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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 |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, UK ; New York :
Cambridge University Press,
2000.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Mantegna, Rosario N. |q (Rosario Nunzio), |d 1960- | |
| 245 | 1 | 3 | |a An introduction to econophysics : |b correlations and complexity in finance / |c Rosario N. Mantegna, H. Eugene Stanley. |
| 260 | |a Cambridge, UK ; |a New York : |b Cambridge University Press, |c 2000. | ||
| 300 | |a 1 online resource (ix, 148 pages) : |b illustrations | ||
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| 504 | |a Includes bibliographical references (pages 137-144) and index. | ||
| 505 | 0 | 0 | |t Introduction -- |t Efficient market hypothesis -- |t Random walk -- |t Levy stochastic processes and limit theorems -- |t Scales in financial data -- |t Stationarity and time correlation -- |t Time correlation in financial time series -- |t Stochastic models of price dynamics -- |t Scaling and its breakdown -- |t ARCH and GARCH processes -- |t Financial markets and turbulence -- |t Correlation and anticorrelation between stocks -- |t Taxonomy of a stock portfolio -- |t Options in idealized markets -- |t Options in real markets. |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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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| 650 | 0 | |a Finance |x Statistical methods. | |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Statistical physics. | |
| 650 | 6 | |a Finances |x Méthodes statistiques. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Physique statistique. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
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| 650 | 7 | |a Finance |x Statistical methods |2 fast | |
| 650 | 7 | |a Statistical physics |2 fast | |
| 653 | |a Samfundsvidenskab |a Økonomi. | ||
| 700 | 1 | |a Stanley, H. Eugene |q (Harry Eugene), |d 1941- | |
| 776 | 0 | 8 | |i Print version: |a Mantegna, Rosario N. (Rosario Nunzio), 1960- |t Introduction to econophysics. |d Cambridge, UK ; New York : Cambridge University Press, 2000 |z 0521620082 |w (DLC) 99028047 |w (OCoLC)41090880 |
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