Econophysics: an introduction
Gespeichert in:
Format: | Buch |
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Sprache: | English |
Veröffentlicht: |
Weinheim
Wiley-VCH
2011
|
Schriftenreihe: | Physics textbook
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Schlagworte: | |
Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
Beschreibung: | XIII, 355 S. graph. Darst. |
ISBN: | 9783527408153 |
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Datensatz im Suchindex
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CONTENTS PREFACE XI 1 INTRODUCTION 1 1.1 A BRIEF HISTORY OF ECONOMICS
FROM THE PHYSICIST'S PERSPECTIVE 5 1.2 OUTLINE OF THE BOOK 10 2 THE
RANDOM WALK 13 2.1 WHAT IS A RANDOM WALK? 13 2.1.1 DEFINITION OF RANDOM
WALK 13 2.1.2 THE RANDOM WALK FORMALISM AND DERIVATION OF THE GAUSSIAN
DISTRIBUTION 17 2.1.3 THE GAUSSIAN OR NORMAL DISTRIBUTION 21 2.1.4
WIENER PROCESS 23 2.1.5 LANGEVIN EQUATION AND BROWNIAN MOTION 24 2.2 DO
MARKETS FOLLOW A RANDOM WALK? 27 2.2.1 WHAT IF THE TIME-SERIES WERE
SIMILAR TO A RANDOM WALK? 28 2.2.2 WHAT ARE THE "STYLIZED" FACTS? 31
2.2.3 SHORT NOTE ON MULTIPLICATIVE STOCHASTIC PROCESSES ARCH/GARCH 33
2.2.4 IS THE MARKET EFFICIENT? 34 2.3 ARE THERE ANY LONG-TIME
CORRELATIONS? 36 2.3.1 DETRENDED FLUCTUATION ANALYSIS (DFA) 36 2.3.2
POWER SPECTRAL DENSITY ANALYSIS 37 2.3.3 DFA AND PSD ANALYSES OF THE
AUTOCORRELATION FUNCTION OF ABSOLUTE RETURNS 38 3 BEYOND THE SIMPLE
RANDOM WALK 41 BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/998577820
DIGITALISIERT DURCH VI I CONTENTS 4 UNDERSTANDING INTERACTIONS THROUGH
CROSS-CORRELATIONS 53 4.1 THE RETURN CROSS-CORRELATION MATRIX 54 4.1.1
EIGENVALUE SPECTRUM OF CORRELATION MATRIX 55 4.1.2 PROPERTIES OF THE
"DEVIATING" EIGENVALUES 58 4.1.3 FILTERING THE CORRELATION MATRIX 60 4.2
TIME-EVOLUTION OF THE CORRELATION STRUCTURE 62 4.3 RELATING CORRELATION
WITH MARKET EVOLUTION 64 4.4 EIGENVALUE SPACING DISTRIBUTIONS 67 4.4.1
UNFOLDING OF EIGENVALUES FOR THE MARKET CORRELATION MATRIX 69 4.4.2
DISTRIBUTION OF EIGENVALUE SPACINGS 69 4.4.3 DISTRIBUTION OF NEXT
NEAREST SPACINGS BETWEEN EIGENVALUES 70 4.4.4 THE NUMBER VARIANCE
STATISTIC 70 4.5 VISUALIZING THE NETWORK OBTAINED FROM
CROSS-CORRELATIONS 72 4.6 APPLICATION TO PORTFOLIO OPTIMIZATION 76 4.7
MODEL OF MARKET DYNAMICS 77 4.8 SO WHAT DID WE LEARN? 79 5 WHY CARE
ABOUT A POWER LAW? S3 5.1 POWER LAWS IN FINANCE 83 5.1.1 THE RETURN
DISTRIBUTION 84 5.1.2 STOCK PRICE RETURN DISTRIBUTION 86 5.1.3 MARKET
INDEX RETURN DISTRIBUTION 92 CONTENTS I VII 9 BUT INDIVIDUALS ARE NOT
GAS MOLECULES . 247 9.1 AGENT-BASED MODELS: GOING BEYOND THE SIMPLE
STATISTICAL MECHANICS OF COLLIDING PARTICLES 147 9.2 EXPLAINING THE
HIDDEN HAND OF ECONOMY: SELF-ORGANIZATION IN A COLLECTION OF INTERACTING
"SELFISH" AGENTS 249 9.2.1 HIDDEN HAND OF ECONOMY 149 9.2.2 A MINIMAL
MODEL 150 9.2.2.1 UNLIMITED MONEY SUPPLY AND LIMITED SUPPLY OF COMMODITY
152 9.2.2.2 LIMITED MONEY SUPPLY AND LIMITED SUPPLY OF COMMODITY 153 9.3
GAME THEORY MODELS 154 9.3.1 MINORITY GAME AND ITS VARIANTS
(EVOLUTIONARY, ADAPTIVE AND SO ON) 159 9.3.1.1 EL FAROL BAR PROBLEM 259
9.3.1.2 BASIC MINORITY GAME 161 9.3.1.3 EVOLUTIONARY MINORITY GAMES 161
9.3.1.4 ADAPTIVE MINORITY GAMES 164 9.4 THE KOLKATA PAISE RESTAURANT
PROBLEM 168 9.4.1 ONE-SHOT KPR GAME 169 9.4.2 SIMPLE STOCHASTIC
STRATEGIES AND UTILIZATION STATISTICS 272 9.4.2.1 NO LEARNING (NL)
STRATEGY 273 9.4.2.2 LIMITED LEARNING (LL) STRATEGY 173 9.4.2.3 ONE
PERIOD REPETITION (OPR) STRATEGY 275 9.4.2.4 FOLLOW THE CROWD (FC)
STRATEGY 276 9.4.3 LIMITED QUEUE LENGTH AND MODIFIED KPR PROBLEM 276
9.4.4 SOME UNIFORM LEARNING STRATEGY LIMITS 278 9.4.4.1 NUMERICAL
ANALYSIS 279 9.4.4.2 ANALYTICAL RESULTS 280 9.4. VILI I CONTENTS 10.5
THE PRODUCT SPACE OF WORLD ECONOMY 230 10.6 HIERARCHICAL NETWORK WITHIN
AN ORGANIZATION: CONNECTION TO POWER-LAW INCOME DISTRIBUTION 234 10.6.1
INCOME AS FLOW ALONG HIERARCHICAL STRUCTURE: THE TRIBUTE MODEL 236 10.7
THE DYNAMICAL STABILITY OF ECONOMIC NETWORKS 237 11 OUTLOOK AND
CONCLUDING THOUGHTS 245 11.1 THE PROMISE AND PERILS OF ECONOMIC GROWTH
246 11.2 JAY FORRESTER'S WORLD MODEL 247 APPENDIX A THERMODYNAMICS AND
FREE PARTICLE STATISTICS 252 A.I A BRIEF INTRODUCTION TO THERMODYNAMICS
AND STATISTICAL MECHANICS 252 A.L.I PRELIMINARY CONCEPTS OF
THERMODYNAMICS 252 A.I.2 LAWS OFTHERMODYNAMICS 253 A.2 FREE PARTICLE
STATISTICS 256 A.2.1 CLASSICAL IDEAL GAS: MAXWELL-BOLTZMANN DISTRIBUTION
AND EQUATION OF STATE 257 A.2.1.1 IDEAL GAS: EQUATION OF STATE 258 A.2.2
QUANTUM IDEAL GAS 260 A.2.2.1 BOSE GAS: BOSE-EINSTEIN (BE) DISTRIBUTION
262 A.2.2.2 FERMI GAS: FERMI-DIRAC DISTRIBUTION 263 APPENDIX B
INTERACTING SYSTEMS: MEAN FIELD MODELS, FLUCTUATIONS AND SCALING
THEORIES 265 B.I INTERACTING SYSTEMS: MAGNETISM 265 CONTENTS IIX B.5.2
SAW STATISTICS 292 B.6 PERCOLATION THEORY 293 B.6.1 CRITICAL EXPONENTS
295 B.6.2 SCALING THEORY 296 B.7 FRACTALS 297 APPENDIX C RENORMALIZATION
CROUP TECHNIQUE 301 C.I RENORMALIZATION GROUP TECHNIQUE 302 C.1.1 WIDOM
SCALING 302 C.1.2 FORMALISM 303 C.I.3 RG FOR ONE-DIMENSION ISING MODEL
305 C.I.4 MOMENTUM SPACE RG FOR 4 * E DIMENSIONAL ISING MODEL 307 C.I.5
REAL SPACE RG FOR TRANSVERSE FIELD ISING CHAIN 326 C.1.6 RG METHOD FOR
PERCOLATION 329 C.I.6.1 SITE PERCOLATION IN ONE DIMENSION 329 C.I.6.2
SITE PERCOLATION IN TWO DIMENSION TRIANGULAR LATTICE 321 C.1.6.3 BOND
PERCOLATION IN TWO DIMENSION SQUARE LATTICE 322 APPENDIX D SPIN CLASSES
AND OPTIMIZATION PROBLEMS: ANNEALING 325 D.I SPIN GLASSES 325 D.I.I
MODELS 325 D.1.2 CRITICAL BEHAVIOR 326 D.1.3 REPLICA SYMMETRIC SOLUTION
OF THE S-K MODEL 327 D.2 OPTIMIZATION AND SIMULATED ANNEALING 329 D.2.1
SOME COMBINATORIAL OPTIMIZATION PROBLEMS 330 D.2.1.1 THE TRAVELING
SALESMAN PROBLEM (TSP) 330 |
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dewey-ones | 330 - Economics |
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dewey-sort | 3330.0153 |
dewey-tens | 330 - Economics |
discipline | Mathematik Wirtschaftswissenschaften |
format | Book |
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spelling | Econophysics an introduction Sitabhra Sinha ... Weinheim Wiley-VCH 2011 XIII, 355 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Physics textbook Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Soziophysik (DE-588)7553558-0 gnd rswk-swf Statistische Physik (DE-588)4057000-9 gnd rswk-swf Soziophysik (DE-588)7553558-0 s Statistische Physik (DE-588)4057000-9 s Finanzmathematik (DE-588)4017195-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Sinha, Sitabhra Sonstige (DE-588)14271092X oth text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3385125&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018934239&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Econophysics an introduction Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Soziophysik (DE-588)7553558-0 gnd Statistische Physik (DE-588)4057000-9 gnd |
subject_GND | (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)7553558-0 (DE-588)4057000-9 |
title | Econophysics an introduction |
title_auth | Econophysics an introduction |
title_exact_search | Econophysics an introduction |
title_full | Econophysics an introduction Sitabhra Sinha ... |
title_fullStr | Econophysics an introduction Sitabhra Sinha ... |
title_full_unstemmed | Econophysics an introduction Sitabhra Sinha ... |
title_short | Econophysics |
title_sort | econophysics an introduction |
title_sub | an introduction |
topic | Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Soziophysik (DE-588)7553558-0 gnd Statistische Physik (DE-588)4057000-9 gnd |
topic_facet | Mathematisches Modell Finanzmathematik Soziophysik Statistische Physik |
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