Skip to main content
SpringerLink
Log in

An economic and financial exploratory

  • Regular Article
  • Published:
The European Physical Journal Special Topics Aims and scope Submit manuscript

Abstract

This paper describes the vision of a European Exploratory for economics and finance using an interdisciplinary consortium of economists, natural scientists, computer scientists and engineers, who will combine their expertise to address the enormous challenges of the 21st century. This Academic Public facility is intended for economic modelling, investigating all aspects of risk and stability, improving financial technology, and evaluating proposed regulatory and taxation changes. The European Exploratory for economics and finance will be constituted as a network of infrastructure, observatories, data repositories, services and facilities and will foster the creation of a new cross-disciplinary research community of social scientists, complexity scientists and computing (ICT) scientists to collaborate in investigating major issues in economics and finance. It is also considered a cradle for training and collaboration with the private sector to spur spin-offs and job creations in Europe in the finance and economic sectors. The Exploratory will allow Social Scientists and Regulators as well as Policy Makers and the private sector to conduct realistic investigations with real economic, financial and social data. The Exploratory will (i) continuously monitor and evaluate the status of the economies of countries in their various components, (ii) use, extend and develop a large variety of methods including data mining, process mining, computational and artificial intelligence and every other computer and complex science techniques coupled with economic theory and econometric, and (iii) provide the framework and infrastructure to perform what-if analysis, scenario evaluations and computational, laboratory, field and web experiments to inform decision makers and help develop innovative policy, market and regulation designs.

Graphical abstract

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  1. J.P. Bouchaud, Nature 455, 1181 (2008)

    Article  ADS  Google Scholar 

  2. J.D. Farmer, D. Foley, Nature 460, 685 (2009)

    Article  ADS  Google Scholar 

  3. T. Lux, F. Westerhoff, Nature Physics 5, 2 (2009)

    Article  ADS  Google Scholar 

  4. D. Sornette, R. Woodard, Proceedings of APFA7 (Applications of Physics in Financial Analysis), New Approaches to the Analysis of Large-Scale Business and Economic Data, edited by M. Takayasu, T. Watanabe, H. Takayasu, (Springer, 2010) (http://arxiv.org/abs/0905.0220)

  5. D. Sornette, R. Woodard, M. Fedorovsky, S. Riemann, S. Reimann, H. Woodard, W.X. Zhou, The Financial Crisis Observatory (2010)

  6. F. Giannotti, Europhys. J. Special Topics 214, 49 (2012)

    Google Scholar 

  7. R.J. Caballero, J. Econom. Persp. 24, 85 (2010)

    Article  MathSciNet  Google Scholar 

  8. L. Vogel, DG Economic and Financial Affairs. European Commission (2010)

  9. A. Conte, A. Labat, J. Varga, Z. Zarnic, Economic Papers 413. Brussels, European Commission, Directorate-General for Economic and Financial Affairs (2010)

  10. J. Trichet, Opening address at the ECB Central Banking Conference, Frankfurt, 18 November 2010, http://www.ecb.int/press/key/date/2010/html/sp101118.en.html (2010)

  11. A. Turner, Industrial Corporate Change 19, 1317 (2010)

    Article  Google Scholar 

  12. T. Seidel, J. Hartwig, R.L. Sanders, D. Helbing, edited by C. Blum, D. Merkle, Swarm Intelligence Introduction and Applications (Springer, Berlin, 2008), p. 219

  13. M. Buchanan, Nature 460, 680 (2009)

    Article  Google Scholar 

  14. P. Ball, New Scientist 208, 48 (2010)

    Article  Google Scholar 

  15. S. Cincotti, M. Raberto, A. Teglio, Economics-The Open Access Open-Assessment E-Journal 4 (2010)

  16. L. Ponta, M. Raberto, S. Cincotti, Europhys. Lett. 93, 29002 (2011)

    Article  Google Scholar 

  17. F. Schweitzer, D. Helbing, Adv. Complex Sys. 4, 1 (2001)

    Article  Google Scholar 

  18. A. Krawiecki, J.A. Holyst, D. Helbing, Phys. Rev. Lett. 89, 158701 (2002)

    Article  ADS  Google Scholar 

  19. D. Sornette, A. Helmstetter, Physica A 318, 577 (2003)

    Article  ADS  MATH  Google Scholar 

  20. D. Sornette, Y. Malevergne, J. Muzy, Risk 16, 67 (2003)

    Google Scholar 

  21. Y. Malevergne, D. Sornette, Extreme Financial Risks. From Dependence to Risk Management (Springer, Heidelberg, 2006)

  22. C. Hommes, in Hand-book of Computational Economics Agent-Based Computational Economics, edited by L. Tesfatsion, K.L. Judd (Elsevier Science B.V., 2006), vol. 2, p. 1109

  23. M. Wyart, J. Bouchaud, J. Econom. Behav. Organiz. 63, 1 (2007)

    Article  Google Scholar 

  24. A. Johansen, D. Sornette, Brussels Economic Review (Cahiers economiques de Bruxelles) (http://arXiv.org/abs/cond-mat/0210509) 53, 201 (2010)

    URL  Google Scholar 

  25. S. Pastore, L. Ponta, S. Cincotti, New J. Phys. 12, 53035 (2010)

    Article  Google Scholar 

  26. L. Ponta, S. Pastore, S. Cincotti, Nonlinear Analysis: Real World Applications 12, 1235 (2011)

    Article  MathSciNet  MATH  Google Scholar 

  27. G. Harras, D. Sornette, J. Econom. Behav. Organiz. 80, 137 (2011)

    Article  Google Scholar 

  28. V. Filimonov, D. Sornette, Phys. Rev. E (http://ssrn.com/abstract=1998832) (submitted) (2012) has now appeared as V. Filimonov and D. Sornette, Phys. Rev. E 85, 056108 (2012)

    Article  URL  ADS  Google Scholar 

  29. C. Reinhart, K. Rogoff, NBER Working Paper 13882, March 2008, 2012-27 (2008)

  30. Knowledge@Wharton (http://knowledge.wharton.upenn.edu/article.cfm?articleid=2234) (2009)

  31. P. Krugman, The New York Times September 6 (2009)

  32. A. Kirman, CESifo Economic Studies 56, 498 (2010)

    Article  Google Scholar 

  33. F. Schweitzer, G. Fagiolo, D. Sornette, F. Vega-Redondo, A. Vespignani, D.R. White, Science 325, 422 (2009)

    MathSciNet  ADS  MATH  Google Scholar 

  34. F. Schweitzer, G. Fagiolo, D. Sornette, F. Vega-Redondo, D.R. White, Adv. Complex Syst. 12, 407 (2009)

    Article  MathSciNet  Google Scholar 

  35. D. Helbing, S. Balietti, Sci. Culture 76, 399 (2010)

    Google Scholar 

  36. A.G. Haldane, R.M. May, Nature 469, 351 (2011) 0028

    Article  ADS  Google Scholar 

  37. X. Gabaix, Econometrica 79, 733 (2011)

    Article  MathSciNet  MATH  Google Scholar 

  38. Y. Malevergne, P. Santa-Clara, D. Sornette, NBER Working Paper No. 15295 http://ssrn.com/abstract=1458280 (2009)

  39. K.J. Arrow, R. Forsythe, M. Gorham, R. Hahn, R. Hanson, J.O. Ledyard, S. Levmore, R. Litan, P. Milgrom, F.D. Nelson, et al., Science 320, 877 (2008)

    Article  Google Scholar 

  40. C. Hommes, J. Econom. Dyn. Control 35, 1 (2011)

    Article  MathSciNet  ADS  MATH  Google Scholar 

  41. P. Heemeijer, C. Hommes, J. Sonnemans, J. Tuinstra, J. Econom. Dyn. Control 33, 1052 (2009), Workshop on Complexity in Economics and Finance, Leiden, The Netherlands, Oct. 22–27 (2007)

    Article  MathSciNet  MATH  Google Scholar 

  42. B.A. Huberman, D. Helbing, Europhys. Lett. 47, 196 (1999)

    Article  ADS  Google Scholar 

  43. D. Helbing, New J. Phys. 5 48.1 (2003)

    Article  Google Scholar 

  44. D. Helbing, S. Lammer, T. Seidel, P. Seba, T. Platkowski, Phys. Rev. E 70 066116 (2004)

    Article  ADS  Google Scholar 

  45. D. Helbing, S. Lammer, U. Witt, T. Brenner, Phys. Rev. E 70 056118 (2004)

    Article  ADS  Google Scholar 

  46. T. Nagatani, D. Helbing, Physica A 335, 644 (2004)

    Article  MathSciNet  ADS  Google Scholar 

  47. S. Lammer, R. Donner, D. Helbing, Eur. Phys. J. B 63, 341 (2008)

    Article  MathSciNet  ADS  Google Scholar 

  48. R. Sipahi, S. Lmmer, D. Helbing, S.-I. Niculescu, J. Dyn. Syst. Measurement Control 131, 021005 (2009)

    Article  Google Scholar 

  49. R. Axelrod, L. Tesfatsion, in Handbook of Computational Economics: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Kenneth L. Judd (2006), vol. 2, p. 1647

  50. R. Lucas, J. Bus. 59, 401 (1986)

    Article  Google Scholar 

  51. Commission of the European Communities, Directorate General Economic and Financial Affairs: The EU Economy, 2006 Review: Adjustment Dynamics in the EURO Area, Experiences and Challenges, Brussels, 22. November 1996, ECFIN, REP.56908-EN (2006), p. 232

  52. J. Epstein, Generative Social Science: Studies in Agent-Based Computational Modeling (Princeton University Press, Princeton, 2007)

  53. S. Cincotti, M. Raberto, A. Teglio, International Economic Association, edited by M. Aoki, K. Binmore, S. Deakin, H. Gintis, Palgrave Macmillan, New York (NY), USA (2012)

  54. M. Raberto, A. Teglio, S. Cincotti, Comput. Econom. (2008)

  55. M. Raberto, A. Teglio, S. Cincotti, Lect. Notes Econom. Math. Syst. Springer 614, 55 (2008)

    Article  MathSciNet  Google Scholar 

  56. M. Raberto, A. Teglio, S. Cincotti, Economics, The Open-Access, Open-Assessment E-Journal 2012-27 (2012)

  57. A. Teglio, M. Raberto, S. Cincotti, vol. 631 of Lecture Notes in Economics and Mathematical Systems, chapter 12 (Springer Verlag, 2009), p. 145

  58. A. Teglio, M. Raberto, S. Cincotti, vol. 77 of Advances in Intelligent and Soft Computing (Springer Berlin / Heidelberg, 2010), p. 603

  59. A. Teglio, M. Raberto, S. Cincotti, vol. 645 of Lecture Notes in Economics and Mathematical Systems (Springer Berlin Heidelberg, 2010), p. 203

  60. A. Teglio, M. Raberto, S. Cincotti, vol. 652 of Lecture Notes in Economics and Mathematical Systems (Springer Berlin Heidelberg, 2011), p. 41

  61. A. Teglio, M. Raberto, S. Cincotti, Adv. Complex Syst. 1250040 (2012)

  62. T. Preis, D. Reith, H.E. Stanley, Philosoph. Trans. Royal Soc. A 368, 5707 (2010)

    Article  ADS  MATH  Google Scholar 

  63. T. Preis, H.E. Stanley, Physics World 24, 29 (2011)

    Google Scholar 

  64. T. Preis, Eur. Phys. J. Special Topics 194, 5 (2011)

    Article  ADS  Google Scholar 

  65. T. Preis, J.J. Schneider, H.E. Stanley, Proc. Nat. Acad. Sci. 108, 7674 (2011)

    Article  ADS  Google Scholar 

  66. O. Issing, J. Asmussen, J. Krahnen, K. Regling, J. Weidmann, W. White, CFS White Paper No. II (2009)

  67. S. Morris, H. Shin, Brookings Panel Econom. Activity 2, 229 (2008)

    Google Scholar 

  68. M.K. Brunnermeier, J. Econom. Persp. 23, 77 (2009)

    Article  Google Scholar 

  69. C. Cox, Letter to Basel Committee in Support of New Guidance on Liquidity Management (March 20, 2008)

  70. A. Crockett, General Manager of the Bank for International Settlements and Chairman of the Financial Stability Forum, before the Eleventh International Conference of Banking Supervisors, held in Basel, 20-21 September 2000, Remarks by Mr Andrew Crockett (2000)

  71. S.V. Buldyrev, R. Parshani, G. Paul, H.E. Stanley, S. Havlin, Nature 464, 1025 (2010)

    Article  ADS  Google Scholar 

  72. J. Lorenz, S. Battiston,Networks Heterogeneous Media 3, 185 (2008)

    Article  MathSciNet  MATH  Google Scholar 

  73. S. Battiston, D.D. Gatti, M. Gallegati, B. Greenwald, J.E. Stiglitz, J. Econom. Dyn. Control 31, 2061 (2007)

    Article  MATH  Google Scholar 

  74. S. Battiston, D.D. Gatti, M. Gallegati, B. Greenwald, J.E. Stiglitz, J. Econom. Dyn. Control 36, 1121 (2012), Quantifying and Understanding Dysfunctions in Financial Markets

    Article  Google Scholar 

  75. S. Battiston, D.D. Gatti, M. Gallegati, B. Greenwald, J.E. Stiglitz, J. Financial Stability 8, 138 (2012), The Financial Crisis of 2008, Credit Markets and Effects on Developed and Emerging Economies

    Article  Google Scholar 

  76. D.D. Gatti, C. Guilmi, E. Gaffeo, G. Giulioni, M. Gallegati, A. Palestrini, J. Econom. Behavior Organiz. 56, 489 (2005)

    Article  Google Scholar 

  77. J. Danielsson, J. Zigrand, Published, Economic Theory, 35/2. This is the seminal paper that first models endogenous risk theoretically and relates it to the regulation of systemic risk (working paper 2002), Remarks by Mr Andrew Crockett (2008)

  78. G.D. Masi, G. Iori, G. Caldarelli, Phys. Rev. E 74, 066112 (2006)

    Article  ADS  Google Scholar 

  79. G. Caldarelli, Scale-free Networks (Oxford Unversity Press, 2007)

  80. D. Helbing, A. Deutsch, S. Diez, K. Peters, Y. Kalaidzidis, K. Padberg-Gehle, S. Laemmer, A. Johansson, G. Breier, F. Schulze, M. Zerial, Adv. Complex Syst. 12, 533 (2009)

    Article  Google Scholar 

  81. L. Lin, R. Ren, D. Sornette, Quantitative Finance (http://arxiv.org/abs/0905.0128) (2009)

  82. D. Sornette, Int. J. Terraspace Sci. Eng. (http://arXiv.org/abs/0907.4290) 2, 1 (2009)

    URL  Google Scholar 

  83. D. Sornette, R. Woodard, W.-X. Zhou, Physica A 388, 1571 (2009)

    Article  ADS  Google Scholar 

  84. D. Sornette, R. Woodard, M. Fedorovsky, S. Riemann, H. Woodard, W.-X. Zhou, The Financial Crisis Observatory (2009)

  85. R. Woodard, D. Sornette, M. Fedorovsky, Volume III (beginning of experiment + post-mortem analysis) (http://arxiv.org/abs/1011.2882) (2010)

  86. M. Woodford, Econometrica 58, 277 (1990)

    Article  MathSciNet  MATH  Google Scholar 

  87. G. Teyssiere, A. Kirman, Long Memory in Economics (Springer Verlag, Heidelberg, 2006)

  88. C.P. Kindleberger, Manias, Panics, and Crashes: A History of Financial Crises (New York: Wiley, 1988)

  89. G. Nuti, M. Mirghaemi, P. Treleaven, C. Yingsaeree, Algorithmic Trading (IEEE Computer, January, 2011)

  90. C. Yingsaeree, G. Nuti, P. Treleaven, IEEE Computer 36, 43 (2010)

    Google Scholar 

  91. J. Farmer, M. Gallegati, C. Hommes, A. Kirman, P. Ormerod, S. Cincotti, A. Sanchez, D. Helbing, Eur. Phys. J. Special Topics 214, 295 (2012)

    Google Scholar 

  92. S. Bishop, D. Al-Khudhairy, K. Axhausen, D. Herrmann, B. Hu, W. Kröger, T. Lewis, J. MacIntosh, A. Nowak, et al., Eur. Phys. J. Special Topics 214, 571 (2012)

    Google Scholar 

  93. S. Havlin, et al., Eur. Phys. J. Special Topics 214, 273 (2012)

    Google Scholar 

  94. D. Sornette, S. von der Becke, Foresight Driver Review – DR7, Government Office for Science, 2nd Floor, 1 Victoria Street, London SW1H 0ET, United Kingdom (http://ssrn.com/abstract=1976249) (2011)

  95. Computational Science, Wikipedia, the free encyclopedia (http://en.wikipedia.org/wiki/ComputationalScience) (2006)

  96. H. Kitano, Nature 420, 206 (2002)

    Article  ADS  Google Scholar 

  97. H. Pan, D. Sornette, K. Kortanek, Quanti. Finance 6, 273 (2006)

    Article  MathSciNet  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. University of Genoa, Genoa, Italy

    S. Cincotti

  2. ETH Zurich, Zurich, Switzerland

    D. Sornette

  3. University College London, London, UK

    P. Treleaven

  4. ETH Zurich, Zurich, Switzerland

    S. Battiston

  5. IMT Alti Studi Lucca and ISC-CNR Rome, Rome, Italy

    G. Caldarelli

  6. CeNDEF, University of Amsterdam, Amsterdam, The Netherlands

    C. Hommes

  7. GREQAM Marseille, Marseille, France

    A. Kirman

Authors
  1. S. Cincotti
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. D. Sornette
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. P. Treleaven
    View author publications

    You can also search for this author in PubMed Google Scholar

  4. S. Battiston
    View author publications

    You can also search for this author in PubMed Google Scholar

  5. G. Caldarelli
    View author publications

    You can also search for this author in PubMed Google Scholar

  6. C. Hommes
    View author publications

    You can also search for this author in PubMed Google Scholar

  7. A. Kirman
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding authors

Correspondence to S. Cincotti, D. Sornette, P. Treleaven, S. Battiston, G. Caldarelli, C. Hommes or A. Kirman.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Cincotti, S., Sornette, D., Treleaven, P. et al. An economic and financial exploratory. Eur. Phys. J. Spec. Top. 214, 361–400 (2012). https://doi.org/10.1140/epjst/e2012-01699-6

Download citation

  • Received:

  • Revised:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1140/epjst/e2012-01699-6

Keywords

Search

Navigation