Rosario N. Mantegna, H. Eugene Stanley

Introduction to Econophysics

Correlations and Complexity in Finance

• Gebundenes Buch

Produktbeschreibung

This book on econophysics explores the applications of ideas from physics to financial and economic systems.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 162
• Erscheinungstermin: 21. September 2010
• Englisch
• Abmessung: 260mm x 183mm x 14mm
• Gewicht: 512g
• ISBN-13: 9780521620086
• ISBN-10: 0521620082
• Artikelnr.: 22286596

Inhaltsangabe

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.