Dynamics of markets: the new financial economics
This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster o...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2009
|
| Edition: | Second edition |
| Subjects: | |
| Online Access: | BSB01 FHN01 UBW01 Volltext |
| Summary: | This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis |
| Item Description: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Physical Description: | 1 online resource (xv, 270 pages) |
| ISBN: | 9780511805448 |
| DOI: | 10.1017/CBO9780511805448 |
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| contents | Econophysics : why and what -- Neo-classical economic theory -- Probability and stochastic processes -- Introduction to financial economics -- Introduction to portfolio selection theory -- Scaling, pair correlations, and conditional densities -- Statistical ensembles : deducing dynamics from time series -- Martingale option pricing -- FX market globalization : evolution of the dollar to worldwide reserve currency -- Macroeconomics and econometrics : regression models vs empirically based modeling -- Complexity |
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| discipline | Mathematik Wirtschaftswissenschaften |
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| edition | Second edition |
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| indexdate | 2024-07-10T07:39:20Z |
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| isbn | 9780511805448 |
| language | English |
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| spelling | McCauley, Joseph L. Verfasser aut Dynamics of markets the new financial economics Joseph L. McCauley Second edition Cambridge Cambridge University Press 2009 1 online resource (xv, 270 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) Econophysics : why and what -- Neo-classical economic theory -- Probability and stochastic processes -- Introduction to financial economics -- Introduction to portfolio selection theory -- Scaling, pair correlations, and conditional densities -- Statistical ensembles : deducing dynamics from time series -- Martingale option pricing -- FX market globalization : evolution of the dollar to worldwide reserve currency -- Macroeconomics and econometrics : regression models vs empirically based modeling -- Complexity This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis Mathematisches Modell Finance / Mathematical models Finance / Statistical methods Business mathematics Markets / Mathematical models Statistical physics Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Mathematisches Modell (DE-588)4114528-8 s 1\p DE-604 Finanzmathematik (DE-588)4017195-4 s 2\p DE-604 Erscheint auch als Druckausgabe 978-0-521-42962-7 https://doi.org/10.1017/CBO9780511805448 Verlag URL des Erstveröffentlichers 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 | McCauley, Joseph L. Dynamics of markets the new financial economics Econophysics : why and what -- Neo-classical economic theory -- Probability and stochastic processes -- Introduction to financial economics -- Introduction to portfolio selection theory -- Scaling, pair correlations, and conditional densities -- Statistical ensembles : deducing dynamics from time series -- Martingale option pricing -- FX market globalization : evolution of the dollar to worldwide reserve currency -- Macroeconomics and econometrics : regression models vs empirically based modeling -- Complexity Mathematisches Modell Finance / Mathematical models Finance / Statistical methods Business mathematics Markets / Mathematical models Statistical physics Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4017195-4 (DE-588)4073788-3 |
| title | Dynamics of markets the new financial economics |
| title_auth | Dynamics of markets the new financial economics |
| title_exact_search | Dynamics of markets the new financial economics |
| title_full | Dynamics of markets the new financial economics Joseph L. McCauley |
| title_fullStr | Dynamics of markets the new financial economics Joseph L. McCauley |
| title_full_unstemmed | Dynamics of markets the new financial economics Joseph L. McCauley |
| title_short | Dynamics of markets |
| title_sort | dynamics of markets the new financial economics |
| title_sub | the new financial economics |
| topic | Mathematisches Modell Finance / Mathematical models Finance / Statistical methods Business mathematics Markets / Mathematical models Statistical physics Mathematisches Modell (DE-588)4114528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Mathematisches Modell Finance / Mathematical models Finance / Statistical methods Business mathematics Markets / Mathematical models Statistical physics Finanzmathematik Kreditmarkt |
| url | https://doi.org/10.1017/CBO9780511805448 |
| work_keys_str_mv | AT mccauleyjosephl dynamicsofmarketsthenewfinancialeconomics |