The statistical mechanics of financial markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2005
|
| Ausgabe: | 3. ed. |
| Schriftenreihe: | Texts and monographs in physics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 378 S. Ill., graph. Darst. |
| ISBN: | 3540262857 9783540262855 |
Internformat
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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 |c Johannes Voit |
| 250 | |a 3. ed. | ||
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2005 | |
| 300 | |a XV, 378 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 | |
| 650 | 7 | |a Finanza - metodi statistici |2 sbt | |
| 650 | 7 | |a Mercati finanziari - metodi statistici |2 sbt | |
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| 650 | 0 | 7 | |a Statistische Physik |0 (DE-588)4057000-9 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
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| adam_text | Contents
1. Introduction 1
1.1 Motivation 1
1.2 Why Physicists? Why Models of Physics? 4
1.3 Physics and Finance Historical 6
1.4 Aims of this Book 8
2. Basic Information on Capital Markets 13
2.1 Risk 13
2.2 Assets 13
2.3 Three Important Derivatives 15
2.3.1 Forward Contracts 16
2.3.2 Futures Contract 16
2.3.3 Options 17
2.4 Derivative Positions 19
2.5 Market Actors 20
2.6 Price Formation at Organized Exchanges 21
2.6.1 Order Types 21
2.6.2 Price Formation by Auction 22
2.6.3 Continuous Trading:
The XETRA Computer Trading System 23
3. Random Walks in Finance and Physics 27
3.1 Important Questions 27
3.2 Bachelier s Theorie de la Speculation 28
3.2.1 Preliminaries 28
3.2.2 Probabilities in Stock Market Operations 32
3.2.3 Empirical Data on Successful Operations
in Stock Markets 39
3.2.4 Biographical Information
on Louis Bachelier (1870 1946) 40
3.3 Einstein s Theory of Brownian Motion 41
3.3.1 Osmotic Pressure and Diffusion in Suspensions 41
3.3.2 Brownian Motion 43
3.4 Experimental Situation 44
XII Contents
3.4.1 Financial Data 44
3.4.2 Perrin s Observations of Brownian Motion 46
3.4.3 One Dimensional Motion of Electronic Spins 47
4. The Black Scholes Theory of Option Prices 51
4.1 Important Questions 51
4.2 Assumptions and Notation 52
4.2.1 Assumptions 52
4.2.2 Notation 53
4.3 Prices for Derivatives 53
4.3.1 Forward Price 54
4.3.2 Futures Price 55
4.3.3 Limits on Option Prices 56
4.4 Modeling Fluctuations of Financial Assets 58
4.4.1 Stochastic Processes 59
4.4.2 The Standard Model of Stock Prices 67
4.4.3 The Ito Lemma 68
4.4.4 Log normal Distributions for Stock Prices 70
4.5 Option Pricing 72
4.5.1 The Black Scholes Differential Equation 72
4.5.2 Solution of the Black Scholes Equation 75
4.5.3 Risk Neutral Valuation 80
4.5.4 American Options 81
4.5.5 The Greeks 83
4.5.6 Synthetic Replication of Options 87
4.5.7 Implied Volatility 88
4.5.8 Volatility Indices 93
5. Scaling in Financial Data and in Physics 101
5.1 Important Questions 101
5.2 Stationarity of Financial Markets 102
5.3 Geometric Brownian Motion 106
5.3.1 Price Histories 106
5.3.2 Statistical Independence of Price Fluctuations 106
5.3.3 Statistics of Price Changes of Financial Assets Ill
5.4 Pareto Laws and Levy Flights 120
5.4.1 Definitions 121
5.4.2 The Gaussian Distribution and the Central Limit The¬
orem 123
5.4.3 Levy Distributions 126
5.4.4 Non stable Distributions with Power Laws 129
5.5 Scaling, Levy Distributions,
and Levy Flights in Nature 131
5.5.1 Criticality and Self Organized Criticality,
Diffusion and Superdiffusion 131
Contents XIII
5.5.2 Micelles 133
5.5.3 Fluid Dynamics 134
5.5.4 The Dynamics of the Human Heart 137
5.5.5 Amorphous Semiconductors and Glasses 138
5.5.6 Superposition of Chaotic Processes 141
5.5.7 Tsallis Statistics 142
5.6 New Developments: Non stable Scaling, Temporal
and Interasset Correlations in Financial Markets 146
5.6.1 Non stable Scaling in Financial Asset Returns 147
5.6.2 The Breadth of the Market 151
5.6.3 Non linear Temporal Correlations 154
5.6.4 Stochastic Volatility Models 159
5.6.5 Cross Correlations in Stock Markets 161
6. Turbulence and Foreign Exchange Markets 173
6.1 Important Questions 173
6.2 Turbulent Flows 173
6.2.1 Phenomenology 174
6.2.2 Statistical Description of Turbulence 178
6.2.3 Relation to Non extensive Statistical Mechanics 181
6.3 Foreign Exchange Markets 182
6.3.1 Why Foreign Exchange Markets? 182
6.3.2 Empirical Results 183
6.3.3 Stochastic Cascade Models 189
6.3.4 The Multifractal Interpretation 191
7. Derivative Pricing Beyond Black—Scholes 197
7.1 Important Questions 197
7.2 An Integral Framework for Derivative Pricing 197
7.3 Application to Forward Contracts 199
7.4 Option Pricing (European Calls) 200
7.5 Monte Carlo Simulations 204
7.6 Option Pricing in a Tsallis World 208
7.7 Path Integrals: Integrating the Fat Tails
into Option Pricing 210
7.8 Path Integrals: Integrating Path Dependence
into Option Pricing 216
8. Microscopic Market Models 221
8.1 Important Questions 221
8.2 Are Markets Efficient? 222
8.3 Computer Simulation of Market Models 226
8.3.1 Two Classical Examples 226
8.3.2 Recent Models 227
8.4 The Minority Game 246
XIV Contents
8.4.1 The Basic Minority Game ¦ ¦ . 247
8.4.2 A Phase Transition in the Minority Game 249
8.4.3 Relation to Financial Markets ¦ • • 250
8.4.4 Spin Glasses and an Exact Solution 252
8.4.5 Extensions of the Minority Game • ¦. 255
9. Theory of Stock Exchange Crashes 259
9.1 Important Questions • • • 259
9.2 Examples 260
9.3 Earthquakes and Material Failure 264
9.4 Stock Exchange Crashes 270
9.5 What Causes Crashes? 276
9.6 Are Crashes Rational? 278
9.7 What Happens After a Crash? 279
9.8 A Richter Scale for Financial Markets 285
10. Risk Management 289
10.1 Important Questions 289
10.2 What is Risk? 290
10.3 Measures of Risk 291
10.3.1 Volatility 292
10.3.2 Generalizations of Volatility and Moments 293
10.3.3 Statistics of Extremal Events 295
10.3.4 Value at Risk 297
10.3.5 Coherent Measures of Risk 303
10.3.6 Expected Shortfall 306
10.4 Types of Risk 308
10.4.1 Market Risk 308
10.4.2 Credit Risk 308
10.4.3 Operational Risk 311
10.4.4 Liquidity Risk 314
10.5 Risk Management 314
10.5.1 Risk Management Requires a Strategy 314
10.5.2 Limit Systems 315
10.5.3 Hedging 316
10.5.4 Portfolio Insurance 317
10.5.5 Diversification 318
10.5.6 Strategic Risk Management 323
11. Economic and Regulatory Capital
for Financial Institutions 325
11.1 Important Questions 325
11.2 Economic Capital 326
11.2.1 What Determines Economic Capital? 326
11.2.2 How Calculate Economic Capital? 327
Contents XV
11.2.3 How Allocate Economic Capital? 328
11.2.4 Economic Capital as a Management Tool 331
11.3 The Regulatory Framework 333
11.3.1 Why Banking Regulation? 333
11.3.2 Risk Based Capital Requirements 334
11.3.3 Basel I: Regulation of Credit Risk 336
11.3.4 Internal Models 338
11.3.5 Basel II: The New International Capital
Adequacy Framework 341
11.3.6 Outlook: Basel III and Basel IV 358
Appendix 359
Notes and References 364
Index 375
|
| adam_txt |
Contents
1. Introduction 1
1.1 Motivation 1
1.2 Why Physicists? Why Models of Physics? 4
1.3 Physics and Finance Historical 6
1.4 Aims of this Book 8
2. Basic Information on Capital Markets 13
2.1 Risk 13
2.2 Assets 13
2.3 Three Important Derivatives 15
2.3.1 Forward Contracts 16
2.3.2 Futures Contract 16
2.3.3 Options 17
2.4 Derivative Positions 19
2.5 Market Actors 20
2.6 Price Formation at Organized Exchanges 21
2.6.1 Order Types 21
2.6.2 Price Formation by Auction 22
2.6.3 Continuous Trading:
The XETRA Computer Trading System 23
3. Random Walks in Finance and Physics 27
3.1 Important Questions 27
3.2 Bachelier's "Theorie de la Speculation" 28
3.2.1 Preliminaries 28
3.2.2 Probabilities in Stock Market Operations 32
3.2.3 Empirical Data on Successful Operations
in Stock Markets 39
3.2.4 Biographical Information
on Louis Bachelier (1870 1946) 40
3.3 Einstein's Theory of Brownian Motion 41
3.3.1 Osmotic Pressure and Diffusion in Suspensions 41
3.3.2 Brownian Motion 43
3.4 Experimental Situation 44
XII Contents
3.4.1 Financial Data 44
3.4.2 Perrin's Observations of Brownian Motion 46
3.4.3 One Dimensional Motion of Electronic Spins 47
4. The Black Scholes Theory of Option Prices 51
4.1 Important Questions 51
4.2 Assumptions and Notation 52
4.2.1 Assumptions 52
4.2.2 Notation 53
4.3 Prices for Derivatives 53
4.3.1 Forward Price 54
4.3.2 Futures Price 55
4.3.3 Limits on Option Prices 56
4.4 Modeling Fluctuations of Financial Assets 58
4.4.1 Stochastic Processes 59
4.4.2 The Standard Model of Stock Prices 67
4.4.3 The Ito Lemma 68
4.4.4 Log normal Distributions for Stock Prices 70
4.5 Option Pricing 72
4.5.1 The Black Scholes Differential Equation 72
4.5.2 Solution of the Black Scholes Equation 75
4.5.3 Risk Neutral Valuation 80
4.5.4 American Options 81
4.5.5 The Greeks 83
4.5.6 Synthetic Replication of Options 87
4.5.7 Implied Volatility 88
4.5.8 Volatility Indices 93
5. Scaling in Financial Data and in Physics 101
5.1 Important Questions 101
5.2 Stationarity of Financial Markets 102
5.3 Geometric Brownian Motion 106
5.3.1 Price Histories 106
5.3.2 Statistical Independence of Price Fluctuations 106
5.3.3 Statistics of Price Changes of Financial Assets Ill
5.4 Pareto Laws and Levy Flights 120
5.4.1 Definitions 121
5.4.2 The Gaussian Distribution and the Central Limit The¬
orem 123
5.4.3 Levy Distributions 126
5.4.4 Non stable Distributions with Power Laws 129
5.5 Scaling, Levy Distributions,
and Levy Flights in Nature 131
5.5.1 Criticality and Self Organized Criticality,
Diffusion and Superdiffusion 131
Contents XIII
5.5.2 Micelles 133
5.5.3 Fluid Dynamics 134
5.5.4 The Dynamics of the Human Heart 137
5.5.5 Amorphous Semiconductors and Glasses 138
5.5.6 Superposition of Chaotic Processes 141
5.5.7 Tsallis Statistics 142
5.6 New Developments: Non stable Scaling, Temporal
and Interasset Correlations in Financial Markets 146
5.6.1 Non stable Scaling in Financial Asset Returns 147
5.6.2 The Breadth of the Market 151
5.6.3 Non linear Temporal Correlations 154
5.6.4 Stochastic Volatility Models 159
5.6.5 Cross Correlations in Stock Markets 161
6. Turbulence and Foreign Exchange Markets 173
6.1 Important Questions 173
6.2 Turbulent Flows 173
6.2.1 Phenomenology 174
6.2.2 Statistical Description of Turbulence 178
6.2.3 Relation to Non extensive Statistical Mechanics 181
6.3 Foreign Exchange Markets 182
6.3.1 Why Foreign Exchange Markets? 182
6.3.2 Empirical Results 183
6.3.3 Stochastic Cascade Models 189
6.3.4 The Multifractal Interpretation 191
7. Derivative Pricing Beyond Black—Scholes 197
7.1 Important Questions 197
7.2 An Integral Framework for Derivative Pricing 197
7.3 Application to Forward Contracts 199
7.4 Option Pricing (European Calls) 200
7.5 Monte Carlo Simulations 204
7.6 Option Pricing in a Tsallis World 208
7.7 Path Integrals: Integrating the Fat Tails
into Option Pricing 210
7.8 Path Integrals: Integrating Path Dependence
into Option Pricing 216
8. Microscopic Market Models 221
8.1 Important Questions 221
8.2 Are Markets Efficient? 222
8.3 Computer Simulation of Market Models 226
8.3.1 Two Classical Examples 226
8.3.2 Recent Models 227
8.4 The Minority Game 246
XIV Contents
8.4.1 The Basic Minority Game ¦ ¦ . 247
8.4.2 A Phase Transition in the Minority Game 249
8.4.3 Relation to Financial Markets ¦ • • 250
8.4.4 Spin Glasses and an Exact Solution 252
8.4.5 Extensions of the Minority Game • ¦. 255
9. Theory of Stock Exchange Crashes 259
9.1 Important Questions • • • 259
9.2 Examples 260
9.3 Earthquakes and Material Failure 264
9.4 Stock Exchange Crashes 270
9.5 What Causes Crashes? 276
9.6 Are Crashes Rational? 278
9.7 What Happens After a Crash? 279
9.8 A Richter Scale for Financial Markets 285
10. Risk Management 289
10.1 Important Questions 289
10.2 What is Risk? 290
10.3 Measures of Risk 291
10.3.1 Volatility 292
10.3.2 Generalizations of Volatility and Moments 293
10.3.3 Statistics of Extremal Events 295
10.3.4 Value at Risk 297
10.3.5 Coherent Measures of Risk 303
10.3.6 Expected Shortfall 306
10.4 Types of Risk 308
10.4.1 Market Risk 308
10.4.2 Credit Risk 308
10.4.3 Operational Risk 311
10.4.4 Liquidity Risk 314
10.5 Risk Management 314
10.5.1 Risk Management Requires a Strategy 314
10.5.2 Limit Systems 315
10.5.3 Hedging 316
10.5.4 Portfolio Insurance 317
10.5.5 Diversification 318
10.5.6 Strategic Risk Management 323
11. Economic and Regulatory Capital
for Financial Institutions 325
11.1 Important Questions 325
11.2 Economic Capital 326
11.2.1 What Determines Economic Capital? 326
11.2.2 How Calculate Economic Capital? 327
Contents XV
11.2.3 How Allocate Economic Capital? 328
11.2.4 Economic Capital as a Management Tool 331
11.3 The Regulatory Framework 333
11.3.1 Why Banking Regulation? 333
11.3.2 Risk Based Capital Requirements 334
11.3.3 Basel I: Regulation of Credit Risk 336
11.3.4 Internal Models 338
11.3.5 Basel II: The New International Capital
Adequacy Framework 341
11.3.6 Outlook: Basel III and Basel IV 358
Appendix 359
Notes and References 364
Index 375 |
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| author | Voit, Johannes 1957- |
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| discipline | Physik Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Physik Mathematik Wirtschaftswissenschaften |
| edition | 3. ed. |
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| id | DE-604.BV021247795 |
| illustrated | Illustrated |
| index_date | 2024-07-02T13:38:36Z |
| indexdate | 2024-07-09T20:33:47Z |
| institution | BVB |
| isbn | 3540262857 9783540262855 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014569253 |
| oclc_num | 181493464 |
| open_access_boolean | |
| owner | DE-29T DE-355 DE-BY-UBR DE-1102 DE-703 DE-19 DE-BY-UBM DE-1049 DE-11 DE-M347 DE-188 DE-91G DE-BY-TUM DE-858 DE-20 |
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| physical | XV, 378 S. Ill., graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Springer |
| record_format | marc |
| series2 | Texts and monographs in physics |
| spelling | Voit, Johannes 1957- Verfasser (DE-588)111530261 aut The statistical mechanics of financial markets Johannes Voit 3. ed. Berlin [u.a.] Springer 2005 XV, 378 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Texts and monographs in physics Finanza - metodi statistici sbt Mercati finanziari - metodi statistici sbt Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Statistische Physik (DE-588)4057000-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Statistische Physik (DE-588)4057000-9 s DE-604 Kapitalmarkt (DE-588)4029578-3 s Kreditmarkt (DE-588)4073788-3 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014569253&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Voit, Johannes 1957- The statistical mechanics of financial markets Finanza - metodi statistici sbt Mercati finanziari - metodi statistici sbt Kapitalmarkt (DE-588)4029578-3 gnd Statistische Physik (DE-588)4057000-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4057000-9 (DE-588)4017195-4 (DE-588)4073788-3 |
| 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_exact_search_txtP | 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_short | The statistical mechanics of financial markets |
| title_sort | the statistical mechanics of financial markets |
| topic | Finanza - metodi statistici sbt Mercati finanziari - metodi statistici sbt Kapitalmarkt (DE-588)4029578-3 gnd Statistische Physik (DE-588)4057000-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Finanza - metodi statistici Mercati finanziari - metodi statistici Kapitalmarkt Statistische Physik Finanzmathematik Kreditmarkt |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014569253&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT voitjohannes thestatisticalmechanicsoffinancialmarkets |