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An introduction to econophysics : correlations and complexity in finance /
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 aut...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK ; New York :
Cambridge University Press,
2000.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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 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 behaviour 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. |
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| Descripción Física: | 1 online resource (ix, 148 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 137-144) and index. |
| ISBN: | 0511039948 9780511039942 9780511755767 0511755767 0511329113 9780511329111 9786610429349 6610429340 9780521039871 0521039878 |