The statistical mechanics of financial markets: with 6 tables
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| Previous Title: | Voit, Johannes The statistical mechanics of capital markets |
|---|---|
| Main Author: | |
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
[2003]
|
| Edition: | Second edition (study edition) |
| Series: | Texts and monographs in physics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XIV, 287 Seiten Illustrationen, Diagramme |
| ISBN: | 3540009787 9783540009788 |
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MARC
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| 100 | 1 | |a Voit, Johannes |d 1957- |0 (DE-588)111530261 |4 aut | |
| 245 | 1 | 0 | |a The statistical mechanics of financial markets |c Johannes Voit |
| 250 | |a Second edition (study edition) | ||
| 264 | 1 | |a Berlin [u.a.] |b Springer |c [2003] | |
| 264 | 4 | |c © 2003 | |
| 300 | |a XIV, 287 Seiten |b Illustrationen, Diagramme | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Texts and monographs in physics | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie | |
| 650 | 4 | |a Statistische Physik - Finanzmathematik | |
| 650 | 4 | |a Capital market |x Statistical methods | |
| 650 | 4 | |a Finance |x Statistical methods | |
| 650 | 4 | |a Financial engineering | |
| 650 | 4 | |a Statistical physics | |
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| 780 | 0 | 0 | |i Früher u.d.T. |a Voit, Johannes |t The statistical mechanics of capital markets |
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Record in the Search Index
| _version_ | 1812724586834296832 |
|---|---|
| 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
.
8
2.
BASIC
INFORMATION
ON
CAPITAL
MARKETS
.
13
2.1
TERMINOLOGY
.
13
2.2
THREE
IMPORTANT
DERIVATIVES
.
14
2.2.1
FORWARD
CONTRACTS
.
14
2.2.2
FUTURES
CONTRACT
.
15
2.2.3
OPTIONS
.
15
2.3
DERIVATIVE
POSITIONS
.
17
2.4
MARKET
ACTORS
.
19
2.5
PRICE
FORMATION
AT
ORGANIZED
EXCHANGES
.
20
2.5.1
ORDER
TYPES
.
20
2.5.2
PRICE
FORMATION
BY
AUCTION
.
21
2.5.3
CONTINUOUS
TRADING:
THE
XETRA
COMPUTER
TRADING
SYSTEM
.
23
3.
RANDOM
WALKS
IN
FINANCE
AND
PHYSICS
.
25
3.1
IMPORTANT
QUESTIONS
.
25
3.2
BACHELIER
'
S
"
THEORIE
DE
LA
SPECULATION
"
.
26
3.2.1
PRELIMINARIES
.
26
3.2.2
PROBABILITIES
IN
STOCK
MARKET
OPERATIONS
.
30
3.2.3
EMPIRICAL
DATA
ON
SUCCESSFUL
OPERATIONS
IN
STOCK
MARKETS
.
37
3.2.4
BIOGRAPHICAL
INFORMATION
ON
LOUIS
BACHELIER
(1870-1946)
.
38
3.3
EINSTEIN
'
S
THEORY
OF
BROWNIAN
MOTION
.
39
3.3.1
OSMOTIC
PRESSURE
AND
DIFFUSION
IN
SUSPENSIONS
.
39
3.3.2
BROWNIAN
MOTION
.
41
3.4
EXPERIMENTAL
SITUATION
.
42
3.4.1
FINANCIAL
DATA
.
42
XII
CONTENTS
3.4.2
PERRIN
'
S
OBSERVATIONS
OF BROWNIAN
MOTION
.
44
3.4.3
ONE-DIMENSIONAL
MOTION
OF
ELECTRONIC
SPINS
.
44
4.
THE
BLACK
-
SCHOLES
THEORY
OF
OPTION
PRICES
.
49
4.1
IMPORTANT
QUESTIONS
.
49
4.2
ASSUMPTIONS
AND
NOTATION
.
50
4.2.1
ASSUMPTIONS
.
50
4.2.2
NOTATION
.
51
4.3
PRICES
FOR
DERIVATIVES
.
51
4.3.1
FORWARD
PRICE
.
51
4.3.2
FUTURES
PRICE
.
53
4.3.3
LIMITS
ON
OPTION
PRICES
.
54
4.4
MODELING
FLUCTUATIONS
OF
FINANCIAL
ASSETS
.
56
4.4.1
STOCHASTIC
PROCESSES
.
57
4.4.2
THE
STANDARD
MODEL
OF
STOCK
PRICES
.
65
4.4.3
THE
ITO
LEMMA
.
66
4.4.4
LOG-NORMAL
DISTRIBUTIONS
FOR
STOCK
PRICES
.
68
4.5
OPTION
PRICING
.
70
4.5.1
THE
BLACK-SCHOLES
DIFFERENTIAL
EQUATION
.
70
4.5.2
SOLUTION
OF
THE
BLACK-SCHOLES
EQUATION
.
73
4.5.3
RISK-NEUTRAL
VALUATION
.
78
4.5.4
IMPLIED
VOLATILITY
.
79
5.
SCALING
IN
FINANCIAL
DATA
AND
IN
PHYSICS
.
85
5.1
IMPORTANT
QUESTIONS
.
85
5.2
STATIONARITY
OF
FINANCIAL
MARKETS
.
85
5.3
GEOMETRIC
BROWNIAN
MOTION
.
90
5.3.1
PRICE
HISTORIES
.
90
5.3.2
STATISTICAL
INDEPENDENCE
OF
PRICE
FLUCTUATIONS
.
90
5.3.3
STATISTICS
OF
PRICE
CHANGES
OF
FINANCIAL
ASSETS
.
95
5.4
PARETO
LAWS
AND
LEVY
FLIGHTS
.
105
5.4.1
DEFINITIONS
.
105
5.4.2
THE
GAUSSIAN
DISTRIBUTION
AND
THE
CENTRAL
LIMIT
THEOREM
.
107
5.4.3
LEVY
DISTRIBUTIONS
.
110
5.4.4
NON-STABLE
DISTRIBUTIONS
WITH
POWER
LAWS
.
112
5.5
SCALING,
LEVY
DISTRIBUTIONS,
AND
LEVY
FLIGHTS
IN
NATURE
.
115
5.5.1
CRITICALITY
AND
SELF-ORGANIZED
CRITICALITY,
DIFFUSION
AND
SUPERDIFFUSION
.
116
5.5.2
MICELLES
.
117
5.5.3
FLUID
DYNAMICS
.
118
5.5.4
THE
DYNAMICS
OF
THE
HUMAN
HEART
.
120
5.5.5
AMORPHOUS
SEMICONDUCTORS
AND
GLASSES
.
123
5.5.6
SUPERPOSITION
OF
CHAOTIC
PROCESSES
.
125
5.5.7
TSALLIS
STATISTICS
.
127
CONTENTS
XIII
5.6
NEW
DEVELOPMENTS:
NON-STABLE
SCALING,
TEMPORAL
AND
INTERASSET
CORRELATIONS
IN
FINANCIAL
MARKETS
.
131
5.6.1
NON-STABLE
SCALING
IN
FINANCIAL
ASSET
RETURNS
.
131
5.6.2
THE
BREADTH
OF
THE
MARKET
.
135
5.6.3
NON-LINEAR
TEMPORAL
CORRELATIONS
.
138
5.6.4
STOCHASTIC
VOLATILITY
MODELS
.
144
5.6.5
CROSS-CORRELATIONS
IN
STOCK
MARKETS
.
146
6.
TURBULENCE
AND
FOREIGN
EXCHANGE
MARKETS
.
153
6.1
IMPORTANT
QUESTIONS
.
153
6.2
TURBULENT
FLOWS
.
153
6.2.1
PHENOMENOLOGY
.
154
6.2.2
STATISTICAL
DESCRIPTION
OF
TURBULENCE
.
156
6.2.3
RELATION
TO
NON-EXTENSIVE
STATISTICAL
MECHANICS
.
161
6.3
FOREIGN
EXCHANGE
MARKETS
.
162
6.3.1
WHY
FOREIGN
EXCHANGE
MARKETS?
.
162
6.3.2
EMPIRICAL
RESULTS
.
163
6.3.3
STOCHASTIC
CASCADE
MODELS
.
169
6.3.4
THE
MULTIFRACTAL
INTERPRETATION
.
171
7.
RISK
CONTROL
AND
DERIVATIVE
PRICING
IN
NON-GAUSSIAN
MARKETS
.
177
7.1
IMPORTANT
QUESTIONS
.
177
7.2
RISK
CONTROL
.
178
7.2.1
STATISTICS
OF
EXTREMAL
EVENTS
.
178
7.2.2
RISK
MEASUREMENT
.
180
7.2.3
RISK
MANAGEMENT
BY
DIVERSIFICATION
.
182
7.3
DERIVATIVE
PRICING
BEYOND
BLACK-SCHOLES
.
187
7.3.1
APPLICATION
TO
FORWARD
CONTRACTS
.
188
7.3.2
OPTION
PRICING
(EUROPEAN
CALLS)
.
189
7.3.3
MONTE
CARLO
SIMULATIONS
.
194
7.3.4
OPTION
PRICING
BEYOND
BLACK-SCHOLES:
ALTERNATIVE
APPROACHES
.
197
8.
MICROSCOPIC
MARKET
MODELS
.
209
8.1
IMPORTANT
QUESTIONS
.
209
8.2
ARE
MARKETS
EFFICIENT?
.
210
8.3
COMPUTER
SIMULATION
OF
MARKET
MODELS
.
214
8.3.1
TWO
CLASSICAL
EXAMPLES
.
214
8.3.2
RECENT
MODELS
.
215
8.4
THE
MINORITY
GAME
.
235
8.4.1
THE
BASIC
MINORITY
GAME
.
236
8.4.2
A
PHASE
TRANSITION
IN
THE
MINORITY
GAME
.
238
8.4.3
RELATION
TO
FINANCIAL
MARKETS
.
239
8.4.4
SPIN
GLASSES
AND
AN
EXACT
SOLUTION
.
241
8.4.5
EXTENSIONS
OF
THE
MINORITY
GAME
.
243
XIV
CONTENTS
9.
THEORY
OF
STOCK
EXCHANGE
CRASHES
.
247
9.1
IMPORTANT
QUESTIONS
.
247
9.2
EXAMPLES
.
248
9.3
EARTHQUAKES
AND
MATERIAL
FAILURE
.
252
9.4
STOCK
EXCHANGE
CRASHES
.
258
9.5
ARE
CRASHES
RATIONAL?
.
263
9.6
WHAT
HAPPENS
AFTER
A
CRASH?
.
265
9.7
A
RICHTER
SCALE
FOR
FINANCIAL
MARKETS
.
267
A.
APPENDIX:
INFORMATION
SOURCES
.
271
NOTES
AND
REFERENCES
.
276
INDEX
.
285 |
| 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 | BV017038569 |
| callnumber-first | H - Social Science |
| callnumber-label | HG176 |
| callnumber-raw | HG176.5.V64 2003 |
| callnumber-search | HG176.5.V64 2003 |
| callnumber-sort | HG 3176.5 V64 42003 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 QP 890 SK 980 |
| ctrlnum | (OCoLC)249371465 (DE-599)BVBBV017038569 |
| dewey-full | 332/.041/015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.041/015195 |
| dewey-search | 332/.041/015195 |
| dewey-sort | 3332 241 515195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | Second edition (study edition) |
| format | Book |
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| id | DE-604.BV017038569 |
| illustrated | Illustrated |
| indexdate | 2024-10-12T16:01:20Z |
| institution | BVB |
| isbn | 3540009787 9783540009788 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010282374 |
| oclc_num | 249371465 |
| open_access_boolean | |
| owner | DE-20 DE-1050 DE-19 DE-BY-UBM DE-634 DE-83 DE-188 |
| owner_facet | DE-20 DE-1050 DE-19 DE-BY-UBM DE-634 DE-83 DE-188 |
| physical | XIV, 287 Seiten Illustrationen, Diagramme |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Springer |
| record_format | marc |
| series2 | Texts and monographs in physics |
| spelling | Voit, Johannes 1957- (DE-588)111530261 aut The statistical mechanics of financial markets Johannes Voit Second edition (study edition) Berlin [u.a.] Springer [2003] © 2003 XIV, 287 Seiten Illustrationen, Diagramme txt rdacontent n rdamedia nc rdacarrier Texts and monographs in physics Includes bibliographical references and index Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Capital market Statistical methods Finance Statistical methods Financial engineering Statistical physics Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Statistische Physik (DE-588)4057000-9 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Statistische Physik (DE-588)4057000-9 s Finanzmathematik (DE-588)4017195-4 s DE-188 Kapitalmarkt (DE-588)4029578-3 s 1\p DE-604 Früher u.d.T. Voit, Johannes The statistical mechanics of capital markets DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010282374&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Voit, Johannes 1957- The statistical mechanics of financial markets Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Capital market Statistical methods Finance Statistical methods Financial engineering Statistical physics Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkt (DE-588)4029578-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)4029578-3 (DE-588)4017195-4 (DE-588)4057000-9 |
| title | The statistical mechanics of financial markets |
| title_auth | The statistical mechanics of financial markets |
| title_exact_search | The statistical mechanics of financial markets |
| title_full | The statistical mechanics of financial markets Johannes Voit |
| title_fullStr | The statistical mechanics of financial markets Johannes Voit |
| title_full_unstemmed | The statistical mechanics of financial markets Johannes Voit |
| title_old | Voit, Johannes The statistical mechanics of capital markets |
| title_short | The statistical mechanics of financial markets |
| title_sort | the statistical mechanics of financial markets |
| title_sub | with 6 tables |
| topic | Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Capital market Statistical methods Finance Statistical methods Financial engineering Statistical physics Kreditmarkt (DE-588)4073788-3 gnd Kapitalmarkt (DE-588)4029578-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd |
| topic_facet | Finanzmarkt / Kapitalmarkttheorie / Physik / Statistische Methodenlehre / Wahrscheinlichkeitsrechnung / Theorie Statistische Physik - Finanzmathematik Capital market Statistical methods Finance Statistical methods Financial engineering Statistical physics Kreditmarkt Kapitalmarkt Finanzmathematik Statistische Physik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010282374&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT voitjohannes thestatisticalmechanicsoffinancialmarkets |