This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.... time 39a40 Poisson process 31, 128 portfolio 99, 101 efficient 98 management 35 replicating 121, 123, 128 power spectrum 49, 57, ... 26a9 price change distributions price scales 36 probability density function (pdf) asymptotic 59a60, 72a3, 76 Cauchy (or Lorentzian) ... 121 taxonomy 106a7, 112 Taylor hypothesis 90 Taylor microscale Reynolds number 92 technical analysis 7 time index 42 to maturityanbsp;...
|Title||:||Introduction to Econophysics|
|Author||:||Rosario N. Mantegna, H. Eugene Stanley|
|Publisher||:||Cambridge University Press - 1999-11-13|