Regensburg 2002 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 15: Sondersitzung: Verleihung des Young-Scientist Award for Socio- and Econophysics

AKSOE 15.1: Invited Talk

Tuesday, March 12, 2002, 16:00–17:00, H22

Physicists attempt to scale the ivory towers of finance — •J. Doyne Farmer — Santa Fe Institute, 1399 Hyde Park Rd., Santa Fe NM 87501, U.S.A.

For some time now physicists have been employees of major investment banks. More recently, they have also become active in academic studies of financial markets. I will briefly review some of the striking statistical regularities of markets, and discuss possible explanations. I will argue that several aspects of markets may be explainable in terms of very simple hypotheses, e.g. that treat trading as an interaction between agents that is analogous to the collision of slightly intelligent ping-pong balls. Time permitting, I will make some remarks about the role of the central hypotheses of arbitrage efficiency and expectational equilibrium, the similarities and differences to the analogous concepts in physics, and the problems and challenges for theories that might go beyond them.