Introduction to Econophysics: Correlations and Complexity in Finance / Edition 1 by Rosario N. Mantegna, H. Eugene Stanley | | 9780521620086 | Hardcover | Barnes & Noble
Introduction to Econophysics: Correlations and Complexity in Finance / Edition 1

Introduction to Econophysics: Correlations and Complexity in Finance / Edition 1

by Rosario N. Mantegna, H. Eugene Stanley
     
 

ISBN-10: 0521620082

ISBN-13: 9780521620086

Pub. Date: 09/28/2010

Publisher: Cambridge University Press

Mantegna (physics, U. of Palermo) and Stanley (physics, Massachusetts Institute of Technology and Boston U.) draw on concepts from statistical physics to describe financial systems. Specifically they illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids, and apply them to financial time series to

Overview

Mantegna (physics, U. of Palermo) and Stanley (physics, Massachusetts Institute of Technology and Boston U.) draw on concepts from statistical physics to describe financial systems. Specifically they illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids, and apply them to financial time series to gain insight into the behavior of financial markets. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Annotation c. Book News, Inc., Portland, OR

Product Details

ISBN-13:
9780521620086
Publisher:
Cambridge University Press
Publication date:
09/28/2010
Edition description:
New Edition
Pages:
162
Product dimensions:
6.85(w) x 9.72(h) x 0.43(d)

Table of Contents

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.

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