EKONOFISIKA a new research field in physics which take advantage of the laws and theories of physics to study the dynamic development of economic sectors. I was so new, Physical Review, a leading physics journal in America, at first reluctant to publish the results of research in this field. Just a few years ago Physical Review gradually changed his mind after seeing the publicity onslaught ekonofisika by some other physics journals in Europe. In fact, the term itself is not too raw ekonofisika because some scientific communities are still often refer to this field as phynance (an abbreviation of the physics of finance). However, the term used ekonofisika look more consistent when compared with other areas which overlaps with physics, such as biophysics, geophysics, astrophysics, or a completely unrelated like metafisika.Banyak thing that makes physicists interested in this field and feel challenged to take part, among others, is the abundance of quantitative data in various economic sectors (high frequency) are almost exclusively analyzed by conventional statistics. Latest developments in physics (especially statistical physics) and support the increasingly sophisticated computer technology has helped generate a new mechanism to analyze the data.
The inclusion of doctoral-doctoral physics into the stock market as Wall Street and other financial institutions like Goldman Sachs, Merrill Lynch or-even insurance companies, also like a booster rocket for progress in this field. Why not, with income per year is $ 100,000 dollars for a beginner and could reach half a million dollars to those who have started a professional, this field looks more promising than they have to compete with hundreds of physics genius to fight one of the few positions in universities or research laboratories . However, how exactly the two areas are very far apart can collaborate?
History shows that the interest in this field had begun about a hundred years ago, precisely in 1900 when a graduate student at the University Sorborne Paris, Louis Bachelier, writing his doctoral thesis with the title Theory of Speculation. Within the thesis, Bachelier proposed a mathematical model for the data preparation process stikastik method of profit, profit.
Bachelier model uses the theory of Brownian motion, random motion of particles in the fluid, which explains the performance of stock and showing the distribution of profits in the form of a Gaussian (bell-shaped). Although adult studies show a significant deviation of the model, Bachelier ideas continue to be used and even the basic assumptions of the Black-Scholes theory (a mathematical model for option-pricing developed by Fischer Black and Myron Scholes in 1973) .
More than 60 years later, Benoit Mandelbrot, fractal geometry expert, conducted a study on the traded treasure that time and discovered an interesting fact that the distribution of profits to a different time scale shows the similarity or universal form. This discovery became one of the research topic now-incessant incessantly performed in the United States to predict the development of stock prices.
Compared with the data used by Mandelbrot that time (only about 2000 data) the amount of data available today is overwhelming. Research conducted by a group of Boston University and Massachusetts Institute of Technology (MIT), for example, uses about 40 million records taken stock price data for five-minute intervals from about 1000 types of top stocks in America. This amount represents a fantastic figure who has attracted physicists, but not the worst compared to the amount of DNA that has been investigated with the same technique that reached about three billion. Currently biologists have learned that the entire DNA was observed only three percent of it has meaning, the rest is often referred to as junk DNA or non-coding DNA. Physicists from Boston University using the same technique to search for a phenomenological properties of such junk DNA.
Physicists working in the field of ekonofisika hope to localize and describe such an economic catastrophe that occurred on October 19, 1987 is often called "black Monday, when the drastic decline of seed stocks in the United States.
In fact, according to Eugene Stanley, a professor of physics at Boston University, the results of research in this field is expected to prevent us from disasters such as the monetary crises that hit Indonesia a few years ago, which is one example of the fluctuation of economic development. Furthermore, he argues, precisely tersebutlah fluctuations which become an attraction for physicists to participate actively in the economic field, because the phenomenon itself fluctuations often encountered in physics.
In the solid-state physics, the term critical phenomenon is no longer new. For example, a piece of magnetic material would be reduced if the temperature is increased magnetisasinya power. If the temperature continues to increase, magnetisasinya power will be lost at a certain point and, most important, at which point the magnetization power will drop drastically towards zero price for a very small increase in temperature.
Critical phenomenon occurs because the constituents of the system to respond cooperatively to even small disturbances. In our country critical phenomena almost hit all sectors of the economy when the monetary crisis. The easiest example is the current stock price decline was due almost all the shareholders at the same time want to sell their shares, or nearly bankrupt BCA cooperatively by all the clients pulling their savings and deposits. The study of critical phenomena has been very intensive in the field of solid-state physics, the problem now is how to apply techniques that have been developed to investigate the fluctuations of economic development.
At least there are two approaches used to study the fluctuations or dynamic development of economic sectors, namely data analysis and model ekonofisika. Data analysis can also be called a statistical physics model for using statistical techniques in physics. Of course, economists are already familiar with the statistics, but statistics in physics has unique because the method has been developed over a hundred years and can be used to explain natural phenomena. The second method utilizing physical models that have proven successful and has many applications in the world of science and technology.
Data analysis
In the physical sciences, statistical methods (more precisely called statistical physics) will be used if we are dealing with the problem of interaction antarsub-unit with a very large number, while individual interactions antarsub-unit itself is very difficult to explain. Thus, this method gives a prediction of the collective nature of the collection of sub-units. The criticism leveled by scientists on the validity of this method involves the use of physical methods in the social problems are said to have the number of sub-units is very limited.
On the thermodynamics, statistical physics where very successful to explain natural phenomena, the number of sub-units which are discussed generally able to achieve the rank of number ten and twenty (there are twenty zeros after the number one). However, computer simulations for gas and liquid have shown excellent results for systems consisting of only 20 to 30 atoms, which indicates that this method should be working for small systems.
Another criticism is related to differences between humans and the system of particles (electrons, nucleons, atoms, or molecules) that discussed statistical physics, because man is said to have the adaptability to economic fluctuations, while the collection of particles will continue to dutifully follow the law of nature if there is fluctuation in the surrounding circumstances. This criticism was not entirely true, because research with statistical physics methods proved quite successful when applied to the problem of non-coding DNA, the human lung inflation, the heartbeat interval, even on issues of urban development and some properties of animals, which of course has the power individual adaptation to anticipate the changes that occur with the environment.
Currently, analysis of data within the ekonofisika mostly centered on the S & P 500 index, one index at the stock exchange in New York that consists of 500 leading companies that are considered as a representation of the American economy. The data analyzed is usually a term of more than 10 years with a sample frequency of up to one minute. Other data used are stock prices in various countries, the U.S. dollar exchange rates for some types of currency, and even the GDP of each country. In general, these data show a sharp tendency to increase with high frequency fluctuations at some point.
From these data a lot of things that can be investigated. First, and perhaps the most intensive, are time-scaling properties. More than 30 years ago, Mandelbrot discovered that the distribution of gains from the sale of cotton for different time intervals showed a similar functional form. This property is called the researchers as a time-scaling properties. Time-scaling was also shown by the S & P 500 index after the sample is observed for frequencies between one minute to a month. Until now, this property is believed to be a universal phenomenon of complex systems, with the economic sector is one element. To strengthen this suspicion, the researchers also studied the index of other stocks such as Hang Seng Index and NIKKEI. The same phenomenon was also observed for both types of stock index.
Other interesting aspects to be investigated is the volatility. Volatility indicates a stock to fluctuate opportunities that can be attributed to the amount of incoming information at any time. Volatility can be estimated for example from an absolute price advantage on average. In general, research results showed that the cumulative distribution ekonofisika volatility shows a power-law asymptotic properties. From about 16 000 shares in America observed, a group of Boston University, MIT, and University of Chicago found the analogy between the volatility of shares with the classical diffusion process of the spread of spilled ink which is determined by two microscopic quantities of inter collision frequency (which in this case is analogous to the stock) and the impact of the collision. Nevertheless, the analogy is not really exact because the stock price movement is a complex diffusion.
Antarsaham cross correlation is also an interesting part of the data analysis. No doubt if the two companies in the world are inter-correlated. In fact, two companies from different sectors can be correlated through a correlation even if indirectly. Could we studied the correlation of hundreds or thousands of stocks from different sectors, while the interaction between the two stocks alone can not fully be explained?
The answer has been given by Wigner, a nuclear physicist (atomic nuclei), in 1950. At that nuclear experts were puzzled when faced with abundant energy spectrum data from the nucleus-nucleus complex, because no single model that can explain these data.
Wigner solve this problem by assuming that the interaction antarnukleon (composer of the nucleus) is very complex and can not be understood anymore so can diangggap are random (random). Inside the physics theory of interaction in a system expressed by the Hamiltonian operator. Wigner then suggested that the Hamiltonian describing the system of complex-shaped nucleus with the matrix elements are independent random numbers. In this way ultimately successful Wigner-spectrum describes the energy spectrum observed by the nuclear experiments at the time.
The main difficulty in menguantisasi antarsaham correlation due to the absence of a definite algorithm to calculate the strength of interaction between companies. Unlike in the physical world, here the natural interactions which never accurately known. Besides, the correlation in the financial sector typically involve one company cluster and always changing with time so that only the average correlation can be estimated.
Random matrix theory (TMA) of the Wigner estimate the average value of all possible interactions. Thus, the deviation of the prediction TMA indicating non-random properties in the system which in turn gives clues about the actual interaction. In other words, these deviations describe the collective properties owned by the system. Research conducted by the Boston group of about 1,000 stocks in the U.S. show the collective phenomena.
This means that almost every company globally influenced and affected other companies, which together move forward collectively determine the stock market pullback.
Model ekonofisika
Economic models is also not a foreign object for economists. Here, some researchers ekonofisika trying to develop models of economic systems by utilizing existing knowledge in the world of physics in addition to statistical physics. One of the many activities in this sector is improving and solving the Black-Scholes equation with additions required information.
The academics, including Nobel economics laureate Paul Samuelson, trying hard to improve the model. With the help of Robert Merton, in 1973 Fischer Black and Myron Scholes option pricing formula presented in the form of differential equations that can help determine whether a stock broker option is too expensive or otherwise too cheap relative to the stock price at the time. It is noteworthy that Fischer Black has a background of physics and mathematics while Robert Merton obtained a master's degree in the field of applied mathematics. Merton and Scholes finally awarded the Nobel prize for economics for their contributions in the financial field in 1997.
Option is a derivative product in the economy and declare a person's right (but not the obligation) to purchase shares or other asset at a specified price on or before the scheduled. There are many options known in the financial markets, but the simplest examples is the kind of call-option.
On-call option, for example, we have to pay Rp 10 now in order to obtain the right to buy shares (currently worth USD 90) worth USD 100 six months. If the share price in the six months increased to USD 120 we can immediately sell them with a profit of USD 10 after deducting the cost of options, which means we get a gain of 100 percent. Compare with if we buy these shares for Rp 90 then sell it for USD 120 which is equivalent to 30 percent advantage. However, if the share price in six months no more than USD 100 we lose USD 10 cost of this option.
Option raises two fundamental questions is how many at a reasonable price for options issued by the buyer and what strategies should be installed by option writers associated with the number of shares he had bought or sold during the contract lasts option to minimize the risk of loss. Both these questions are accommodated by the Black-Scholes formula so the formula agreed to act as a lingua franca for all players in the stock market.
Stock brokers on Wall Street when it was really like the Black-Scholes formula because it is very easy to be programmed into a calculator. Unfortunately, the formula is also built on the basis that is not realistic because the Black-Scholes formula has input growth rates (interest) and assuming a constant distribution of stock price movements that shaped Gaussian.
One of the many physicists working in this field is Emanuel Derman, head of quantitative strategies at Goldman Sachs. After obtaining the doctorate for weak interactions of particle physics from Columbia University in 1973, Derman post-doctoral research continued at the University of Pennsylvania and University of Oxford with a research topic quark production. However, in 1980 he decided to get out of physics and worked with Fischer Black at Goldman Sachs. Derman admitted that he did not excel in physics although he loved physics. The main task Derman at Goldman Sachs is to improve the original Black-Scholes equation to include those aspects that can take a crash on the stock market.
At the University of Birmingham, England, physicist Kirill Ilinski using Feynman quantum electrodynamics theory to design a model of the dynamics of the stock market. Even with these quantum concepts it claims can reduce the Black-Scholes equation. To jump from the quantum world to replace the stock market Ilinski electromagnetic fields that govern the interaction with the inter-laden field to arbitrage explain the option and stock price changes as a function of time. Although not everyone agreed that if the economic dynamics can be completely paralleled with the world of physics, Ilinski sure can explain the fluctuations that occur in the world economy.
Not far from us, a physicist at the National University of Singapore Belal Baaquie using mathematical manipulation to modify the Black-Scholes equation into the equation that is similar to the Schroedinger differential equation which is the basic equation in quantum mechanics nonrelativistik. Almost all physicists have the expertise to solve the Schroedinger equation for a variety of potential interactions (antarkonstituen in the system).
One technique being studied by several researchers (including Baaquie) is using the path integral method developed by Richard Feynman in the 1940s to calculate the chances of a system transition from one point to another by way of summing all possible paths. Path integral technique is very advantageous if the analytic solution of differential equations is difficult to find. The more complex the stock market and derivatives such as options to make the Black-Scholes equation which has been modified and loaded with information has become more complicated and more difficult to find the solution. Path integral technique proved very helpful in this regard.
In Belgium, a physicist from the University of Liege Marcel Ausloss investigate the hypothesis of equilibrium in the market by using the Boltzmann equation, an equation which is known in the kinetic theory of gases to calculate the evolution of the density of opportunities as a function of time. Ausloos use these equations to derive the kinetic theory for the stock price. By using the theory he showed that the traditional hypothesis for the market equilibrium that does not contain realistic Gaussian distribution. According to him, the models still must be refined to include consideration of factors of diffusion, viscosity, as well as quantities of other fluid mechanics into the model.
Various other models were also developed, for example Feynman diagram technique, one of the techniques developed by Feynman to calculate the chances of interaction on the reaction process of the collision between two particles are also studied and the possibility to explain the opportunities in economic interaction. Other processes such as reaction-diffusion and the burning (combustion) also did not escape from the research object in the ekonofisikawan.
Weaknesses physicist
Should be recognized that although the Black-Scholes equation can be easily programmed into a calculator, mathematics underlying these equations is the stochastic calculus, a branch of mathematics which clearly is not a standard course in the MBA program. Physicists have here is appreciated for mathematics and computing capabilities that can compete as well as the ability to analyze problems are incredibly complex systems.
However, it does not mean that physicists did not face problems entering the business world. For example, many financial institutions that employ physicists sometimes even fear. They hope that this one employee who does not think that the stock market is controlled by natural laws that never change. Uranium 238 decays into uranium 234 is always, but physicists should be aware that the market can move up or down, they said. Different markets with math because there is no mathematical model that is able to accommodate all the factors that could cause turmoil in the market.
Even some financial institutions complained about losses due to the use of inappropriate models. According to the calculation of Capital Market Advisors, losses due to their own models include up to 40 percent of the total losses amounting to 2.65 billion U.S. dollars lost in 1997, including losses suffered by the Union Bank of Switzerland amounted to 240 million U.S. dollars.
No comments:
Post a Comment