Introduction to Econophysics: Correlations and Complexity in Finance

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9780521039871: 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 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.

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Recensione:

'… 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

'The authors are leading researchers in the field, and were well-regarded statistical physicists before that … the book seems aimed the other way, at physicists interested in economics, and for them it would make a good introduction to finance. The writing is clear and friendly, the production values high and the guides to further reading excellent. They will find it well worth their time and money.' Cosma Shalizi, Institute of Physics

Descrizione del libro:

This book concerns the use of concepts from statistical physics in the description of financial systems. These concepts are applied to financial time series to gain an understanding of the behaviour of financial markets. The book will be of interest to physicists and economists and professionals in the financial markets.

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1.

Rosario N. Mantegna and H. Eugene Stanley
Editore: Cambridge University Press, New Delhi, India (2007)
ISBN 10: 0521039878 ISBN 13: 9780521039871
Nuovi Paperback Prima edizione Quantità: 1
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Descrizione libro Cambridge University Press, New Delhi, India, 2007. Paperback. Condizione libro: New. First Edition. 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. • This book is on an important field of econophysics, which applies ideas from statistical physics to economics and finance • Gene Stanley is a distinguished and very well-known physicist and author • This work was highlighted in a page 1 article in the Wall Street Journal on November 6, 1998 Contents Preface; 1. Introduction; 2. Efficient market hypothesis; 3. Random walk; 4. Lévy stochastic processes and limit theorems; 5. Scales in financial data; 6. Stationarity and time correlation; 7. Time correlation in financial time series; 8. Stochastic models of price dynamics; 9. Scaling and its breakdown; 10. ARCH and GARCH processes; 11. Financial markets and turbulence; 12. Correlation and anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index. Printed Pages: 158 with 63 line diagrams. Size: 170 x 245 Mm. Codice libro della libreria 020833

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2.

Rosario N. Mantegna and H. Eugene Stanley
Editore: Cambridge University Press, New Delhi, India (2007)
ISBN 10: 0521039878 ISBN 13: 9780521039871
Nuovi Paperback Prima edizione Quantità: > 20
Da
Sanctum Books
(New Delhi, DELHI, India)
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Descrizione libro Cambridge University Press, New Delhi, India, 2007. Paperback. Condizione libro: New. First Edition. 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. ?This book is on an important field of econophysics, which applies ideas from statistical physics to economics and finance ?Gene Stanley is a distinguished and very well-known physicist and author ?This work was highlighted in a page 1 article in the Wall Street Journal on November 6, 1998 Contents Preface; 1. Introduction; 2. Efficient market hypothesis; 3. Random walk; 4. Lévy stochastic processes and limit theorems; 5. Scales in financial data; 6. Stationarity and time correlation; 7. Time correlation in financial time series; 8. Stochastic models of price dynamics; 9. Scaling and its breakdown; 10. ARCH and GARCH processes; 11. Financial markets and turbulence; 12. Correlation and anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index. Printed Pages: 158 with 63 line diagrams. Size: 170 x 245 Mm. Codice libro della libreria 020833

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Rosario N. Mantegna, Harry Eugene Stanley
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2008)
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2008. Paperback. Condizione libro: New. 240 x 166 mm. Language: English . Brand New Book ***** Print on Demand *****. 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. Codice libro della libreria AAV9780521039871

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Rosario N. Mantegna, Harry Eugene Stanley
Editore: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2008)
ISBN 10: 0521039878 ISBN 13: 9780521039871
Nuovi Paperback Quantità: 10
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Descrizione libro CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2008. Paperback. Condizione libro: New. 240 x 166 mm. Language: English . Brand New Book ***** Print on Demand *****.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. Codice libro della libreria AAV9780521039871

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Mantegna, Rosario N.
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Descrizione libro Cambridge University Press, 2007. PAP. Condizione libro: New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IQ-9780521039871

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Mantegna, Rosario N.
Editore: Cambridge University Press (2016)
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descrizione libro Cambridge University Press, 2016. Paperback. Condizione libro: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Codice libro della libreria ria9780521039871_lsuk

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Mantegna, Rosario N.
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Descrizione libro Cambridge University Press, 2007. PAP. Condizione libro: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria LQ-9780521039871

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Stanley, H. Eugene
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descrizione libro Paperback. Condizione libro: New. This item is printed on demand. Item doesn't include CD/DVD. Codice libro della libreria 1745675

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ROSARIO N. MANTEGNA , H. EUGENE STANLEY
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descrizione libro 2007. Paperback. Condizione libro: NEW. 9780521039871 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Codice libro della libreria HTANDREE0442749

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Rosario N. Mantegna,H. Eugene Stanley
Editore: Cambridge University Press 2007-07-16 (2007)
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descrizione libro Cambridge University Press 2007-07-16, 2007. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-ING-00911892

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