Econophysics: still fringe after 30 years?

It is customary to date the initial foray of physicists into economics to the September 1987 Santa Fe conference on “Economics as a complex evolving system", organised by two famous physicists (Phil Anderson & David Pines) and one famous economist (Ken Arrow). When confronted with the theories of Rational Expectations and Efficient Markets, then at the peak of their glory, Phil Anderson famously quipped: Do you guys really believe that? Many inspiring and insightful ideas were discussed during that conference [1], suggesting a potentially productive cross-fertilisation between economics and the (back then) nascent theory of complex systems.

Instanton approach to large N Harish-Chandra-Itzykson-Zuber integrals

We reconsider the large N asymptotics of Harish-Chandra-Itzykson-Zuber integrals. We provide, using Dyson's Brownian motion and the method of instantons, an alternative, transparent derivation of the Matytsin formalism for the unitary case. Our method is easily generalized to the orthogonal and symplectic ensembles. We obtain an explicit solution of Matytsin's equations in the case of Wigner matrices, as well as a general expansion method in the dilute limit, when the spectrum of eigenvalues spreads over very wide regions.

Multiscale clustering in granular surface flows

We investigate steady granular surface flows in a rotating drum and demonstrate the existence of rigid clusters of grains embedded in the flowing layer. These clusters appear to be fractal and their size is power law distributed from the grain size scale up to the thickness of the flowing layer. The implications of the absence of a characteristic length scale on available theoretical models of dense granular flows are discussed. Finally, we suggest a possible explanation of the difference between velocity profiles observed in surface flows and in flows down a rough inclined plane.

Leverage effect in financial markets: the retarded volatility model

We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster. For individual stocks the magnitude of this correlation has a universal value that can be rationalized in terms of a new "retarded" model which interpolates between a purely additive and a purely multiplicative stochastic process. For stock indices a specific amplification phenomenon seems to be necessary to account for the observed amplitude of the effect.

Multiple scaling regimes in simple aging models

We investigate aging in glassy systems based on a simple model, where a point in configuration space performs thermally activated jumps between the minima of a random energy landscape. The model allows us to show explicitly a subaging behavior and multiple scaling regimes for the correlation function. Both the exponents characterizing the scaling of the different relaxation times with the waiting time and those characterizing the asymptotic decay of the scaling functions are obtained analytically by invoking a "partial equilibrium" concept.

Jamming and static stress transmission in granular materials

We have recently developed some simple continuum models of static granular media which display "fragile" behavior: They predict that the medium is unable to support certain types of infinitesimal load (which we call "incompatible" loads) without plastic rearrangement. We argue that a fragile description may be appropriate when the mechanical integrity of the medium arises adaptively, in response to a load, through an internal jamming process. We hypothesize that a network of force chains (or "granular skeleton") evolves until it can just support the applied load, at which point it comes to rest; it then remains intact so long as no incompatible load is applied. Our fragile models exhibits unusual mechanical responses involving hyperbolic equations for stress propagation along fixed characteristics through the material. These characteristics represent force chains; their arrangement expressly depends on the construction history. Thus, for example, we predict a large difference in the stress pattern beneath two conical piles of sand, one poured from a point source and one created by sieving. (c) 1999 American Institute of Physics.