Articles liés à Introduction to Econophysics: Correlations and Complexity...

Introduction to Econophysics: Correlations and Complexity in Finance - Couverture souple

Mantegna, Rosario N.

 
9780521039871: Introduction to Econophysics: Correlations and Complexity in Finance
Couverture souple
ISBN 10 : 0521039878 ISBN 13 : 9780521039871
Editeur : Cambridge University Press, 2007

Synopsis

This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.

Revue de presse

'... they have been remarkably successful in presenting a clear and concise introductory summary of a large body of work on the statistical properties of stock prices.' Burton Malkiel, Journal of Economic Literature

'Clearly and concisely written, this book provides an excellent introduction to the problem of understanding the empirical statistical properties of prices.' Doyne Farmer, Prediction Company, Santa Fe and the Santa Fe Institute

'I feel the book is a useful introduction to the empirical aspects of econophysics.' Blake LeBaron, Nature

'The authors are leading researchers in the field, and were well-regarded statistical physicists before that ... the book seems aimed the other way, at physicists interested in economics, and for them it would make a good introduction to finance. The writing is clear and friendly, the production values high and the guides to further reading excellent. They will find it well worth their time and money.' Cosma Shalizi, Institute of Physics

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
2007
Langue
anglais
ISBN 10 
0521039878
ISBN 13 
9780521039871
Reliure
Broché
Numéro d'édition
1
Nombre de pages
164
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
France