. Sornette (CNRSUniversity of Nice and UCLA),
J. V. Andersen (Nordita, Copenhagen),
P. Simonetti (USC)


Title: ReactionDiffusionBranching Models of Stock Price Fluctuations
Authors:
LeiHan Tang,
GuangShan Tian


Title: Modeling the Stock Market prior to large crashes
Authors:
Anders Johansen (1),
Didier Sornette (1,2,3) ((1) Institute of Geophysics and Planetary Physics University of California, Los Angeles, California (2) Department of Earth and Space Science University of California, Los Angeles, California (3) Laboratoire de Physique de la Matiere Condensee CNRS UMR6622 and Universite de NiceSophia Antipolis B.P. 71, Nice)
Comments: 18 pages with 4 figures. Submitted to Eur.Phys.J


Title: A general methodology to price and hedge derivatives in incomplete
markets
Authors:
E. Aurell,
R. Baviera,
O. Hammarlid,
M. Serva,
A. Vulpiani
Comments: submitted to
International J. of Theoretical and Applied Finance


Title: Noise Dressing of Financial Correlation Matrices
Authors:
Laurent Laloux (1),
Pierre Cizeau (1),
JeanPhilippe Bouchaud (1,2),
Marc Potters (1) ((1) Science & Finance (2) CEA Saclay)


Title: Testing selforganized criticality by induced seismicity
Authors:
J.R. Grasso (LGIT/IRIGM Grenoble, France),
D. Sornette (ESS/IGPP at UCLA and LPMC at CNRS and University of Nice, France)
Comments: 15 pages, 3 tables, 14 figures (in press in Journal of Geophysical
Research)
Subjclass: Statistical Mechanics


Title: A generalized spin model of financial markets
Authors:
Debashish Chowdhury,
Dietrich Stauffer (Cologne)


Title: Booms and Crashes in SelfSimilar Markets
Author:
S. Gluzman,
V. I. Yukalov
Journalref: Mod. Phys. Lett. B 12 (1998) 575587


Title: Optimal lag in dynamical investments
Authors:
M. Serva (Dip. di Matematica and I.N.F.M., Universit\`a dell'Aquila, Italy)
Comments: 13 pages, LaTeX, uses epsfig.sty, 5 ps figures, submitted to Int. J.
of Theoretical and Applied Finance


Title: Crashes as Critical Points
Authors:
Anders Johansen (1),
Olivier Ledoit (2),
Didier Sornette (1,3,4) ((1) Institute of Geophysics and Planetary Physics University of California, Los Angeles, California (2) Anderson Graduate School of Management, University of California, Los Angeles CA (3) Department of Earth and Space Science, University of California, Los Angeles, California (4) Laboratoire de Physique de la Matiere Condensee, CNRS UMR6622 and Universite de NiceSophia Antipolis, Nice, France)


Title: Economic returns of research: the Pareto law and its implications
Authors:
Didier Sornette (CNRSUniversity of Nice and UCLA),
Comments: 18 pages, 7 figures


Title: Generalizing Merton's approach of pricing risky debt:some closed form
results
Authors:
D. F. Wang


Title: The Uneven Distribution of Numbers in Nature
Authors:
L. Pietronero,
E.Tosatti,
V.Tosatti,
A. Vespignani


Title: Probability distribution of drawdowns in risky investments
Authors:
Sergei Maslov,
YiCheng Zhang


Title: Back to basics: historical option pricing revisited
Authors:
JeanPhilippe Bouchaud,
Marc Potters (CEASaclay and Science et Finance)


Title: Pricing defaultable debt: some exact results
Author:
D. F. Wang (TD Bank and Univ. of Waterloo)


Title: Option Pricing Model for Incomplete Market
Authors:
Sergei Fedotov,
Sergei Mikhailov



Title: Hedging The Risk In The Continuous Time Option Pricing Model With
Stochastic Stock Volatility
Authors:
D. F. Wang (TD Bank and Univ. of Waterloo)


Title: Wandering of a contact line at thermal equilibrium
Authors:
A. Hazareesing,
M.Mezard
Comments: 24 laTex pages with 5 EPS figures included. submitted to Phys. Rev E


Title: Electrodynamical model of quasiefficient financial market
Authors:
Kirill N. Ilinski,
Alexander S. Stepanenko


Title: Elements for a Theory of Financial Risks
Authors:
JeanPhilippe Bouchaud (CEASaclay and Science & Finance)
Comments: to appear in `Order, Chance and Risk', Les Houches (March
1998), to be published by Springer/EDP Sciences


Title: Revisiting the BlackScholes equation
Authors:
D. F. Wang (Univ.of Waterloo and TD Bank)


Title: On the Minority Game : Analytical and Numerical Studies
Authors:
Damien Challet,
YiCheng Zhang


Title: Optimal strategies for prudent investors
Authors:
R. Baviera,
M. Pasquini,
M. Serva,
A. Vulpiani (Universit\`a dell'Aquila and Roma "La Sapienza", Italy)
Comments: accepted for
International J. of Theoretical and Applied Finance


Title: Modeling of Financial Data: Comparison of the Truncated L\'evy Flight
and the ARCH(1) and GARCH(1,1) processes
Authors:
Rosario N. Mantegna,
H. Eugene Stanley


Title: Are Financial Crashes Predictable?
Authors:
Laurent Laloux (1),
Marc Potters (1),
Rama Cont (1,2),
JeanPierre Aguilar (1,3),
JeanPhilippe Bouchaud (1,4) ((1) Science & Finance (2) Polytechnique Lausanne (3) Capital Futures Management (4) CEA Saclay)


Title: Universal features in the growth dynamics of complex organizations
Authors:
Youngki Lee (BU),
Luis A. N. Amaral (MIT),
David Canning (HIID),
Martin Meyer (BU),
H. Eugene Stanley (BU)
Comments:
Submitted to PRL


Title: Gauge theory of Finance?
Authors:
D. Sornette



Title: Dynamics of Individual Specialization and Global Diversification in
Communities
Authors:
Vivek S. Borkar,
Sanjay Jain,
Govindan Rangarajan (Indian Institute of Science, Bangalore)
Journalref: Complexity, Vol. 3, No. 3, 5056 (1998)


Title: Collective Behaviour and Diversity in Economic Communities: Some
Insights from an Evolutionary Game
Authors:
Vivek S. Borkar,
Sanjay Jain,
Govindan Rangarajan (Indian Institute of Science, Bangalore)
Comments:
To appear in the proceedings of the Workshop on Econophysics,
Budapest, July 1997


Title: Inverse Cubic Law for the Probability Distribution of Stock Price
Variations
Authors:
Parameswaran Gopikrishnan,
Martin Meyer,
Luis A Nunes Amaral,
H Eugene Stanley


Title: Stochastic LotkaVolterra Systems of Competing AutoCatalytic Agents
Lead Generically to Truncated Pareto Power Wealth Distribution, Truncated
Levy Distribution of Market Returns, Clustered Volatility, Booms and Craches
Author:
Sorin Solomon (Hebrew University)


Title: Modeling Market Mechanism with Evolutionary Games
Authors:
YiCheng Zhang


Title: Riskreturn arguments applied to options with trading costs
Authors:
Erik Aurell,
Karol Zyczkowski


Title: Fixed Points in SelfSimilar Analysis of Time Series
Author:
S. Gluzman,
V. I. Yukalov


Title: Hierarchical Structure in Financial Markets
Authors:
Rosario N. Mantegna


Title: The sharp peakflat trough pattern and critical speculation
Authors:
B. M. Roehner,
D. Sornette
Comments:
European Physical Journal B (in press)


Title: Volatility and Agent Adaptability in a SelfOrganizing Market
Authors:
N. F. Johnson,
S. Jarvis,
R. Jonson (Oxford University, UK)
P. Cheung,
Y. R. Kwong,
P. M. Hui (Chinese University of Hong Kong, HK)


Title: ``String'' formulation of the Dynamics of the Forward Interest Rate
Curve
Authors:
D. Sornette
Comments: European Physical Journal B (in press)


Title: Large deviations and portfolio optimization
Authors:
D. Sornette
Comments: in press in Physica A


Title: The Dynamics of the Forward Interest Rate Curve with Stochastic String
Shocks
Authors:
P. SantaClara,
D. Sornette
Journal Reference: Submitted Rew Fin Studies ?


Title: Stochastic Dynamics in Game Theory
Authors:
Matteo Marsili YiCheng Zhang
Comments: To appear
in the proceedings of the Budapest conference ECONOPHYSICS (Kluwer, 1998)


Title: Stretched exponential distributions in Nature and Economy: ``Fat tails''
with characteristic scales
Authors:
Jean Laherrère,
D. Sornette


Title: Interacting Individuals Leading to Zipf's Law
Authors:
Matteo Marsili,
YiCheng Zhang


Title: A Langevin Approach to Stock Market Fluctuations and Crashes
Authors:
JeanPhilippe Bouchaud,
Rama Cont (CEASaclay and Science et Finance)


Title: Optimal Investment Strategy for Risky Assets
Authors:
Sergei Maslov,
YiCheng Zhang


Title: Dynamical Optimization Theory of a Diversified Portfolio
Authors:
Matteo Marsili,
Sergei Maslov,
YiCheng Zhang


Title: Rational Decisions, Random Matrices and Spin Glasses
Authors:
Stefano Galluccio,
JeanPhilippe Bouchaud,
Marc Potters (CEASaclay and Science et Finance)


Title: Adaptive Competition, Market Efficiency, Phase Transitions and
SpinGlasses
Authors:
Robert Savit (1 and 2),
Radu Manuca (1 and 2),
Rick Riolo (1) ((1) Program for the Study of Complex Systems, Univ. of Michigan, (2) Physics Department, Univ. of Michigan)


Title: Herd behavior and aggregate fluctuations in financial markets
Authors:
Rama Cont,
JeanPhilippe Bouchaud (CEA Saclay and Science & Finance Research Group)


Title: Statistical Analysis of the Stock Index of the Budapest Stock Exchange
Authors:
J. Rotyis,
G. Vattay (E\"otv\"os University Budapest,Hungary)


Title: Phenomenology of the Interest Rate Curve
Authors:
J.P. Bouchaud,
N. Sagna,
R. Cont,
N. ElKaroui,
M. Potters (SPECSaclay, Science & Finance, Ecole Polytechnique)


Title: Stock market crashes are outliers
Authors:
D. Sornette,
A. Johansen


Title: BlackScholes equation from Gauge Theory of Arbitrage
Authors:
Kirill Ilinski (University of Birmingham),
Gleb Kalinin (IPhys Group, StPetersburg)


Title: Renormalization Group Analysis of October Market Crashes
Authors:
S. Gluzman,
V. I. Yukalov


Title: Discrete Scale Invariance and the "Second Black Monday"
Authors:
James A. Feigenbaum,
Peter G. O. Freund (University of Chicago)


Title: Resummation Methods for Analyzing Time Series
Authors:
S. Gluzman,
V. I. Yukalov


Title: Financial Modeling and Option Theory with the Truncated Levy Process
Author:
Andrew Matacz (University of Sydney, Australia)


Title: Physics of Finance
Authors:
Kirill Ilinski


Title: A Prototype Model of Stock Exchange
Authors:
G. Caldarelli,
M. Marsili,
Y.C. Zhang


Title: Multiplicative processes and power laws
Authors:
D. Sornette
Comments: Phys. Rev. E (to appear April 1998)


Title: A Path Integral Approach to Option Pricing with Stochastic Volatility:
Some Exact Results
Authors:
B. E. Baaquie


Title: Volatility distribution in the S&P500 Stock Index
Authors:
Pierre Cizeau,
Yanhui Liu,
Martin Meyer,
C.K. Peng,
H. Eugene Stanley


Title: Wealth Distributions in Models of Capital Exchange
Authors:
S. Ispolatov,
P. L. Krapivsky,
S. Redner (Boston University)


Title: Causal cascade in the stock market from the ``infrared'' to the
``ultraviolet''
Authors:
A. Arneodo,
J.F. Muzy,
D. Sornette
Subjclass: Statistical Mechanics


Title: Emergence of Cooperation and Organization in an Evolutionary Game
Authors:
Damien Challet,
YiCheng Zhang (U. Fribourg)
Subjclass: Adaptation, Noise, and SelfOrganizing Systems; Statistical
Mechanics


Title: Power Law Scaling for a System of Interacting Units with Complex
Internal Structure
Authors:
L.A.N. Amaral (MIT),
S.V. Buldyrev (Boston Univ),
S. Havlin (BU),
M.A. Salinger (BU),
H.E. Stanley (BU)


Title: Missing Information and Asset Allocation
Authors:
JeanPhilippe Bouchaud (1,2),
Marc Potters (2),
JeanPierre Aguilar (2) ((1) CEA Saclay (2) Science & Finance)


Title: Correlations in Economic Time Series
Authors:
Yanhui Liu,
Pierre Cizeau,
Martin Meyer,
ChungKang Peng,
H. Eugene Stanley


Title: Extreme deviations and applications
Authors:
U. Frisch,
D. Sornette



Title: Scaling in stock market data: stable laws and beyond
Authors:
Rama Cont (1,2,3)
Marc Potters (2)
JeanPhilippe Bouchaud (1,2) ((1) CEA Saclay (2) Science & Finance (3) CNRS Nice)
Journalref: Scale Invariance and Beyond (proceedings of the CNRS Workshop on
Scale Invariance, Les Houches, March 1997)


Title: Scaling and correlation in financial data
Authors:
Rama Cont (CEA Saclay & CNRS Nice)


Title: Large financial crashes
Authors:
Didier Sornette,
Anders Johansen


Title: Scaling behavior in economics: II. Modeling of company growth
Authors:
S.V. Buldyrev,
L.A.N. Amaral,
S. Havlin,
H. Leschhorn,
P. Maass,
M.A. Salinger,
H.E. Stanley,
M.H.R. Stanley


Title: Scaling behavior in economics: I. Empirical results for company growth
Authors:
L.A.N. Amaral,
S.V. Buldyrev,
S. Havlin,
H. Leschhorn,
P. Maass,
M.A. Salinger,
H.E. Stanley,
M.H.R. Stanley


Title: Price Variations in a Stock Market With Many Agents
Authors:
P. Bak,
M. Paczuski,
M. Shubik


Title: Turbulence and finance?
Authors:
Rosario N. Mantegna,
H. Eugene Stanley
Comments: To appear in Nature as a
Scientific Correspondence


Title: Convergent multiplicative processes repelled from zero: power laws and
truncated power laws
Authors:
Rama Cont,
Didier Sornette (CNRS Nice, France and UCLA)


Title: Financial markets as adaptative ecosystems
Authors:
Marc Potters (1),
Rama Cont (1,3),
JeanPhilippe Bouchaud (2,1) ((1) Science & Finance (2) CEA Saclay (3) Universite de Nice)


Title: Comment on ``Turbulent cascades in foreign exchange markets''
Authors:
Alain Arneodo (1),
JeanPhilippe Bouchaud (2,3),
Rama Cont (3,5),
JeanFrancois Muzy (1),
Marc Potters (3),
Didier Sornette (3,4,5). ((1) Centre de Recherche Paul Pascal (2) CEA Saclay (3) Science & Finance (4) UCLA (5) Universite de Nice)


Title: Power Laws are Logarithmic Boltzmann Laws
Authors:
M. Levy,
S. Solomon (this http URL)


Title: Exponential functionals of Brownian motion and disordered systems
Authors:
Alain Comtet (DPT, IPN Orsay France)
Cécile Monthus (SPhT, CE Saclay France),
Marc Yor (Labo. Proba., Paris France)


Title: Stock market crashes, Precursors and Replicas
Authors:
Didier Sornette,
Anders Johansen,
JeanPhilippe Bouchaud


Title: Realworld options: smile and residual risk
Author:
JeanPhilippe Bouchaud,
Giulia Iori,
Didier Sornette


Title: Discrete Scaling in Stock Markets Before Crashes
Author:
James A. Feigenbaum,
Peter G. O. Freund (University of Chicago)
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