An Introduction to Econophysics: Correlations and Complexity in Finance

Mantegna, Rosario Nunzio [1960- ]; & Stanley, H. Eugene [1941- ]

Edité par Cambridge University Press (2004), Cambridge, 2004

A propos de cet article

orig.boards Minor rubbing. VG. Textual graphs. 25x17cm, ix,148 pp Contents: Efficient market hypothesis; Random walks; Levy stochastic processes and limit theorems; Scales in financial data; Stationarity and time correlation; Stochastic models of price dynamics; Scaling and its breakdown; ARCH and GARCH processes; Financial markets and turbulence; Correlation inside a financial market; Taxonomy of a stock portfolio; Options and derivatives; Black and Scholes in practice. ["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 new 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 behavior 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. " - Publisher's description].

N° de réf. du vendeur 012679

Détails bibliographiques

• Titre: An Introduction to Econophysics: Correlations and Complexity in Finance
• Éditeur: Cambridge University Press (2004), Cambridge
• Date de parution: 2004
• Reliure: Couverture rigide
• Édition: 4th printing
• État de l'article: Minor rubbing. VG.