The statistical mechanics of financial markets: with 5 tables
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin u.a.
Springer
2001
|
| Schriftenreihe: | Texts and monographs in physics
Physics and astronomy online library |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 220 S. Ill., graph. Darst. |
| ISBN: | 3540414096 |
Internformat
MARC
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| 100 | 1 | |a Voit, Johannes |d 1957- |e Verfasser |0 (DE-588)111530261 |4 aut | |
| 245 | 1 | 0 | |a The statistical mechanics of financial markets |b with 5 tables |c Johannes Voit |
| 264 | 1 | |a Berlin u.a. |b Springer |c 2001 | |
| 300 | |a XII, 220 S. |b Ill., graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Texts and monographs in physics | |
| 490 | 0 | |a Physics and astronomy online library | |
| 650 | 4 | |a Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie | |
| 650 | 4 | |a Statistische Physik - Finanzmathematik | |
| 650 | 4 | |a Finance -- Statistical methods | |
| 650 | 4 | |a Capital market -- Statistical methods | |
| 650 | 4 | |a Statistical physics | |
| 650 | 4 | |a Financial engineering | |
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Datensatz im Suchindex
| _version_ | 1804128388078632960 |
|---|---|
| adam_text | CONTENTS
1. INTRODUCTION
..............................................
1
1.1 MOTIVATION ............................................ 1
1.2 WHY PHYSICISTS? WHY MODELS OF PHYSICS? ................. 3
1.3 PHYSICS AND FINANCE * HISTORICAL ......................... 6
1.4 AIMS OF THIS BOOK ...................................... 7
2. BASIC INFORMATION ON CAPITAL MARKETS
....................
11
2.1 TERMINOLOGY ........................................... 11
2.2 THREE IMPORTANT DERIVATIVES ............................. 12
2.2.1 FORWARD CONTRACTS ................................ 12
2.2.2 FUTURES CONTRACT ................................. 13
2.2.3 OPTIONS ......................................... 13
2.3 DERIVATIVE POSITIONS ..................................... 15
2.4 MARKET ACTORS ......................................... 16
2.5 PRICE FORMATION AT ORGANIZED EXCHANGES .................. 18
2.5.1 ORDER TYPES ..................................... 18
2.5.2 PRICE FORMATION BY AUCTION ....................... 19
2.5.3 CONTINUOUS TRADING: THE XETRA COMPUTER TRADING
SYSTEM .......................................... 21
3. RANDOM WALKS IN FINANCE AND PHYSICS
...................
23
3.1 IMPORTANT QUESTIONS .................................... 23
3.2 BACHELIER*S *TH´EORIE DE LA SP´ECULATION* .................... 24
3.2.1 PRELIMINARIES .................................... 24
3.2.2 PROBABILITIES IN STOCK MARKET OPERATIONS ............ 28
3.2.3 EMPIRICAL DATA ON SUCCESSFUL OPERATIONS IN STOCK
MARKETS ......................................... 35
3.2.4 BIOGRAPHICAL INFORMATION ON LOUIS BACHELIER (1870*
1946) ........................................... 36
3.3 EINSTEIN*S THEORY OF BROWNIAN MOTION .................... 37
3.3.1 OSMOTIC PRESSURE AND DIFFUSION IN SUSPENSIONS ....... 37
3.3.2 BROWNIAN MOTION ................................. 39
3.4 EXPERIMENTAL SITUATION .................................. 40
3.4.1 FINANCIAL DATA ................................... 40
X CONTENTS
3.4.2 PERRIN*S OBSERVATIONS OF BROWNIAN MOTION ........... 40
3.4.3 ONE-DIMENSIONAL MOTION OF ELECTRONIC SPINS ......... 42
4. THE BLACK*SCHOLES THEORYOF OPTION PRICES
...............
47
4.1 IMPORTANT QUESTIONS .................................... 47
4.2 ASSUMPTIONS AND NOTATION ............................... 48
4.2.1 ASSUMPTIONS ..................................... 48
4.2.2 NOTATION ........................................ 49
4.3 PRICES FOR DERIVATIVES ................................... 49
4.3.1 FORWARD PRICE .................................... 49
4.3.2 FUTURES PRICE ................................... 51
4.3.3 LIMITS ON OPTION PRICES ........................... 51
4.4 MODELING FLUCTUATIONS OF FINANCIAL ASSETS ................. 54
4.4.1 STOCHASTIC PROCESSES ............................. 55
4.4.2 THE STANDARD MODEL OF STOCK PRICES ................ 62
4.4.3 THE IT*O LEMMA .................................. 65
4.4.4 LOG-NORMAL DISTRIBUTIONS FOR STOCK PRICES ........... 66
4.5 OPTION PRICING ......................................... 68
4.5.1 THE BLACK*SCHOLES DIFFERENTIAL EQUATION ............. 68
4.5.2 SOLUTION OF THE BLACK*SCHOLES EQUATION ............. 71
4.5.3 RISK-NEUTRAL VALUATION ............................ 76
5. SCALING IN FINANCIAL DATA AND IN PHYSICS
..................
79
5.1 IMPORTANT QUESTIONS .................................... 79
5.2 STATIONARITY OF FINANCIAL MARKETS ......................... 79
5.3 GEOMETRIC BROWNIAN MOTION ............................. 83
5.3.1 STATISTICAL INDEPENDENCE OF PRICE FLUCTUATIONS ....... 83
5.3.2 STATISTICS OF PRICE CHANGES OF FINANCIAL ASSETS ....... 87
5.4 PARETO LAWS AND L´EVY FLIGHTS ............................ 95
5.4.1 DEFINITIONS ...................................... 95
5.4.2 THE GAUSSIAN DISTRIBUTION AND THE CENTRAL LIMIT THE-
OREM ............................................ 97
5.4.3 L´EVY DISTRIBUTIONS ................................ 99
5.4.4 TRUNCATED L´EVY DISTRIBUTIONS ...................... 101
5.5 SCALING, L´EVY DISTRIBUTIONS, AND L´EVY FLIGHTS IN NATURE ..... 103
5.5.1 CRITICALITY AND SELF-ORGANIZED CRITICALITY,
DIFFUSION AND SUPERDIFFUSION ....................... 104
5.5.2 MICELLES ......................................... 105
5.5.3 FLUID DYNAMICS .................................. 106
5.5.4 THE DYNAMICS OF THE HUMAN HEART ................. 108
5.5.5 PHOTOCONDUCTIVITY IN AMORPHOUS SEMICONDUCTORS .... 111
5.5.6 SUPERPOSITION OF CHAOTIC PROCESSES ................. 112
5.5.7 TSALLIS STATISTICS .................................. 113
5.6 NEW DEVELOPMENTS: NONSTABLE SCALING, TEMPORAL AND INTERAS-
SET CORRELATIONS IN FINANCIAL MARKETS ..................... 115
CONTENTS XI
5.6.1 NONSTABLE SCALING IN FINANCIAL ASSET RETURNS ........ 115
5.6.2 NONLINEAR TEMPORAL CORRELATIONS ................... 117
5.6.3 CROSS-CORRELATIONS IN STOCK MARKETS? ............... 120
6. TURBULENCE AND FOREIGN EXCHANGE MARKETS
...............
125
6.1 IMPORTANT QUESTIONS .................................... 125
6.2 TURBULENT FLOWS ........................................ 125
6.2.1 PHENOMENOLOGY .................................. 126
6.2.2 STATISTICAL DESCRIPTION OF TURBULENCE ................ 128
6.3 FOREIGN EXCHANGE MARKETS ............................... 133
6.3.1 WHY FOREIGN EXCHANGE MARKETS? ................... 133
6.3.2 EMPIRICAL RESULTS ................................ 133
6.3.3 STOCHASTIC CASCADE MODELS ........................ 136
7. RISK CONTROL AND DERIVATIVE PRICING
IN NON-GAUSSIAN MARKETS
.................................
139
7.1 IMPORTANT QUESTIONS .................................... 139
7.2 RISK CONTROL ........................................... 140
7.2.1 STATISTICS OF EXTREMAL EVENTS ...................... 140
7.2.2 RISK MEASUREMENT ................................ 142
7.2.3 RISK CONTROL BY DIVERSIFICATION ..................... 144
7.3 DERIVATIVE PRICING BEYOND BLACK*SCHOLES .................. 148
7.3.1 APPLICATION TO FORWARD CONTRACTS .................. 149
7.3.2 OPTION PRICING (EUROPEAN CALLS) ................... 151
8. MICROSCOPIC MARKET MODELS
..............................
159
8.1 IMPORTANT QUESTIONS .................................... 159
8.2 ARE MARKETS EFFICIENT? .................................. 160
8.3 COMPUTER SIMULATION OF MARKET MODELS ................... 163
8.3.1 TWO CLASSICAL EXAMPLES ........................... 163
8.3.2 RECENT MODELS ................................... 165
9. THEORYOF STOCK EXCHANGE CRASHES
.......................
185
9.1 IMPORTANT QUESTIONS .................................... 185
9.2 EXAMPLES .............................................. 186
9.3 EARTHQUAKES AND MATERIAL FAILURE ........................ 190
9.4 STOCK EXCHANGE CRASHES ................................. 195
9.5 ARE CRASHES RATIONAL? .................................. 200
9.6 WHAT HAPPENS AFTER A CRASH? ........................... 202
9.7 A RICHTER SCALE FOR FINANCIAL MARKETS ..................... 205
NOTES AND REFERENCES
.........................................
213
INDEX
.........................................................
219
|
| any_adam_object | 1 |
| author | Voit, Johannes 1957- |
| author_GND | (DE-588)111530261 |
| author_facet | Voit, Johannes 1957- |
| author_role | aut |
| author_sort | Voit, Johannes 1957- |
| author_variant | j v jv |
| building | Verbundindex |
| bvnumber | BV013585542 |
| callnumber-first | H - Social Science |
| callnumber-label | HG176 |
| callnumber-raw | HG176.5.V64 2001 |
| callnumber-search | HG176.5.V64 2001 |
| callnumber-sort | HG 3176.5 V64 42001 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 QK 620 SK 980 UG 3100 |
| ctrlnum | (OCoLC)247957355 (DE-599)BVBBV013585542 |
| dewey-full | 332/.01/519521 332/.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/5195 21 332/.01/5195 |
| dewey-search | 332/.01/5195 21 332/.01/5195 |
| dewey-sort | 3332 11 45195 221 |
| dewey-tens | 330 - Economics |
| discipline | Physik Mathematik Wirtschaftswissenschaften |
| format | Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T18:48:27Z |
| institution | BVB |
| isbn | 3540414096 |
| language | English |
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| series2 | Texts and monographs in physics Physics and astronomy online library |
| spelling | Voit, Johannes 1957- Verfasser (DE-588)111530261 aut The statistical mechanics of financial markets with 5 tables Johannes Voit Berlin u.a. Springer 2001 XII, 220 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Texts and monographs in physics Physics and astronomy online library Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Finance -- Statistical methods Capital market -- Statistical methods Statistical physics Financial engineering Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Statistische Mechanik (DE-588)4056999-8 gnd rswk-swf Physik (DE-588)4045956-1 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Statistische Physik (DE-588)4057000-9 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Statistische Mechanik (DE-588)4056999-8 s DE-604 Finanzwirtschaft (DE-588)4017214-4 s Physik (DE-588)4045956-1 s Mathematisches Modell (DE-588)4114528-8 s Finanzmathematik (DE-588)4017195-4 s Statistische Physik (DE-588)4057000-9 s DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009278948&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Voit, Johannes 1957- The statistical mechanics of financial markets with 5 tables Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Finance -- Statistical methods Capital market -- Statistical methods Statistical physics Financial engineering Finanzmathematik (DE-588)4017195-4 gnd Statistische Mechanik (DE-588)4056999-8 gnd Physik (DE-588)4045956-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd Statistische Physik (DE-588)4057000-9 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4056999-8 (DE-588)4045956-1 (DE-588)4073788-3 (DE-588)4114528-8 (DE-588)4057000-9 (DE-588)4017214-4 |
| title | The statistical mechanics of financial markets with 5 tables |
| title_auth | The statistical mechanics of financial markets with 5 tables |
| title_exact_search | The statistical mechanics of financial markets with 5 tables |
| title_full | The statistical mechanics of financial markets with 5 tables Johannes Voit |
| title_fullStr | The statistical mechanics of financial markets with 5 tables Johannes Voit |
| title_full_unstemmed | The statistical mechanics of financial markets with 5 tables Johannes Voit |
| title_short | The statistical mechanics of financial markets |
| title_sort | the statistical mechanics of financial markets with 5 tables |
| title_sub | with 5 tables |
| topic | Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Finance -- Statistical methods Capital market -- Statistical methods Statistical physics Financial engineering Finanzmathematik (DE-588)4017195-4 gnd Statistische Mechanik (DE-588)4056999-8 gnd Physik (DE-588)4045956-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Mathematisches Modell (DE-588)4114528-8 gnd Statistische Physik (DE-588)4057000-9 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| topic_facet | Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Finance -- Statistical methods Capital market -- Statistical methods Statistical physics Financial engineering Finanzmathematik Statistische Mechanik Physik Kreditmarkt Mathematisches Modell Statistische Physik Finanzwirtschaft |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009278948&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT voitjohannes thestatisticalmechanicsoffinancialmarketswith5tables |