SEMCIÊNCIA

É uma estranha coincidência que o livro de Charles Galton Darwin ( The Next Million Years ) tenha surgido quase simultaneamente com o clássico Fundação de Isaac asimov. Será que houve influência mútua? Update: Parece que Darwin leu Asimov, pois os contos foram publicados a partir de 1942: Foundation was originally a series of eight short stories published in Astounding Magazine between May 1942 and January 1950. According to Asimov, the premise was based on ideas set forth in Edward Gibbon 's History of the Decline and Fall of the Roman Empire , and was invented spontaneously on his way to meet with editor John W. Campbell , with whom he developed the concept. [2] Original trilogy The first four stories were collected, along with a new story taking place before the others, in a single volume published by Gnome Press in 1951 as Foundation . The remainder of the stories were published in pairs as Foundation and Empire (1952) and Second Foundation (1953), resulting in the ...

A recente queda do IBOVESPA de 19.9% desde seu record histórico foi prevista por Didier Sornette? Wednesday, June 02, 2010 Econophysicist Accurately Forecasts Gold Price Collapse The first results from the Financial Bubble Experiment will have huge implications for econophysics There are good reasons to think that stock markets are fundamentally unpredictable. Many econophysicists believe for example, that the data from these markets bear a startling resemblance to other data from seemingly unconnected phenomena, such as the size of earthquakes, forest fires and avalanches, which defy all efforts of prediction.  Some go as far as to say that these phenomena are governed by the same fundamental laws so that if one is unpredictable, then they all are.  And yet financial markets may be different. Last year, this blog covered an extraordinary forecasts made by Didier Sornette at the Swiss Federal Institute of Technology in Zurich, who declared that the Shanghia Composite Index was a bubble...

Parodiando Engels, "todo economista vivo é escravo de um físico morto". A questão não é se novas idéias e conceitos físicos podem ser aplicados às ciências econômicas e sociais, mas por que os velhos conceitos da física newtoniana ("equilíbrio", "forças" econômicas, "tensão" social etc.) permanecem no discurso sócio-econômico. The (unfortunate) complexity of the economy Jean-Philippe Bouchaud (Submitted on 6 Apr 2009) This article is a follow-up of a short essay that appeared in Nature 455, 1181 (2008) [ arXiv:0810.5306 ]. It has become increasingly clear that the erratic dynamics of markets is mostly endogenous and not due to the rational processing of exogenous news. I elaborate on the idea that spin-glass type of problems, where the combination of competition and heterogeneities generically leads to long epochs of statis interrupted by crises and hyper-sensitivity to small changes of the environment, could be metaphors for the complexity of ec...

Forecasting Financial Crashes: The Ultimate Experiment Begins Posted: 04 Nov 2009 09:00 PM PST If a new technique for predicting crashes really works, a bold new experiment will measure how well. Is it really possible to predict the end of financial bubbles? Didier Sornette at the Swiss Federal Institute of Technology in Zurich thinks so and has set up the Financial Crisis Observatory at ETH to study the idea. We've looked at his extraordinary predictions before. Earlier this year, he identified a bubble in the Shanghai Composite Index and much to this blog's surprise, forecast its end with remarkable accuracy. But as many people pointed out, the problem with this kind of forecast is that it is difficult interpret the results. Does it really back Sornette's hypothesis that crashes are predictable? How do we know that he doesn't make these predictions on a regular basis and only publicise the ones that come true? Or perhaps he modifies them as the due date gets closer ...

Roberto Takata do blog Gene Reporter não gostou do meu post sobre o fato de que a "mão invisível" de Adam Smith é um caso especial e não geral em dinâmicas competitivas. Como eu gosto de debater com o Takata, que é um cara bastante perspicaz, reproduzo aqui o artigo original do Robert H. Frank no New York Times. Acho que Roberto está certo em observar de que a teoria de jogos pode mostrar que o mercado é irracional. Mas como a teoria de jogos também tem sido aplicada à dinâmica evolucionária, talvez economia e ecologia sejam duas instâncias de uma teoria mais geral de dinâmicas competitivo-cooperativas. Me parece que Frank cita Darwin não a partir de sua teoria biológica específica, mas sim pelo fato de que Darwin enxergou melhor que Adam Smith o fenômeno da Corrida da Rainha Vermelha, ou seja, de que o que é importante não são os patamares absolutos de desempenho mas sim o diferencial competitivo entre os agentes, o que genericamente implica em maiores custos para apenas se...

A I Escola e Conferência em Modelagem Computacional será realizada no Departamento de Física e Matemática (DFM ) da Faculdade de Filosofia, Ciências e Letras de Ribeirão Preto ( FFCLRP-USP ) da Universidade de São Paulo, nos dias 24, 25 e 26 de junho de 2009. O evento agrupará uma audiência multidisciplinar de especialistas, jovens pesquisadores, estudantes de graduação e pós-graduação. A Escola será composta por três mini-cursos, cujo intuito é ensinar técnicas que sejam úteis a todos os pesquisadores que trabalhem com modelagem computacional, independentemente de sua área de pesquisa. A Conferência, composta por vinte palestras, objetiva propiciar a divulgação de vários temas de pesquisa, por pesquisadores de diferentes instituições, bem como sua discussão com o público presente. Por sua vez, as duas sessões de pôsteres darão oportunidade a alunos de graduação e pós-graduação para apresentarem seus trabalhos de pesquisa, r...

A mathematical proof of the existence of trends in financial time series Authors: Michel Fliess (LIX, INRIA Saclay - Ile de France), Cédric Join (INRIA Saclay - Ile de France, CRAN) (Submitted on 14 Jan 2009) Abstract: We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in the language of nonstandard analysis (Integration over finite sets, F. & M. Diener (Eds): Nonstandard Analysis in Practice, Springer, 1995, pp. 195--204). Those trends, which might coexist with some altered random walk paradigm and efficient market hypothesis, seem nevertheless difficult to reconcile with the celebrated Black-Scholes model. They are estimated via recent techniques stemming from control and signal theory. Several quite convincing computer simulations on the forecast of various financial quantities are depicted. We conclude by discussing the rôle of proba...

Eu realmente nao sei com esse cara arranja tempo para postar com tanta frequência... the physics arXiv blog How the credit crisis spread Posted: 14 Jan 2009 03:17 AM PST Where did the credit crunch start? According to Reginald Smith at the Bouchet-Franklin Research Institute in Rochester, it began in the property markets of California and Florida in early 2007 and is still going strong. To help understand how the crisis has evolved, Smith has mapped the way it has spread as reflected in the stock prices of the S&P 500 and NASDAQ-100 companies. The picture above shows how the state of affairs changed between August 2007 and October 2008. Each dot represents a stock price and the colour, its return (green equals bad and red equals catastrophic). Smith says the problems first emerged in housing stocks, soon followed by finance stocks then mainstream banks before hitting stocks across the board. The graphic may be dramatic but it shows only how the collapse occurred, not why. That’s m...

Com certeza sim.  E talvez, com sua sucessão de euforias (bolhas) e depressões, parece ser maníaco-depressivo...

Do NYT :  This Economy Does Not Compute Mark Buchanan, a theoretical physicist, is the author, most recently, of “The Social Atom: Why the Rich Get Richer, Cheaters Get Caught and Your Neighbor Usually Looks Like You.” A FEW weeks ago, it seemed the financial crisis wouldn’t spin completely out of control. The government knew what it was doing — at least the economic experts were saying so — and the Treasury had taken a stand against saving failing firms, letting Lehman Brothers file for bankruptcy. But since then we’ve had the rescue of the insurance giant A.I.G., the arranged sale of failing banks and we’ll soon see, in one form or another, the biggest taxpayer bailout of Wall Street in history. It seems clear that no one really knows what is coming next. Why? Well, part of the reason is that economists still try to understand markets by using ideas from traditional economics, especially so-called equilibrium theory. This theory views markets as reflecting a balance of forces, and sa...

Olá, Renato Vicente, que foi o quarto orientado de Nestor Caticha (eu fui o primeiro, Mauro Copelli o segundo e Silvia Kuva o terceiro), vai dar um seminário aqui no departamento sobre séries temporais econômicas (não sei se ele chamaria isso de econofísica). "Visualizing Long Term Economic Relationships with Cointegration Maps" Prof. Dr. Renato Vicente - EACH-USP Data: 15 de março de 2007 (quinta-feira) - às 14 horas Local: Sala 25 do Bloco Didático das Exatas - FFCLRP-USP Link: http://www.ffclrp.usp.br/divulgacao/dfm/ColoquiosDFM-03.pdf Informações: Secretaria do DFM - ramal 3693 - dfm-secretaria@ffclrp.usp.br Figura: foi a única que achei fazendo a busca Renato Vicente no Google Images; retirada daqui (ele cita o índice de Hirsh individual h_i!).

The formula is T = 1/N \sum (x_i/[x] ) ln (x_i/[x] ) where x_i is the income of the ith person, [x] is the mean income (não consigo colocar overbar ou brackets aqui), and N is the number of people. The first term inside the sum can be considered the individual's share of aggregate income, and the second term is that person's income relative to the mean. If everyone has the same (i.e., mean) income, then the index = 0. If one person has all the income, then the index = lnN. The Theil index is derived from Shannon 's measure of information entropy . Letting T be the Theil Index and S be Shannon's information entropy measure,T = ln(N) − S. Shannon derived his entropy measure in terms of the probability of an event occurring. This can be interpreted in the Theil index as the probability a dollar drawn at random from the population came from a specific individual. This is the same as the first term, the individual's share of aggregate income. Theil's index takes an ...