An introduction to econophysics: correlations and complexity in finance
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 aut...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2000
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| Schlagwörter: | |
| Links: | https://doi.org/10.1017/CBO9780511755767 https://doi.org/10.1017/CBO9780511755767 https://doi.org/10.1017/CBO9780511755767 |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Umfang: | 1 online resource (ix, 148 pages) |
| ISBN: | 9780511755767 |
| DOI: | 10.1017/CBO9780511755767 |
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| id | DE-604.BV043944037 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T17:49:22Z |
| institution | BVB |
| isbn | 9780511755767 |
| language | English |
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| spelling | Mantegna, Rosario N. 1960- Verfasser aut An introduction to econophysics correlations and complexity in finance Rosario N. Mantegna, H. Eugene Stanley Cambridge Cambridge University Press 2000 1 online resource (ix, 148 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 Mathematisches Modell Econophysics Finance / Statistical methods Finance / Mathematical models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Wirtschaftsmathematik (DE-588)4066472-7 gnd rswk-swf Statistische Physik (DE-588)4057000-9 gnd rswk-swf Wirtschaftsmathematik (DE-588)4066472-7 s Statistische Physik (DE-588)4057000-9 s Kapitalmarkttheorie (DE-588)4137411-3 s 1\p DE-604 Finanzmathematik (DE-588)4017195-4 s 2\p DE-604 Stanley, H. Eugene 1941- Sonstige oth Erscheint auch als Druckausgabe 978-0-521-03987-1 Erscheint auch als Druckausgabe 978-0-521-62008-6 https://doi.org/10.1017/CBO9780511755767 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mantegna, Rosario N. 1960- An introduction to econophysics correlations and complexity in finance Mathematisches Modell Econophysics Finance / Statistical methods Finance / Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Statistische Physik (DE-588)4057000-9 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4137411-3 (DE-588)4066472-7 (DE-588)4057000-9 |
| title | An introduction to econophysics correlations and complexity in finance |
| title_auth | An introduction to econophysics correlations and complexity in finance |
| title_exact_search | An introduction to econophysics correlations and complexity in finance |
| title_full | An introduction to econophysics correlations and complexity in finance Rosario N. Mantegna, H. Eugene Stanley |
| title_fullStr | An introduction to econophysics correlations and complexity in finance Rosario N. Mantegna, H. Eugene Stanley |
| title_full_unstemmed | An introduction to econophysics correlations and complexity in finance Rosario N. Mantegna, H. Eugene Stanley |
| title_short | An introduction to econophysics |
| title_sort | an introduction to econophysics correlations and complexity in finance |
| title_sub | correlations and complexity in finance |
| topic | Mathematisches Modell Econophysics Finance / Statistical methods Finance / Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Wirtschaftsmathematik (DE-588)4066472-7 gnd Statistische Physik (DE-588)4057000-9 gnd |
| topic_facet | Mathematisches Modell Econophysics Finance / Statistical methods Finance / Mathematical models Finanzmathematik Kapitalmarkttheorie Wirtschaftsmathematik Statistische Physik |
| url | https://doi.org/10.1017/CBO9780511755767 |
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