Introduction to Econophysics : Correlations and Complexity in Finance.

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This book concerns the use of concepts from statistical physics in the description of financial systems. These concepts are applied to financial time series to gain an understanding of the behavior of financial markets. The book will be of interest to physicists and economists and professionals in t...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Mantegna, Rosario N.
Otros Autores: Stanley, H. Eugene
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge : Cambridge University Press, 1999.
Temas:
Finance.
Finance > Statistical methods.
Finance > Mathematical models.
Statistical physics.
Finances.
Finances > Méthodes statistiques.
Finances > Modèles mathématiques.
Physique statistique.
finance.
Finance
Finance > Mathematical models
Finance > Statistical methods
Statistical physics
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Half-title; Title; Copyright; Contents; Preface; Dedication; 1 Introduction; 2 Efficient market hypothesis; 3 Random walk; 4 Lévy stochastic processes and limit theorems; 5 Scales in financial data; 6 Stationarity and time correlation; 7 Time correlation in financial time series; 8 Stochastic models of price dynamics; 9 Scaling and its breakdown; 10 ARCH and GARCH processes; 11 Financial markets and turbulence; 12 Correlation and anticorrelation between stocks; 13 Taxonomy of a stock portfolio; 14 Options in idealized markets; 15 Options in real markets; Appendix A: Notation guide.
  • Appendix B: MartingalesReferences; Index.

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