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Introduction to Econophysics : Correlations and Complexity in Finance - Rosario N. Mantegna

Introduction to Econophysics

Correlations and Complexity in Finance

Hardcover

Published: 21st September 2010
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Published: 10th September 2007
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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.

'... 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

Preface
Introduction
Efficient market hypothesis
Random walk
L©vy 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
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780521620086
ISBN-10: 0521620082
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 162
Published: 21st September 2010
Publisher: Cambridge University Press
Country of Publication: GB
Dimensions (cm): 24.7 x 17.4  x 1.1
Weight (kg): 0.5