Three Risky Decades: A Time for Econophysics?

Dear Colleagues,

There is a good reason for this Special Issue: next year will mark the third decade of a new way of dealing with economics through the lens of a physics-based approach. Since then, there has been an increasing number of publications (included in the Web of Science database) devoted to what is now called econophysics. The origin of this movement are complex and manifold. A possible catalyst for this increase is the famous conference at the Santa Fe Institute in 1987, organized by two Nobel Prize winners—economist Kenneth Arrow and physicist Philip Anderson. The purpose of this event was to see how economics could benefit from physics, computer science, and biology. Econophysics may be related to the ground-breaking work (“Lévy walks and enhanced diffusion in Milan stock exchange”) written by the physicist Rosario N. Mantegna in 1991—this article, considered by many to be the beginning of modern econophysics, showed that we had entered in an era of extreme and rare events as we experience it almost every day. In addition to these potential origins, other important works also contribute to the development of research related to econophysics: among others, one can quote, “Statistical properties of deterministic threshold elements—the case of market price” by H. Takayasu, H. Miura, T. Hirabayashi, K. Hamada in Physica A (1992), or “The Black-Scholes option pricing problem in mathematical finance: Generalization and extensions for a large class of stochastic processes”, by J.-P. Bouchaud and D. Sornette in J. Phys. I France (1994). We have just cited some of these works here, realizing that this is a subjective selection that reflects our point of view. In this Special Issue, all perspectives on econophysics are welcome, even though they might generate controversial discussions or opposite viewpoints. The authors will have the opportunity to put forth their way of presenting and working with econophysics.

The new era evoked above cannot be characterized through the classical Brownian and Gaussian behavior (Wiener process) originally discovered by Louis Bachelier in his dissertation (“Théorie de la Spéculation” in 1900); instead, the statistical characterization of our contemporary world is more in line with a Lévy flight process over multiple timescales identified by Mantegna in his article on the Milan Index mentioned above. In this context, the central limit theorem has been replaced by the Lévy–Khintchine generalized central limit theorem. These findings have been confirmed by later works—see Mantegna-Stanley in Nature (1995). In a short period of time, an avalanche of publications created an apparently impossible bridge between physics and social sciences (especially financial markets). In this Special Issue, eminent scholars have been invited, all of whom have significantly contributed to econophysics. We hope their writings will illustrate and exemplify the history of econophysics, the current trends in the field, as well as its future perspectives. We voluntarily keep open the scope of this Issue leaving to the authors’ decision what they consider to be the milestones of econophysics and how they see its future. We want econophysics to be presented from different points of view, even though these views might be contradictory or sources of internal scientific tensions. Our work “Econophysics and sociophysics: Their milestones & challenges’ in Physica A (2019) can be used as a source of inspiration for the celebration of the development of econophysics. As Guest Editors, we believe that the Special Issue will be scientifically attractive and inspiring. The 30^th anniversary is in opportunity to show econophysics as a living and developing field of science related to many other fields. This Special Issue does not aim to be a museum but instead an inspiring collection of writings opening up prospects for the future of the field.

This Special Issue is also a way to present econophysics to the general public and to scholars who are external to the field: its achievements, its challenges, and even the controversial opinions/internal tensions and sometimes contradictions that might have emerged in the field. As Guest Editors, we are keen to show that econophysics is alive and inspiring—especially in the context of the global challenges with which we are faced.

Prof. Dr. Ryszard Kutner
Prof. Dr. Christophe Schinckus
Prof. Dr. H. Eugene Stanley
Guest Editors

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