An 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. 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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Mantegna, Rosario N. (Rosario Nunzio), 1960-
Otros Autores: Stanley, H. Eugene (Harry Eugene), 1941-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cambridge, UK ; New York : Cambridge University Press, 2000.
Temas:
Finance > Statistical methods.
Finance > Mathematical models.
Statistical physics.
Finances > Méthodes statistiques.
Finances > Modèles mathématiques.
Physique statistique.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Finance > Statistical methods
Statistical physics
Samfundsvidenskab > Økonomi.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Introduction
  • Efficient market hypothesis
  • Random walk
  • Levy 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 anticorrelation between stocks
  • Taxonomy of a stock portfolio
  • Options in idealized markets
  • Options in real markets.

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