Prozesu estokastikoak fisikan eta ekonomian: higidura browndarretik finantza-merkatuen ereduetara

Abstract

In recent times, numerous research groups have used methods developed in physics to analyse the market behaviour. In fact, the universality of some simple statistical characteristics in the markets is noticeable: several financial variables (such as the probability distributions of stock returns) show scale invariance. These scale-free phenomena are relevant to different areas of physics. Thus, for physicists, economic research has become the study of a wealth of data on a well-defined complex system. One of the most important analysis methodologies is based on the use of stochastic processes. In fact, in the case of some complex physical systems with universal characteristics, deterministic models are not useful. From the parallelism between both areas, therefore, it would be fair to introduce the stochastic approach in the economic field and thus, model a stochastic market. In other words, it is possible to create independently a physical model and an economic model, using the same mathematical concept.