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Introduction to Econophysics: Correlations and Complexity in Finance
출판사 : Cambridge University Press
저 자 : Mantegna
ISBN : 9780521039871
발행일 : 2007-8
도서종류 : 외국도서
발행언어 : 영어
페이지수 : 164
판매가격 : 53,000원
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   Introduction to Econophysics: Correlations and Complexity in Finance 목차
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

   도서 상세설명   

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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