Introduction to Econophysics: Correlations and Complexity in Finance

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Overview

This book concerns the use of concepts from statistical physics in the description of financial systems. Specifically, the authors illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids. These concepts are then applied to financial time series to gain new insights into the behavior of financial markets. The authors also present a new stochastic model that displays several of the statistical properties observed in empirical data.. "This book is intended for students and researchers studying economics or physics at a graduate level and for professionals in the field of finance. Undergraduate students possessing some familiarity with probability theory or statistical physics should also be able to learn from the book.
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Editorial Reviews

From the Publisher
"Clearly and concisely written, this book provides an excellent introduction to the problem of understanding the empirical statistical properties of prices." Doyne Farmer, Prediction Company, Santa Fe and the Santa Fe Institute

"[A] clear summary of many of the statistical properties of stock prices ... will prove useful to reseachers in several disciplines." /s Journal of Economic Literature

"Mantegna...and Stanley...draw on concepts from statistical physics to describe financial systems...[and]...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." Reference & Research Book News

"This book is beneficial to both the financial economicist and the physicist...An Itroduction to Econopysics Correlations and Complexity in Finance provides a valuable picture of the relationship between physics and financial economics." Discrefe Dynamics in NAture and Society 2001 vol.6

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Product Details

  • ISBN-13: 9780521039871
  • Publisher: Cambridge University Press
  • Publication date: 8/18/2007
  • Edition description: New Edition
  • Pages: 164
  • Product dimensions: 6.85 (w) x 9.72 (h) x 0.35 (d)

Table of Contents

Preface
1 Introduction 1
2 Efficient market hypothesis 8
3 Random walk 14
4 Levy stochastic processes and limit theorems 23
5 Scales in financial data 34
6 Stationarity and time correlation 44
7 Time correlation in financial time series 53
8 Stochastic models of price dynamics 60
9 Scaling and its breakdown 68
10 ARCH and GARCH processes 76
11 Financial markets and turbulence 88
12 Correlation and anticorrelation between stocks 98
13 Taxonomy of a stock portfolio 105
14 Options in idealized markets 113
15 Options in real markets 123
App. A Notation guide 130
App. B Martingales 136
References 137
Index 145
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