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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Bibliographic Details
Call Number:Libro Electrónico
Main Author: Mantegna, Rosario N. (Rosario Nunzio), 1960-
Other Authors: Stanley, H. Eugene (Harry Eugene), 1941-
Format: Electronic eBook
Language:Inglés
Published: Cambridge, UK ; New York : Cambridge University Press, 2000.
Subjects:
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.
Online Access:Texto completo
Table of Contents:
  • 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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