This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The aut...

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Bibliographic Details

Main Author:	Mantegna, Rosario N. 1960- (Author)
Format:	Electronic eBook
Language:	English
Published:	Cambridge Cambridge University Press 2000
Subjects:	Mathematisches Modell Econophysics Finance / Statistical methods Finance / Mathematical models Finanzmathematik Kapitalmarkttheorie Wirtschaftsmathematik Statistische Physik
Online Access:	BSB01 FHN01 Volltext
Summary:	This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems
Item Description:	Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Physical Description:	1 online resource (ix, 148 pages)
ISBN:	9780511755767
DOI:	10.1017/CBO9780511755767