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Cover: 9780521039871 | An Introduction to Econophysics | H. Eugene Stanley | Taschenbuch
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An Introduction to Econophysics
Taschenbuch von Rosario N. Mantegna (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Zusammenfassung
In recent years there has been a reciprocal interest between physicists and economists in finding common research approaches. This interest has been mainly triggered by the large amount of carefully recorded economic data now easily available, and by the emergence in physics of new results and paradigms in the study of critical phenomena, disordered systems and nonlinear dynamical systems. This book introduces the concepts and methods that are emerging from this renewed activity, in a straightforward direct style designed to appeal to individuals with either a science or economics background.
Inhaltsverzeichnis
Preface; 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 anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index.
Details
Erscheinungsjahr: 2007
Fachbereich: Rechtsratgeber
Genre: Importe, Recht
Produktart: Nachschlagewerke
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
ISBN-13: 9780521039871
ISBN-10: 0521039878
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Mantegna, Rosario N.
Stanley, H. Eugene
Hersteller: Cambridge University Press
Verantwortliche Person für die EU: Books on Demand GmbH, In de Tarpen 42, D-22848 Norderstedt, info@bod.de
Maße: 244 x 170 x 10 mm
Von/Mit: Rosario N. Mantegna (u. a.)
Erscheinungsdatum: 26.05.2007
Gewicht: 0,296 kg
Artikel-ID: 113916400
Zusammenfassung
In recent years there has been a reciprocal interest between physicists and economists in finding common research approaches. This interest has been mainly triggered by the large amount of carefully recorded economic data now easily available, and by the emergence in physics of new results and paradigms in the study of critical phenomena, disordered systems and nonlinear dynamical systems. This book introduces the concepts and methods that are emerging from this renewed activity, in a straightforward direct style designed to appeal to individuals with either a science or economics background.
Inhaltsverzeichnis
Preface; 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 anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index.
Details
Erscheinungsjahr: 2007
Fachbereich: Rechtsratgeber
Genre: Importe, Recht
Produktart: Nachschlagewerke
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
ISBN-13: 9780521039871
ISBN-10: 0521039878
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Mantegna, Rosario N.
Stanley, H. Eugene
Hersteller: Cambridge University Press
Verantwortliche Person für die EU: Books on Demand GmbH, In de Tarpen 42, D-22848 Norderstedt, info@bod.de
Maße: 244 x 170 x 10 mm
Von/Mit: Rosario N. Mantegna (u. a.)
Erscheinungsdatum: 26.05.2007
Gewicht: 0,296 kg
Artikel-ID: 113916400
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