FIFTEEN YEARS OF ECONOPHYSICS RESEARCH
Bikas K. Chakrabarti
Theoretical Condensed Matter Physics Division and
Centre for Applied Mathematics and Computational Science,
Saha Institute of Nuclear Physics, 1/AF, Bidhannagar, Kolkata 700 064, India
Economic Research Unit, Indian Statistical Institute,
203 Barrackpore Trunk Road, Kolkata 700 108, India
Email: bikask.chakrabarti@saha.ac.in
Anirban Chakraborti
Laboratoire de Mathématiques Appliquées aux Systèmes
Ecole Centrale Paris, 92290 Châtenay-Malabry, France
Email: anirban.chakraborti@ecp.fr
Abstract: Econophysics is a new research field, which makes an attempt to bring economics
in the fold of natural sciences or specifically attempts for a “physics of economics”. The term
Econophysics was formally born in Kolkata in 1995. The entry on Econophysics in The New
Palgrave Dictionary of Economics, 2nd Ed., Vol 2, Macmillan, NY (2008), pp 729-732,
begins with “... the term ‘econophysics’ was neologized in 1995 at the second StatphysKolkata conference in Kolkata (formerly Calcutta), India ...”. The Econophysics research
therefore formally completes fifteen years of research by the end of this year!
The importance and proliferation of the interdisciplinary research of Econophysics is
highlighted in the special issue of Science & Culture, which presents a collection of twenty
nine papers (giving country wise perspectives, reviews of the recent developments and
original research communications), written by more than forty renowned experts in physics,
mathematics or economics, from all over the world.
We present here the list of contents and the editorial. The manuscript files are available at
http://fiquant.mas.ecp.fr/chakraboa for preview. This special issue will be published online at
http://www.scienceandculture-isna.org/journal.htm, at the end of October 2010.
SCIENCE AND
CULTURE
SEPTEMBER-OCTOBER 2010/ VOLUME 76/ NOS. 9–10
A JOURNAL OF NATURAL AND CULTURAL SCIENCES
PUBLISHED BY THE
EDITORIAL
INDIAN SCIENCE
NEWS ASSOCIATION
Fifteen Years of Econophysics Research
— Bikas K. Chakrabarti and
Anirban Chakraborti
...
293
The Story of Econophysics
— Bikas K. Chakrabarti and
Arnab Chatterjee
...
296
Parimal Chandra Sen Associate Editor
Fifteen Years of Econophysics: Worries,
Hopes and Prospects
— Bertrand M. Roehner
...
305
N. C. Datta
Pluralistic Modeling of Complex Systems
— Dirk Helbing
...
315
What's Next in the Physics of Markets ?
— Frédéric Abergel
...
330
Econophysics in A Nutshell
— Tobias Preis
...
333
Econophysics : A New Discipline
— Sónia R. Bentes
...
338
Econophysics and The Social Sciences :
Challenges and Opportunities
— Paul Ormerod
...
345
The Role of Social Simulations in Mending the
Epistemology of the Social Sciences
— Robert Savit
...
352
Social Complexity : Can it be Analyzed and Modelled ?
— Kimmo Kaski
...
357
Networking Europe: Stepping Stones From
Income and Wealth to Cost
— Peter Richmond
...
362
Econophysics on Real Economy – the First
Decade of the Kyoto Econophysics Group
— Hideaki Aoyama, Yoshi Fujiwara,
Yuichi Ikeda, Hiroshi Iyetomi and
Wataru Souma
...
368
Econophysics Studies in Estonia
— M. Patriarca, E. Heinsalu, R. Kitt
and J. Kalda
...
374
Econophysics in Belgium : The First (?) 15 Years
— M. Ausloos
...
380
PERSPECTIVES
EDITORIAL BOARD
S. C. Roy Editor-in-Chief
Samarjit Kar Editorial Advisor
N. D. Paria Associate Editor
Amit Krishna De
Vinod Kumar Gupta
Sudhendu Mandal
Syamal Chakrabarti
Barun Kumar Chatterjee
COLLABORATORS
S. Aditya
(Kolkata) A. K. Hati
(Kolkata)
Amiya Bagchi
(Kolkata) S. Kailas
(Mumbai)
D. Balasubramanian
Ananta Krishnan
(Pune)
(Hyderabad) Abhijit Lahiri
(Delhi)
Biman Basu
(Delhi) R. C. Mohanty
(Bhubaneswar)
Indrani Bose
(Kolkata)
S. P. Mukherjee (Kolkata)
Sankar Chakravorti
(Kolkata) B. K. Pattnaik
(Kanpur)
R. N. Chatterjee(Kolkata) V. Prakash
G. Prathap
D. P. Chattopadhyay
(Mysore)
(Kolkata) R. R. Rao
(Bangalore)
R. Gadagkar (Bangalore) Ashoke Sen
Irfan Habib
(Delhi)
(Allahabad)
(Delhi) S. P. Sengupta (Kolkata)
E. Haribabu (Hyderabad) P. Tandon
(Shillong)
Contd. next page
Indian Science News Association
President
Prof. B. B. Biswas
Vice-Presidents
Professor M. S. Swaminathan
Professor P. K. Ray
Professor Sankar Kumar Pal
Professor Alok Krishna Gupta
Professor Sibaji Raha
Professor S. K. Talapatra
Honorary Secretaries
Professor N. C. Datta
Professor Sudhendu Mandal
Honorary Treasurer
Professor Amalendu Bandyopadhyay
Council Members
Professor (Mrs.) Julie Banerji
Professor Kankan Bhattacharyya
Dr. Satyabrata Chakrabarti
Professor Manas Chakrabarty
Professor Dhrubajyoti Chattopadhyay
Dr. Manas Pratim Das
Dr. Dibyendu Ganguli
Dr. Balaram Majumder
Dr. Hemanta Kumar Majumder
Dr. Sisir Kumar Majumder
Professor Indranil Manna
Professor Biswapati Mukherjee
Dr. Gopeswar Mukherjee
Professor A. K. Pattanayak
Professor Siddhartha Ray
Dr. Amal Roy Chowdhury
Professor Milan K. Sanyal
Members of the Editorial Board are also
members of the Council
Cover : Trading as a scattering process
Physics of Financial Markets : a View from Barcelona
— Josep Perelló
...
386
Econophyiscs Research in China
— Tongkui Yu and Honggang Li
...
391
Econophysics in Poland
— Janusz Miskiewicz
´
...
395
Fundamental and Real-World Challenges in Economics
— Dirk Helbing and Stefano Balietti
...
399
Boltzmann Legacy and Wealth Distribution
— G. Toscani
...
418
Wealth Distributions in Asset Exchange Models
— P. L. Krapivsky and S. Redner
...
424
Statistical Mechanics of Money, Debt,
and Energy Consumption
— Victor M. Yakovenko
...
430
ARTICLES
How Simple Regulations can Greatly Reduce Inequality
— J. R. Iglesias
... 437
The Individual Income Distribution in Argentina in
the Period 2000-2009 : A Unique Source of Non
Stationary Data
— Juan C. Ferrero
...
444
Price Dynamics in Financial Markets : A Kinetic
Approach
— D. Maldarella and L. Pareschi
...
448
Are Large Complex Economic Systems Unstable?
— Sitabhra Sinha
...
454
Stock Volatility in the Periods of Booms and
Stagnations
— Taisei Kaizoji
...
459
On-line Trading as a Renewal Process : Waiting
Time and Inspection Paradox
— Jun-Ichi Inoue, Naoya Sazuka and
Enrico Scalas
...
466
Observed Choices and Underlying Opportunities
— Silvio Franz, Matteo Marsili and
Paolo Pin
...
471
...
477
...
478
INNER SPACE
Pardon My French — IncogRito
RESEARCH COMMUNICATION
Wealth Distribution : To be or not to be a Gamma?
—Mehdi Lallouache, Aymen Jedidi and
Anirban Chakraborti
Kinetic Exchange Models for Social Opinion Formation
— Mehdi Lallouache, Anirban Chakraborti
and Bikas K. Chakrabarti
... 485
BOOK REVIEW
— Satyesh Chandra Roy
NOTES AND NEWS
...
489
...
489
SCIENCE AND CULTURE
VOLUME 76 q SEPTEMBER-OCTOBER 2010 q NOS. 9–10
EDITORIAL
FIFTEEN YEARS OF ECONOPHYSICS RESEARCH
More than seventy five
years back, Prof. Prasanta
Chandra Mahalanobis
initiated a new and
pioneering experiment in
India, namely founding the
Indian Statistical Institute
(ISI), where essentially
statisticians, mathematicians
and social scientists
(including economists) would
work to provide the country
with data and models on
social dynamics. It has been a premier institution of the
country, contributing significantly to research and teaching
of mathematical and social sciences.
“Indian Statistical Institute (ISI) engages in the
research, teaching, and application of statistics to the
natural sciences and social sciences. Founded by
Professor P.C. Mahalanobis in Kolkata in 1931,
while statistics was a relatively new scientific field,
the institute gained the status of an Institution of
National Importance by an act of the Indian
Parliament in 1959. ... ISI is generally regarded as
being the best Indian school in the few areas of its
expertise namely statistics, mathematics, computer
science, quantitative economics, operations research
and information science and is considered to be one
of the few research oriented Indian schools at both,
the undergraduate and graduate level.”
— Wikipedia (June, 2010)
It was truly a remarkable experiment with resounding
success! In those days, both degrees awarded and subjects
taught in the social sciences used to be offered by the Arts
faculty, in most of the Universities (both Indian and
foreign). Social sciences, including economics, was mainly
considered until recently, to be part of Fine Arts, and not
Science (as mathematics, statistics or computer science). As
VOL. 76, NOS. 9–10
such, the ISI had been truly original, not a copy of any
European or American model institution (contrary to many
other institutions in India, established just before and after
the independence).
This pioneering and esteemed Institute of the country,
since its foundation, has remained however neglected by
the various science funding agencies like the Department of
Science & Technology (DST — funding basic research
institutions in natural sciences), Council of the Scientific &
Industrial Research (CSIR — funding applied research
institutions in natural sciences), or the Department of
Atomic Energy (DAE — funding major physical,
mathematical, biological basic research and teaching
institutions of the country), and has been funded essentially
by the Planning Commission of India. Many distinguished
academicians believe, it is not the most effective or
desirable situation, as the Planning Commission does not
support any other such basic research and teaching
Institutions of the country and does not even possess the
appropriate expertise or structure to do so!
In the global scenario of interdisciplinary scientific
research, dramatic changes started taking place since mideighties. Several distinguished researchers in natural
sciences and economics, started the Santa Fe Institute in
USA in 1984, where several Nobel laureates in physics,
biology and economics soon joined as adjunct faculty.
“The Santa Fe Institute is a non-profit research
institute located in Santa Fe (New Mexico, United
States) and dedicated to the study of complex
systems. It was founded in 1984 by George Cowan,
David Pines, Stirling Colgate, Murray Gell-Mann,
Nick Metropolis, Herb Anderson, Peter A.
Carruthers, and Richard Slansky. ...Current research
at the Institute focuses on a set of areas commonly
described as complex systems, including both
physical, evolutionary, and social systems.”
— Wikipedia (June, 2010)
293
Around this time, many universities started giving
economics degrees in science and even older universities
like those of Calcutta, Delhi were no exceptions! Soon,
many pioneering academies of the world started electing
distinguished social scientists and economists (along with
natural and biological scientists) as their fellows or
associates: For example, the Cambridge economist Prof.
Partha Dasgupta was elected as Foreign Associate of Royal
Swedish Academy of Sciences in 1991, of the US National
Academy of Sciences in 2001 and Fellow of the Royal
Society in 2004. This is just one example, and there are so
many examples of other Indian economists becoming
Fellows of distinguished science Academies of other
countries. This expertise immediately helped these
Academies and the agencies of their respective countries to
design, take appropriate steps and initiatives in various
major interdisciplinary researches. Contrastingly, none of
the Academies in Indian science have any economist
fellow! The same picture is naturally reflected in the expert
committees of the DST, CSIR, DAE, etc, who have failed to
undertake any significant initiative in the emergent and
important interdisciplinary research directions involving
natural and social sciences. As mentioned already, this is
clearly exemplified by the fact that the funding of the ISI
does not come from any of the science funding agencies of
the country. And all this even after seventy nine years of the
pioneering, novel and successful experiment in this country
at such a grand scale! In this connection, we may mention
that Dr. T. Ramasami, present Secretary of the DST and exDirector General of the CSIR, expressed (in a letter to one
of us) keen interest in initiating the S.S. Bhatnagar Prize for
Economic Sciences. Prof. S. K. Joshi, another ex-Director
General of CSIR, too strongly feels (as expressed to one of
us personally) the necessity of such an endeavor. Such a
prestigious prize in economics from CSIR, if instituted,
would clearly have profound impact not only in the
Economic sciences but also in the promotion of
interdisciplinary research involving natural and social
sciences.
Econophysics is a new research field, which makes an
attempt to bring economics in the fold of natural sciences or
specifically attempts for a “physics of economics”. The
term Econophysics was formally born in Kolkata in 1995.
The entry on Econophysics in The New Palgrave
Dictionary of Economics, 2nd Ed., Vol 2, Macmillan, NY
(2008), pp 729-732, begins with “... the term ‘econophysics’
was neologized in 1995 at the second Statphys-Kolkata
conference in Kolkata (formerly Calcutta), India ...”. The
Econophysics research therefore formally completes fifteen
years of research by the end of this year!
We believe, several important developments in
Econophysics research have already taken place in the last
one and half a decade. We now try to give a very brief
(incomplete and biased!) list of some developments: (i)
294
Empirical characterization, analyses and modeling of
financial markets – in particular, the deviation from
Gaussian statistics has been established, following the early
observations of Mandelbrot and Fama (1960s) – beginning
with the studies in 1990s by the groups of Stanley,
Mantegna, Bouchaud, Farmer and others. (ii) Network
models and characterization of market correlations among
different stocks/sectors by the groups of Mantegna, Marsili,
Kertesz, Kaski, Iori, Sinha and others. iii) Determination of
the income or wealth distributions in societies, and the
development of statistical physics models by the groups of
Redner, Souma, Yakovenko, Chakrabarti, Chakraborti,
Richmond, Patriarca, Toscani and others. The kinetic
exchange models of markets have now been firmly
established; this gained a stronger footing with the
equivalence of the maximization principles of entropy
(physics) and utility (economics) shown by the group of
Chakrabarti. (iv) Development of behavioral models, and
analyses of market bubbles and crashes by the groups of
Bouchaud, Lux, Stauffer, Gallegati, Sornette, Kaizoji and
others. (v) Learning in multi-agent game models and the
development of Minority Game models by the groups of
Zhang, Marsili, Savit, Kaski and others, and the optimal
resource utilization “Kolkata Paise Restaurant” (KPR)
model by the group of Chakrabarti. These have given
important insights in such multi-agent collective parallel
learning dynamics. In this context, it might be mentioned
that to our knowledge, the KPR model might be the only
model in Physics that is named after a city (namely
Kolkata). Considerable literature has developed out of these
and other studies [see the articles in this issue, and
references therein]. We had invited all the above-mentioned
groups and others to contribute their perspectives or views
on these developments, and we are happy that most of them
could. Unfortunately due to time constraints, several others
could not contribute. The importance and proliferation of
the interdisciplinary research of Econophysics is
highlighted in this special issue of Science & Culture,
which presents a collection of twenty nine papers (giving
country wise perspectives, reviews of the recent
developments and original research communications),
written by more than forty renowned experts in physics,
mathematics or economics, from all over the world.
We are glad that the entry on Econophysics in
Encyclopedia of Complexity & System Science, Vol. 3,
Springer, New York (2009) discusses some “influential”
papers (p. 2803) from the “Kolkata School” (p. 2808; pp.
2800-2826), which exemplifies the role played by the
Kolkata group of researchers in the development. Indeed it
is gratifying to see that the revered physics journal Reviews
of Modern Physics has published already their first review
on Econophysics, namely on “Statistical mechanics of
money, wealth, and income” by physicist Victor Yakovenko
and economist J. Barkley Rosser, Jr. (Reviews of Modern
SCIENCE AND CULTURE, SEPTEMBER-OCTOBER, 2010
Physics, Vol. 81 (2009) pp. 1703-1725), which again
highlights the contributions of the “Kolkata School”. The
unsatisfactory part of this marginal development in
Econophysics or for that matter in the interdisciplinary
researches in India has been the lack of any formal
institutional support for such researches in emerging areas.
Any such development intrinsically requires the
participation of young researchers from both the disciplines.
However, such topics are not a part of standard purview of
either physics or economics and hence, no research
fellowships or faculty positions are available in India yet.
This is also due to the unfortunate lack of formal
interactions between the communities of natural and social
sciences.
It may be also mentioned that now formal and
introductory courses in Econophysics are being offered by
many distinguished universities like the ETH Zurich, the
Casimir Research School, the Leiden University, and
others. It is notable that the first faculty position in
Econophysics has already been created in the Leiden
University in Netherlands. Needless to mention the
publications of several books, including the textbook
Econophysics: An Introduction by S. Sinha, A. Chatterjee,
A. Chakraborti and B.K. Chakrabarti (Wiley-VCH, Berlin,
2010) and monographs on Econophysics published by the
distinguished presses like Cambridge University Press (e.g.
Introduction to Econophysics, by R.N. Mantegna and H.E.
Stanley, CUP, Cambridge, 1999), Oxford University Press
(e.g., Theory of Financial Risk and Derivative Pricing:
From Statistical Physics to Risk Management, by J.-P.
Bouchaud and M. Potters, OUP, Oxford, 2003); Princeton
University Press (e.g., Why Stock Markets Crash: Critical
Events in Complex Financial Systems, by D. Sornette, PUP,
Princeton, 2003), Springer, Elsevier, etc.
It is remarkable that at the end of 2009, George Soros
funded the initiation of the Institute for New Economic
Thinking as a
“... think tank under the influence of the Financial
crisis of 2007-2010. It has Nobel laureates George
Akerlof, Sir James Mirrlees, A. Michael Spence and
Joseph Stiglitz in its advisory board, as well as other
top economists....” — Wikipedia (June, 2010)
With the backdrop of the present world economic
scenario, India, with its mighty economic growth rate and
position in Asia and the world, can hardly afford to remain
indifferent to such global initiatives in the emerging
interdisciplinary studies on the physical, computational and
mathematical analysis and modeling of social dynamics and
economics. This is all the more ironic in view of the
pioneering initiatives and researches in the ISI structure!
We now need even more vigorous efforts to create many
such interdisciplinary research and teaching institutions,
and university departments in the country to bring the
Indian physical, mathematical and social scientific
communities in a closer forum at the earliest; first to catch
up with the initiatives already taken elsewhere and
participate in the research and application developments at
an equal footing, and then to put India in a leading role.
Bikas K. Chakrabarti
Anirban Chakraborti
Bikas K. Chakrabarti is a senior professor of theoretical condensed matter physics at the Saha
Institute of Nuclear Physics (SINP), Kolkata, and a visiting professor of economics at the Indian
Statistical Institute, Kolkata, India. He received his doctorate in physics from Calcutta University
in 1979 (for research at SINP). Following postdoctoral positions at Oxford University and
Cologne University, he joined SINP in 1983. His main research interests include physics of
fracture, quantum glasses, etc., and the interdisciplinary sciences of optimization, brain
modelling, and econophysics. He has written several books (including publications by the Oxford
University Press, Springer & Wiley) and reviews (including three in the Reviews of Modern
Physics) on these topics. Professor Chakrabarti is a recipient of the S. S. Bhatnagar Award (1997),
a Fellow of the Indian Academy of Sciences (Bangalore) and of the Indian National Science
Academy (New Delhi). He has also received the Outstanding Referee Award of the American
Physical Society (2010).
Anirban Chakraborti has been an assistant professor at the Quantitative Finance Group, Ecole
Centrale Paris, France, since 2009. He received his doctorate in physics from Jadavpur University
in 2003 (for research at SINP). Following postdoctoral positions at the Helsinki University of
Technology, Brookhaven National Laboratory, and Saha Institute of Nuclear Physics, he joined
the Banaras Hindu University as a lecturer in theoretical physics in 2005. Statistical physics of the
travelling salesman problem, models of trading markets, stock market correlations, adaptive
minority games and quantum entanglement are his major research interests. He is a recipient of
the Young Scientist Medal of the Indian National Science Academy (2009).
Editor's Note : This issue has been sponsored in part by the Centre for Appl. Math. & Comp. Sc., Saha Institute of Nuclear Physics, Kolkata
VOL. 76, NOS. 9–10
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