Study on social and economic phenomena using the method of statistical physics

Abstract

Econo/socio-physics is an interdisciplinary research field, applying theories and methods developed by statistical physics in order to solve problems in economics and society, including stochastic processes and nonlinear dynamics. We have been studied the econo/socio-physics because we are interested in the many body problems. Especially, we address the system which consists of thinking atoms who interact with each other. The plot of our focus unfolds from the homogeneous agents with perfect information, such as financial market. We put the final touches with the heterogeneous agents with bounded information, such as evolutionary game. In financial market analysis, the merits and demerits of numerical simulation and analytical approach are verified with our analysis. The unusual property of Korean stock market is confirmed that the structure of group correlation in Korean financial market is disturbed during the sufficiently short time period even though the group correlation exists as an ensemble for the 6-year time period in the evolution of the system. Also, the explicit list of significant firms in several largest eigenvectors form the undressed correlation matrix in Korean stock market. A market-wide effect plays a crucial role in shifting the correlation structure from random to non-random. In addition, we study the structural properties of stocks related to the mining industry, especially rare earth minerals. The rare earth minerals in the raw-material business should be classified not by standard business classifications but by the internal cycle of business. A vital challenge for many socioeconomic systems is determining the optimum use of limited information. Particularly, traffic systems with traffic lights determine the optimization strategy under bounded information accessibility, which proves the existence of an optimal point for phase transitions in the system. Finally, our attention shift from the homogeneous agents to the heterogeneous agents. Despite much attention to exploration dynamics in various disciplines, we merely know that random exploration can change the basin of attractors or equilibrium points such as Nash equilibria in evolutionary games. Thus, we focus on the question of how random exploration leads a system to a point where all individuals achieve the best performance or fitness, which can explain why there are multiple cultures in developed countries. Furthermore, we find that moderate levels of social mutation rate lead to the highest system performance.