The Statistical Mechanics of Financial Markets:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2003
|
| Schriftenreihe: | Texts and Monographs in Physics
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | From the reviews of the first edition - "Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined. Examples, often with graphs, augment the reader’s understanding of what may be a plethora of new terms and ideas… [This is] an excellent starting point for the physicist interested in the subject. Some of the book’s strongest features are its careful definitions, its detailed examples, and the connection it establishes to physical systems." PHYSICS TODAY "This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems. [...] In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com) This highly-praised introductory treatment describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This new study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game |
| Beschreibung: | 1 Online-Ressource (XIV, 290 p) |
| ISBN: | 9783662051252 9783540009788 |
| ISSN: | 1864-5879 |
| DOI: | 10.1007/978-3-662-05125-2 |
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| 500 | |a [...] In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com) This highly-praised introductory treatment describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. | ||
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Datensatz im Suchindex
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| any_adam_object | |
| author | Voit, Johannes |
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| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519 |
| dewey-search | 519 |
| dewey-sort | 3519 |
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| discipline | Mathematik |
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| id | DE-604.BV042423344 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662051252 9783540009788 |
| issn | 1864-5879 |
| language | English |
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| spelling | Voit, Johannes Verfasser aut The Statistical Mechanics of Financial Markets by Johannes Voit Study Edition Berlin, Heidelberg Springer Berlin Heidelberg 2003 1 Online-Ressource (XIV, 290 p) txt rdacontent c rdamedia cr rdacarrier Texts and Monographs in Physics 1864-5879 From the reviews of the first edition - "Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined. Examples, often with graphs, augment the reader’s understanding of what may be a plethora of new terms and ideas… [This is] an excellent starting point for the physicist interested in the subject. Some of the book’s strongest features are its careful definitions, its detailed examples, and the connection it establishes to physical systems." PHYSICS TODAY "This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems. [...] In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com) This highly-praised introductory treatment describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions. This new study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game Mathematics Economics / Statistics Economics Game Theory, Economics, Social and Behav. Sciences Statistical Physics, Dynamical Systems and Complexity Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory Mathematik Statistik Wirtschaft Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 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 1\p DE-604 Kapitalmarkt (DE-588)4029578-3 s 2\p DE-604 https://doi.org/10.1007/978-3-662-05125-2 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Voit, Johannes The Statistical Mechanics of Financial Markets Mathematics Economics / Statistics Economics Game Theory, Economics, Social and Behav. Sciences Statistical Physics, Dynamical Systems and Complexity Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory Mathematik Statistik Wirtschaft Kapitalmarkt (DE-588)4029578-3 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4073788-3 (DE-588)4017195-4 (DE-588)4057000-9 |
| title | The Statistical Mechanics of Financial Markets |
| title_alt | Study Edition |
| 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 by Johannes Voit |
| title_fullStr | The Statistical Mechanics of Financial Markets by Johannes Voit |
| title_full_unstemmed | The Statistical Mechanics of Financial Markets by Johannes Voit |
| title_short | The Statistical Mechanics of Financial Markets |
| title_sort | the statistical mechanics of financial markets |
| topic | Mathematics Economics / Statistics Economics Game Theory, Economics, Social and Behav. Sciences Statistical Physics, Dynamical Systems and Complexity Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory Mathematik Statistik Wirtschaft Kapitalmarkt (DE-588)4029578-3 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Statistische Physik (DE-588)4057000-9 gnd |
| topic_facet | Mathematics Economics / Statistics Economics Game Theory, Economics, Social and Behav. Sciences Statistical Physics, Dynamical Systems and Complexity Statistics for Business/Economics/Mathematical Finance/Insurance Economic Theory Mathematik Statistik Wirtschaft Kapitalmarkt Kreditmarkt Finanzmathematik Statistische Physik |
| url | https://doi.org/10.1007/978-3-662-05125-2 |
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