An Introduction to Econophysics: Correlations and Complexity in Finance
Editorial Reviews
Review
'... they have been remarkably successful in presenting a clear and concise introductory summary of a large body of work on the statistical properties of stock prices.' Burton Malkiel, Journal of Economic Literature
'Clearly and concisely written, this book provides an excellent introduction to the problem of understanding the empirical statistical properties of prices.' Doyne Farmer, Prediction Company, Santa Fe and the Santa Fe Institute
'I feel the book is a useful introduction to the empirical aspects of econophysics.' Blake LeBaron, Nature
Book Description
Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling, permit an understanding of the global behavior of economic systems without first having to work out a detailed microscopic description of the system. This pioneering text explores the use of these concepts in the description of financial systems, the dynamic new specialty of econophysics. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully-developed turbulent fluids and apply them to financial time series. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Physicists will find the application of statistical physics concepts to economic systems fascinating. Economists and other financial professionals will benefit from the book's empirical analysis methods and well-formulated theoretical tools that will allow them to describe systems composed of a huge number of interacting subsystems.
An Introduction to Econophysics: Correlations and Complexity in Finance
An Introduction to Econophysics: Correlations and Complexity in Finance,Rosario N. Mantegna,H. Eugene Stanley,Cambridge University Press,0521620082,Applied Sciences,Business / Economics / Finance,Business/Economics,Finance,Financial Economics (General),Mathematical Physics,Mathematical models,Science,Statistical Physics,Statistical methods,Finance--Statistical methods,Investment & securities,Non-linear science,Science / Physics
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