An introduction to econophysics correlations and complexity in finance - Mantegna, Rosario N., (Rosario Nunzio) (Cambridge University Press, 2000)
Includes bibliographical references (pages 137-144) and index
Introduction -- - Efficient market hypothesis -- - Random walk -- - Levy stochastic processes and limit theorems -- - Scales in financial data -- - Stationarity and time correlation -- - Time correlation in financial time series -- - Stochastic models of price dynamics -- - Scaling and its breakdown -- - ARCH and GARCH processes -- - Financial markets and turbulence -- - Correlation and anticorrelation between stocks -- - Taxonomy of a stock portfolio -- - Options in idealized markets -- - Options in real markets