The European Physical Journal Special Topics

, Volume 225, Issue 17–18, pp 3137–3143 | Cite as

Regrets, learning and wisdom

Regular Article
Part of the following topical collections:
  1. Discussion and Debate: Can Economics be a Physical Science?


This contribution discusses in what respect Econophysics may be able to contribute to the rebuilding of economics theory. It focuses on aggregation, individual vs collective learning and functional wisdom of the crowds.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. 1.
    S. Alfarano, T. Lux, F. Wagner, Estimation of a simple agent-based model of financial markets: An application to australian stock and foreign exchange data, Physica A 370, 38 (2006)ADSMathSciNetCrossRefGoogle Scholar
  2. 2.
    M. Andrecut, M.K. Ali, Q learning in the minority game, Phys. Rev. E 64, 067103 (2001)ADSCrossRefGoogle Scholar
  3. 3.
    N. Barberis, M. Huang, T. Santos, Prospect theory and asset prices, Q. J. Econ. 116, 1 (2001)CrossRefMATHGoogle Scholar
  4. 4.
    S. Battiston, J.D. Farmer, A. Flache, D. Garlaschelli, A.G. Haldane, H. Heesterbeek, C. Hommes, C. Jaeger, R. May, M. Scheffer, Complexity theory and financial regulation, Science 351, 818 (2016)ADSCrossRefGoogle Scholar
  5. 5.
    F. Bettin, The role of asymmetric gain and loss perception in minority games, Master's thesis, Università degli Studi di Padova, 2014Google Scholar
  6. 6.
    S. Bornholdt, Expectation bubbles in a spin model of markets: Intermittency from frustration across scales, Int. J. Mod. Phys. C 12, 667 (2001)ADSCrossRefGoogle Scholar
  7. 7.
    J.-P. Bouchaud, Economics needs a scientific revolution, Nature 455, 1181 (2008)ADSCrossRefGoogle Scholar
  8. 8.
    J.-P. Bouchaud, The (unfortunate) complexity of the economy, Phys. World 22, 28 (2009)CrossRefGoogle Scholar
  9. 9.
    L. Breiman, Random forests, Mach. Learn. 45, 5 (2001)CrossRefMATHGoogle Scholar
  10. 10.
    A. Cavagna, A. Cimarelli, I. Giardina, G. Parisi, R. Santagati, F. Stefanini, M. Viale, Scale-free correlations in starling flocks, Proc. Natl. Acad. Sci. 107, 11865 (2010)ADSCrossRefGoogle Scholar
  11. 11.
    L.E. Celis, P.M. Krafft, N. Kobe, Sequential voting promotes collective discovery in social recommendation systems, arXiv:1603.04466 (2016)
  12. 12.
    D. Challet, A robust, efficient, and moment-free estimator of Sharpe ratios, Working paper, arXiv:1505.01333 (2015)
  13. 13.
    D. Challet, M. Marsili, Y.-C. Zhang, Minority Games (Oxford University Press, Oxford, 2005)Google Scholar
  14. 14.
    R. Cont, J.-P. Bouchaud, Herd behaviour and aggregate fluctuation in financial markets, Macroecon. Dyn. 4, 170 (2000)CrossRefMATHGoogle Scholar
  15. 15.
    T.M. Cover, Universal portfolios, Math. Finance 1, 1 (1991)MathSciNetCrossRefMATHGoogle Scholar
  16. 16.
    D.M. de Lachapelle, D. Challet, Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior, New J. Phys. 12, 075039 (2010)CrossRefGoogle Scholar
  17. 17.
    C.D. Dominicis, Dynamics as a substitute for replicas in systems with quenched random impurities, Phys. Rev. B 18, R3783 (1978)Google Scholar
  18. 18.
    E.F. Fama, K.R. French, Common risk factors in the returns on stocks and bonds, J. Fin. Econ. 33, 3 (1993)CrossRefMATHGoogle Scholar
  19. 19.
    J.D. Farmer, Market force, ecology and evolution, Technical Report 98-12-117, Santa Fe Institute, 1999Google Scholar
  20. 20.
    T. Galla, Y.-C. Zhang, Minority games, evolving capitals and replicator dynamics, J. Stat. Mech. 2009, P11012 (2009)CrossRefGoogle Scholar
  21. 21.
    M. Gallegati, S. Keen, T. Lux, P. Ormerod, Worrying trends in econophysics, Physica A 370, 1 (2006)ADSMathSciNetCrossRefGoogle Scholar
  22. 22.
    F. Galton, Vox populi, Nature 75, 450 (1907)ADSCrossRefGoogle Scholar
  23. 23.
    S. Gualdi, G. Cimini, K. Primicerio, R. Di Clemente, D. Challet, Statistically similar portfolios and systemic risk, arXiv:1603.05914 (2016)
  24. 24.
    W. Härdle, A. Kirman, Nonclassical demand: A model-free examination of price-quantity relations in the Marseille fish market, J. Econ. 67, 227 (1995)CrossRefMATHGoogle Scholar
  25. 25.
    G. Iori, Avalanche dynamics and trading friction effects on stock market returns, Int. J. Mod. Phys. C 10, 1149 (1999)ADSCrossRefMATHGoogle Scholar
  26. 26.
    J.-C. Trichet, Reflections on the nature of monetary policy non-standard measures and finance theory, Speech by President of the ECB, Opening address at the ECB Central Banking Conference Frankfurt, November 2010Google Scholar
  27. 27.
    D. Kahneman, A. Tversky, Prospect theory: an analysis of decision under risk, Econ. 47, 263 (1979)CrossRefMATHGoogle Scholar
  28. 28.
    A. Kirman, Epidemics of opinion and speculative bubbles in financial markets, Money Fin. Markets 3, 54 (1991)Google Scholar
  29. 29.
    A. Kirman, The economic crisis is a crisis for economic theory, CESifo Econ. Stud. 56, 498 (2010)CrossRefGoogle Scholar
  30. 30.
    D. Lando, M.S. Nielsen, Correlation in corporate defaults: Contagion or conditional independence? J. Financial Intermediation 19, 355 (2010)Google Scholar
  31. 31.
    J.M. Lasry, P.L. Lions, Mean field games, Jpn. J. Math. 2, 229 (2007)MathSciNetCrossRefMATHGoogle Scholar
  32. 32.
    A. Lo, The adaptive markets hypothesis: Market efficiency from an evolutionary perspective, J. Portfolio Management. 30, 15 (2004)CrossRefGoogle Scholar
  33. 33.
    T. Lohrenz, K. McCabe, C.F. Camerer, P.R. Montague, Neural signature of fictive learning signals in a sequential investment task, Proc. Natl. Acad. Sci. U.S.A. 104, 9493 (2007)ADSCrossRefGoogle Scholar
  34. 34.
    J. Lorenz, H. Rauhut, F. Schweitzer, D. Helbing, How social influence can undermine the wisdom of crowd effect, Proc. Natl. Acad. Sci. 108, 9020 (2011)ADSCrossRefGoogle Scholar
  35. 35.
    Y. Malevergne, V. Pisarenko, D. Sornette, Testing the pareto against the lognormal distributions with the uniformly most powerful unbiased test applied to the distribution of cities, Phys. Rev. E 83, 036111 (2011)ADSCrossRefGoogle Scholar
  36. 36.
    M. Mézard, G. Parisi, M.A. Virasoro, Spin Glass Theory and Beyond (World Scientific, 1987)Google Scholar
  37. 37.
    Q. Michard, J.P. Bouchaud, Theory of collective opinion shifts: from smooth trends to abrupt swings, Eur. Phys. J. B 47, 151 (2005)ADSCrossRefGoogle Scholar
  38. 38.
    P.R. Montague, B. King-Casas, J.D. Cohen, Imaging valuation models in human choice, Annu. Rev. Neurosci. 29, 417 (2006)CrossRefGoogle Scholar
  39. 39.
    V. Privman, Nonequilibrium Statistical Mechanics in One Dimension (Cambridge University Press, 2005)Google Scholar
  40. 40.
    T.C Schelling, Dynamic models of segregation, J. Math. Sociology 1, 143 (1971)CrossRefMATHGoogle Scholar
  41. 41.
    D. Sornette, Phys. Financ. Econ. (1776–2014): puzzles, ising and agent-based models, Rep. Prog. Phys. 77, 062001 (2014)ADSCrossRefGoogle Scholar
  42. 42.
    J. Surowiecki, The Wisdom of Crowds (Anchor Books, New York, NY, 2005)Google Scholar
  43. 43.
    I. Swiecicki, T. Gobron, D. Ullmo, Schrödinger approach to mean field games, Phys. Rev. Lett. 116, 128701 (2016)ADSCrossRefGoogle Scholar
  44. 44.
    M. Tumminello, F. Lillo, J. Piilo, R.N. Mantegna, Identification of clusters of investors from their real trading activity in a financial market, New J. Phys. 14, 013041 (2012)ADSCrossRefGoogle Scholar
  45. 45.
    C. Watkins, P. Dayan, Q-learning, Mach. Learn. 8, 279 (1992)MATHGoogle Scholar
  46. 46.
    V. Weber, F. Peres, Hedge fund replication: Putting the pieces together, Available at SSRN 2202270, 2013Google Scholar
  47. 47.
    J.W. Weibull, Evolutionary Game Theory (MIT, Massachussetts 1995)Google Scholar
  48. 48.
    Y.-C. Zhang, Why financial markets will remain marginally inefficient, in Empirical Science of Financial Fluctuations (Springer, 2002), p. 289Google Scholar

Copyright information

© EDP Sciences and Springer 2016

Authors and Affiliations

  1. 1.Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes, CentraleSupélec, Université Paris-SaclayChâtenay-MalabryFrance
  2. 2.Encelade Capital SALausanneSwitzerland

Personalised recommendations