Summary: Computer Physics Communications 121122 (1999) 145152
Econophysics: can statistical physics contribute to
the science of economics?
L.A.N. Amaral, P. Cizeau, P. Gopikrishnan, Y. Liu, M. Meyer, C.-K. Peng, H.E. Stanley 1
Center for Polymer Studies and Department of Physics, Boston University, Boston, MA 02215, USA
We address a current question in econophysics: Are fluctuations in economic indices correlated? To this end, we analyze
1-minute data on a stock index, the Standard and Poor index of the 500 largest stocks. We extend the 6-year data base studied
by Mantegna and Stanley by including the 13 years 19841996 inclusive, with a recording frequency of 15 seconds. The total
number of data points in this 13 years period exceed 4.5 million, which allows for a very detailed statistical analysis. We find
that the fluctuations in the volatility are correlated, and that the correlations are well described by a power law. We also briefly
describe some recent scaling results in economics, specifically some surprising features that appear to be common to the growth
rates of business firms, countries, research budgets, and bird populations. ! 1999 Elsevier Science B.V. All rights reserved.
We begin by pointing out that economics, as a
science, is not well understood. This seems to be
almost generally accepted; in fact, the cover article
of the 23 August 1997 issue of The Economist was
actually entitled "The Puzzling Failure of Economics".