Introduction to Econophysics Correlations and Complexity in Finance

ISBN-10: 0521039878
ISBN-13: 9780521039871
Edition: 2007
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Description: 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  More...

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Book details

List price: $49.99
Copyright year: 2007
Publisher: Cambridge University Press
Publication date: 7/16/2007
Binding: Paperback
Pages: 164
Size: 6.55" wide x 9.25" long x 0.25" tall
Weight: 0.638
Language: English

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. This pioneering text explores the use of these concepts in the description of financial systems, the dynamic new specialty of econophysics. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully-developed turbulent fluids and apply them to financial time series. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Physicists will find the application of statistical physics concepts to economic systems fascinating. Economists and other financial professionals will benefit from the book's empirical analysis methods and well-formulated theoretical tools that will allow them to describe systems composed of a huge number of interacting subsystems.

H. Eugene Stanley is a University Professor and Director of the Center for Polymer Studies, Boston University, Professor of Physics, Chemistry and Biomedical Engineering, and Professor of Physiology at Boston University School of Medicine. A pioneer in interdisciplinary science, he has won the Boltzmann Medal and numerous other awards for his contributions.

Preface
Introduction
Efficient market hypothesis
Random walk
LFvy stochastic processes and limit theorems
Scales in financial data
Stationarity and time correlation
Time correlation in financial time series
Stochastic models of price dynamics
Scaling and its breakdown
ARCH and GARCH processes
Financial markets and turbulence
Correlation and anti-correlation between stocks
Taxonomy of a stock portfolio
Options in idealized markets
Options in real markets
Notation guide
Martingales
References
Index

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