Introduction to Econophysics Correlations and Complexity in Finance

Name: Introduction to Econophysics Correlations and Complexity in Finance
Price: 14.35 USD
Availability: InStock
ISBN: 9780521039871

ISBN-10: 0521039878

ISBN-13: 9780521039871

Edition: 2007

Authors: Rosario N. Mantegna, H. Eugene Stanley

List price: $57.99

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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 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…

Book details

List price: $57.99
Copyright year: 2007
Publisher: Cambridge University Press
Publication date: 7/16/2007
Binding: Paperback
Pages: 164
Size: 6.61" wide x 9.57" long x 0.31" tall
Weight: 0.638
Language: English

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