An introduction to econophysics :: correlations and complexity in finance /
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...
Gespeichert in:
| 1. Verfasser: | |
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| Weitere Verfasser: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, UK ; New York :
Cambridge University Press,
2000.
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (ix, 148 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 137-144) and index. |
| ISBN: | 0511039948 9780511039942 9780511755767 0511755767 0511329113 9780511329111 9786610429349 6610429340 9780521039871 0521039878 |
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| 245 | 1 | 3 | |a An introduction to econophysics : |b correlations and complexity in finance / |c Rosario N. Mantegna, H. Eugene Stanley. |
| 260 | |a Cambridge, UK ; |a New York : |b Cambridge University Press, |c 2000. | ||
| 300 | |a 1 online resource (ix, 148 pages) : |b illustrations | ||
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| 504 | |a Includes bibliographical references (pages 137-144) and index. | ||
| 505 | 0 | 0 | |t Introduction -- |t Efficient market hypothesis -- |t Random walk -- |t Levy stochastic processes and limit theorems -- |t Scales in financial data -- |t Stationarity and time correlation -- |t Time correlation in financial time series -- |t Stochastic models of price dynamics -- |t Scaling and its breakdown -- |t ARCH and GARCH processes -- |t Financial markets and turbulence -- |t Correlation and anticorrelation between stocks -- |t Taxonomy of a stock portfolio -- |t Options in idealized markets -- |t Options in real markets. |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Finance |x Statistical methods. | |
| 650 | 0 | |a Finance |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh85048260 | |
| 650 | 0 | |a Statistical physics. |0 http://id.loc.gov/authorities/subjects/sh85127573 | |
| 650 | 6 | |a Finances |x Méthodes statistiques. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 6 | |a Physique statistique. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
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| 650 | 7 | |a Finance |x Statistical methods |2 fast | |
| 650 | 7 | |a Statistical physics |2 fast | |
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| 655 | 0 | |a Electronic books. | |
| 655 | 4 | |a Electronic books. | |
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| author | Mantegna, Rosario N. (Rosario Nunzio), 1960- |
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| contents | 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. |
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| discipline | Wirtschaftswissenschaften |
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| genre | Electronic books. |
| genre_facet | Electronic books. |
| id | ZDB-4-EBA-ocm56219674 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:15:34Z |
| institution | BVB |
| isbn | 0511039948 9780511039942 9780511755767 0511755767 0511329113 9780511329111 9786610429349 6610429340 9780521039871 0521039878 |
| language | English |
| oclc_num | 56219674 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (ix, 148 pages) : illustrations |
| psigel | ZDB-4-EBA |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Cambridge University Press, |
| record_format | marc |
| spelling | Mantegna, Rosario N. (Rosario Nunzio), 1960- https://id.oclc.org/worldcat/entity/E39PBJf4h3KgQmvy9jPh9yMByd http://id.loc.gov/authorities/names/n99025026 An introduction to econophysics : correlations and complexity in finance / Rosario N. Mantegna, H. Eugene Stanley. Cambridge, UK ; New York : Cambridge University Press, 2000. 1 online resource (ix, 148 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 data file 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. Print version record. 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. Finance Statistical methods. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Statistical physics. http://id.loc.gov/authorities/subjects/sh85127573 Finances Méthodes statistiques. Finances Modèles mathématiques. Physique statistique. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Finance Statistical methods fast Statistical physics fast Samfundsvidenskab Økonomi. Electronic books. Stanley, H. Eugene (Harry Eugene), 1941- https://id.oclc.org/worldcat/entity/E39PBJp64gRqjWH4YmtHbCtFrq http://id.loc.gov/authorities/names/n50027918 Print version: Mantegna, Rosario N. (Rosario Nunzio), 1960- Introduction to econophysics. Cambridge, UK ; New York : Cambridge University Press, 2000 0521620082 (DLC) 99028047 (OCoLC)41090880 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=112413 Volltext |
| spellingShingle | Mantegna, Rosario N. (Rosario Nunzio), 1960- An introduction to econophysics : correlations and complexity in finance / 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. Finance Statistical methods. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Statistical physics. http://id.loc.gov/authorities/subjects/sh85127573 Finances Méthodes statistiques. Finances Modèles mathématiques. Physique statistique. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Finance Statistical methods fast Statistical physics fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 http://id.loc.gov/authorities/subjects/sh85127573 |
| title | An introduction to econophysics : correlations and complexity in finance / |
| title_alt | 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. |
| title_auth | An introduction to econophysics : correlations and complexity in finance / |
| title_exact_search | An introduction to econophysics : correlations and complexity in finance / |
| title_full | An introduction to econophysics : correlations and complexity in finance / Rosario N. Mantegna, H. Eugene Stanley. |
| title_fullStr | An introduction to econophysics : correlations and complexity in finance / Rosario N. Mantegna, H. Eugene Stanley. |
| title_full_unstemmed | An introduction to econophysics : correlations and complexity in finance / Rosario N. Mantegna, H. Eugene Stanley. |
| title_short | An introduction to econophysics : |
| title_sort | introduction to econophysics correlations and complexity in finance |
| title_sub | correlations and complexity in finance / |
| topic | Finance Statistical methods. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Statistical physics. http://id.loc.gov/authorities/subjects/sh85127573 Finances Méthodes statistiques. Finances Modèles mathématiques. Physique statistique. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Finance Statistical methods fast Statistical physics fast |
| topic_facet | Finance Statistical methods. Finance Mathematical models. Statistical physics. Finances Méthodes statistiques. Finances Modèles mathématiques. Physique statistique. BUSINESS & ECONOMICS Finance. Finance Mathematical models Finance Statistical methods Statistical physics Electronic books. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=112413 |
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