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...
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| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2000
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| Links: | 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. |
| Umfang: | 1 Online-Ressource (ix, 148 Seiten) |
| ISBN: | 9780511755767 |
Internformat
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| spelling | Mantegna, Rosario N. 1960- An introduction to econophysics correlations and complexity in finance Rosario N. Mantegna, H. Eugene Stanley Cambridge Cambridge University Press 2000 1 Online-Ressource (ix, 148 Seiten) txt c cr 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. Stanley, H. Eugene 1941- Erscheint auch als Druck-Ausgabe 9780521039871 Erscheint auch als Druck-Ausgabe 9780521620086 |
| spellingShingle | Mantegna, Rosario N. 1960- An introduction to econophysics correlations and complexity in finance |
| 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 | introduction to econophysics correlations and complexity in finance |
| title_sub | correlations and complexity in finance |
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