Standard texts and research in economics and finance ignore the absence of evidence from the analysis of real, unmassaged market data to support the notion of Adam Smith's stabilizing Invisible Hand. In stark contrast, this text introduces a new empirically-based model of financial market dynamics that explains the volatility of prices options correctly and clarifies the instability of financial markets. The emphasis is on understanding how real markets behave, not how they hypothetically 'should' behave.
|Publisher:||Cambridge University Press|
|Product dimensions:||6.85(w) x 9.72(h) x 0.28(d)|
About the Author
Joseph McCauley is Professor of Physics at the University of Houston, Texas.
Table of ContentsPreface; 1. The moving target; 2. Neo-classical economic theory; 3. Probability and stochastic processes; 4. Scaling the ivory tower of finance; 5. Standard betting procedures in portfolio selection theory; 6. Dynamics of financial markets, volatility and option pricing; 7. Thermodynamic analogies vs. instability of markets; 8. Scaling, correlations and cascades in finance and turbulence; 9. What is complexity?; References; Index.