Introduction to Econophysics : Correlations and Complexity in Finance

Rosario N. Mantegna

ISBN 10: 0521620082 / ISBN 13: 9780521620086

Published by Cambridge University Press, 1999

About this Item

Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9780521620086

Bibliographic Details

• Title: Introduction to Econophysics : Correlations and Complexity in Finance
• Publisher: Cambridge University Press
• Publication Date: 1999
• Language: English
• ISBN 10: 0521620082
• ISBN 13: 9780521620086
• Binding: Buch
• Condition: Neu
• Dimensions: 260W x 183H x 14D millimeters 260 millimeters width by 183 millimeters height by 14 millimeters depth
• Weight: 512 grams

About this title

Synopsis

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.

Book Description

In recent years there has been a reciprocal interest between physicists and economists in finding common research approaches. This interest has been mainly triggered by the large amount of carefully recorded economic data now easily available, and by the emergence in physics of new results and paradigms in the study of critical phenomena, disordered systems and nonlinear dynamical systems. This book introduces the concepts and methods that are emerging from this renewed activity, in a straightforward direct style designed to appeal to individuals with either a science or economics background.