  This article aims at reviewing recent empirical and theoretical developments
usually grouped under the term Econophysics. Since its name was coined in 1995
by merging the words Economics and Physics, this new interdisciplinary field
has grown in various directions: theoretical macroeconomics (wealth
distributions), microstructure of financial markets (order book modelling),
econometrics of financial bubbles and crashes, etc. In the first part of the
review, we discuss on the emergence of Econophysics. Then we present empirical
studies revealing statistical properties of financial time series. We begin the
presentation with the widely acknowledged stylized facts which describe the
returns of financial assets- fat tails, volatility clustering, autocorrelation,
etc.- and recall that some of these properties are directly linked to the way
time is taken into account. We continue with the statistical properties
observed on order books in financial markets. For the sake of illustrating this
review, (nearly) all the stated facts are reproduced using our own
high-frequency financial database. Finally, contributions to the study of
correlations of assets such as random matrix theory and graph theory are
presented. In the second part of the review, we deal with models in
Econophysics through the point of view of agent-based modelling. Amongst a
large number of multi-agent-based models, we have identified three
representative areas. First, using previous work originally presented in the
fields of behavioural finance and market microstructure theory, econophysicists
have developed agent-based models of order-driven markets that are extensively
presented here. Second, kinetic theory models designed to explain some
empirical facts on wealth distribution are reviewed. Third, we briefly
summarize game theory models by reviewing the now classic minority game and
related problems.
