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Physique et finance (1776-2016) : cross-fertilisation, découvertes majeures et problèmes ouverts

Didier Sornette

à 11h en salle C. BROT

From classical to neoclassical economics and to financial economics, till the present time, economists have been inspired by the conceptual and mathematical developments of the physical sciences and by their remarkable successes in describing and predicting natural phenomena. Reciprocally, physics has been enriched several times by developments first observed in economics.

Starting with Adam Smith “Inquiry into the Nature and Causes of the Wealth of Nations” (1776) who found inspiration in the Philosophiae Naturalis Principe Mathematica (1687) of Isaac Newton, we present the concepts and discoveries where these two fields have collided for the better and for the worst.

In particular, we will discuss how (i) the fluctuation-susceptibility theorem transforms into a remarkable classification of financial volatility shocks, (ii) the Ising model of phase transitions can be generalized to model the stylized facts of financial markets, (iii) the concepts of collective phenomena and phase transitions (with spontaneous symmetry breaking) help understand financial bubbles and their following crashes, (iv) the mathematics of quantum physics provides a new quantum decision theory solving the known paradoxes and (v) using experiments in the laboratory and agent-based models, we will describe how Darwnian evolutionary feedback processes provide robust mechanisms for the spontaneous emergence of strong (``altruistic’’) reciprocity and cooperation between humans in societies. We will end by proposing a list of open challenges.