Econophysics and physical economics /:
An understanding of the behaviour of financial assets and the evolution of economies has never been as important as today. This book looks at these complex systems from the perspective of the physicist. So called 'econophysics' and its application to finance has made great strides in recen...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford :
Oxford University Press,
2013.
|
| Ausgabe: | First edition. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | An understanding of the behaviour of financial assets and the evolution of economies has never been as important as today. This book looks at these complex systems from the perspective of the physicist. So called 'econophysics' and its application to finance has made great strides in recent years. Less emphasis has been placed on the broader subject of macroeconomics and many economics students are still taught traditional neo-classical economics. The reader is given a general primer in statistical physics, probability theory, and use of correlation functions. Much of the mathematics that is ... |
| Beschreibung: | 1 online resource (xii, 243 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 233-240) and index. |
| ISBN: | 9781299807150 1299807151 9780191662195 0191662194 9780191780066 0191780065 |
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| 245 | 1 | 0 | |a Econophysics and physical economics / |c Peter Richmond, Jürgen Mimkes, and Stefan Hutzler. |
| 250 | |a First edition. | ||
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| 520 | |a An understanding of the behaviour of financial assets and the evolution of economies has never been as important as today. This book looks at these complex systems from the perspective of the physicist. So called 'econophysics' and its application to finance has made great strides in recent years. Less emphasis has been placed on the broader subject of macroeconomics and many economics students are still taught traditional neo-classical economics. The reader is given a general primer in statistical physics, probability theory, and use of correlation functions. Much of the mathematics that is ... | ||
| 504 | |a Includes bibliographical references (pages 233-240) and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 8 | |a 4.3 The Chapman-Kolmogorov equation5 The Langevin approach to modelling Brownian motion; 5.1 Langevin equations; 5.2 The velocity distribution of a Brownian particle; 5.3 Modelling the position of a Brownian particle; 5.4 Beyond Brownian motion; 6 The Brownian motion model of asset prices; 6.1 Modelling the distribution of returns; 6.2 Evolution of prices; 6.3 Comparing computer simulations for the geometric Brownian model with real stock data; 6.4 Issues arising; 7 Generalized diffusion processes and the Fokker-Planck equation; 7.1 Introduction of n-th order diffusion constants | |
| 505 | 8 | |a 7.2 Evolution of the average of a random variable7.3 Application to simple stock price model; 7.4 The Fokker-Planck equation; 7.5 Application: The Maxwell-Boltzmann distribution of velocities; 7.6 The Langevin equation for a general random variable; 7.7 Application to geometric Brownian motion model of stock prices; 8 Derivatives and options; 8.1 Forward contracts and call and put options; 8.2 A simple example illustrating the effect of options; 8.3 The theory of Black and Scholes; 8.4 Implied volatility; 8.5 Other developments and issues; 9 Asset fluctuations and scaling | |
| 505 | 8 | |a 9.1 Stable distributions9.2 Lévy distributions and their scaling properties; 9.3 Analysis of empirical data; 9.4 Small times and independence; 9.5 The Heston model; 10 Models of asset fluctuations; 10.1 Generalized diffusion coeffcients and the distribution function of returns; 10.2 Correlation functions; 10.3 Time dependent distribution function and scaling; 10.4 Comparison with financial data; 10.5 Volatility correlation function revisited; 10.6 Non-Gaussian fluctuations and option pricing; 11 Risk; 11.1 Statistics of extreme events; 11.2 The efficient portfolio | |
| 505 | 8 | |a 11.3 Portfolios and correlated assets11.4 Portfolio analysis using minimum spanning trees; 11.5 Portfolio analysis using random matrix theory; 11.6 Practical issues; 11.7 Appendix: Lagrange multipliers; 11.8 Appendix: Wigner's semicircle law; 12 Why markets crash; 12.1 Market booms and crashes: some illustrations; 12.2 A mathematical model of rational crashes; 12.3 Continuous and discrete scale invariance; 12.4 Agent models; 12.5 What happens after a crash?; 13 Two non-financial markets; 13.1 An analysis of online betting markets; 13.2 House price dynamics | |
| 650 | 0 | |a Econophysics. |0 http://id.loc.gov/authorities/subjects/sh2010005117 | |
| 650 | 0 | |a Capital. |0 http://id.loc.gov/authorities/subjects/sh85019929 | |
| 650 | 6 | |a Éconophysique. | |
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| 700 | 1 | |a Hutzler, Stefan, |e author. |0 http://id.loc.gov/authorities/names/n99044632 | |
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| author | Richmond, P. Mimkes, Jürgen Hutzler, Stefan |
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| contents | 4.3 The Chapman-Kolmogorov equation5 The Langevin approach to modelling Brownian motion; 5.1 Langevin equations; 5.2 The velocity distribution of a Brownian particle; 5.3 Modelling the position of a Brownian particle; 5.4 Beyond Brownian motion; 6 The Brownian motion model of asset prices; 6.1 Modelling the distribution of returns; 6.2 Evolution of prices; 6.3 Comparing computer simulations for the geometric Brownian model with real stock data; 6.4 Issues arising; 7 Generalized diffusion processes and the Fokker-Planck equation; 7.1 Introduction of n-th order diffusion constants 7.2 Evolution of the average of a random variable7.3 Application to simple stock price model; 7.4 The Fokker-Planck equation; 7.5 Application: The Maxwell-Boltzmann distribution of velocities; 7.6 The Langevin equation for a general random variable; 7.7 Application to geometric Brownian motion model of stock prices; 8 Derivatives and options; 8.1 Forward contracts and call and put options; 8.2 A simple example illustrating the effect of options; 8.3 The theory of Black and Scholes; 8.4 Implied volatility; 8.5 Other developments and issues; 9 Asset fluctuations and scaling 9.1 Stable distributions9.2 Lévy distributions and their scaling properties; 9.3 Analysis of empirical data; 9.4 Small times and independence; 9.5 The Heston model; 10 Models of asset fluctuations; 10.1 Generalized diffusion coeffcients and the distribution function of returns; 10.2 Correlation functions; 10.3 Time dependent distribution function and scaling; 10.4 Comparison with financial data; 10.5 Volatility correlation function revisited; 10.6 Non-Gaussian fluctuations and option pricing; 11 Risk; 11.1 Statistics of extreme events; 11.2 The efficient portfolio 11.3 Portfolios and correlated assets11.4 Portfolio analysis using minimum spanning trees; 11.5 Portfolio analysis using random matrix theory; 11.6 Practical issues; 11.7 Appendix: Lagrange multipliers; 11.8 Appendix: Wigner's semicircle law; 12 Why markets crash; 12.1 Market booms and crashes: some illustrations; 12.2 A mathematical model of rational crashes; 12.3 Continuous and discrete scale invariance; 12.4 Agent models; 12.5 What happens after a crash?; 13 Two non-financial markets; 13.1 An analysis of online betting markets; 13.2 House price dynamics |
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| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | First edition. |
| format | Electronic eBook |
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| indexdate | 2024-11-27T13:25:31Z |
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| language | English |
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| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | Oxford University Press, |
| record_format | marc |
| spelling | Richmond, P., author. http://id.loc.gov/authorities/names/nr90020702 Econophysics and physical economics / Peter Richmond, Jürgen Mimkes, and Stefan Hutzler. First edition. Oxford : Oxford University Press, 2013. 1 online resource (xii, 243 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda An understanding of the behaviour of financial assets and the evolution of economies has never been as important as today. This book looks at these complex systems from the perspective of the physicist. So called 'econophysics' and its application to finance has made great strides in recent years. Less emphasis has been placed on the broader subject of macroeconomics and many economics students are still taught traditional neo-classical economics. The reader is given a general primer in statistical physics, probability theory, and use of correlation functions. Much of the mathematics that is ... Includes bibliographical references (pages 233-240) and index. Print version record. 4.3 The Chapman-Kolmogorov equation5 The Langevin approach to modelling Brownian motion; 5.1 Langevin equations; 5.2 The velocity distribution of a Brownian particle; 5.3 Modelling the position of a Brownian particle; 5.4 Beyond Brownian motion; 6 The Brownian motion model of asset prices; 6.1 Modelling the distribution of returns; 6.2 Evolution of prices; 6.3 Comparing computer simulations for the geometric Brownian model with real stock data; 6.4 Issues arising; 7 Generalized diffusion processes and the Fokker-Planck equation; 7.1 Introduction of n-th order diffusion constants 7.2 Evolution of the average of a random variable7.3 Application to simple stock price model; 7.4 The Fokker-Planck equation; 7.5 Application: The Maxwell-Boltzmann distribution of velocities; 7.6 The Langevin equation for a general random variable; 7.7 Application to geometric Brownian motion model of stock prices; 8 Derivatives and options; 8.1 Forward contracts and call and put options; 8.2 A simple example illustrating the effect of options; 8.3 The theory of Black and Scholes; 8.4 Implied volatility; 8.5 Other developments and issues; 9 Asset fluctuations and scaling 9.1 Stable distributions9.2 Lévy distributions and their scaling properties; 9.3 Analysis of empirical data; 9.4 Small times and independence; 9.5 The Heston model; 10 Models of asset fluctuations; 10.1 Generalized diffusion coeffcients and the distribution function of returns; 10.2 Correlation functions; 10.3 Time dependent distribution function and scaling; 10.4 Comparison with financial data; 10.5 Volatility correlation function revisited; 10.6 Non-Gaussian fluctuations and option pricing; 11 Risk; 11.1 Statistics of extreme events; 11.2 The efficient portfolio 11.3 Portfolios and correlated assets11.4 Portfolio analysis using minimum spanning trees; 11.5 Portfolio analysis using random matrix theory; 11.6 Practical issues; 11.7 Appendix: Lagrange multipliers; 11.8 Appendix: Wigner's semicircle law; 12 Why markets crash; 12.1 Market booms and crashes: some illustrations; 12.2 A mathematical model of rational crashes; 12.3 Continuous and discrete scale invariance; 12.4 Agent models; 12.5 What happens after a crash?; 13 Two non-financial markets; 13.1 An analysis of online betting markets; 13.2 House price dynamics Econophysics. http://id.loc.gov/authorities/subjects/sh2010005117 Capital. http://id.loc.gov/authorities/subjects/sh85019929 Éconophysique. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh Capital fast Econophysics fast Mimkes, Jürgen, author. http://id.loc.gov/authorities/names/nb2014012568 Hutzler, Stefan, author. http://id.loc.gov/authorities/names/n99044632 Print version: Richmond, Peter. Econophysics and physical economics. First edition. Oxford : Oxford University Press, 2013 9780199674701 (OCoLC)859383806 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=633748 Volltext |
| spellingShingle | Richmond, P. Mimkes, Jürgen Hutzler, Stefan Econophysics and physical economics / 4.3 The Chapman-Kolmogorov equation5 The Langevin approach to modelling Brownian motion; 5.1 Langevin equations; 5.2 The velocity distribution of a Brownian particle; 5.3 Modelling the position of a Brownian particle; 5.4 Beyond Brownian motion; 6 The Brownian motion model of asset prices; 6.1 Modelling the distribution of returns; 6.2 Evolution of prices; 6.3 Comparing computer simulations for the geometric Brownian model with real stock data; 6.4 Issues arising; 7 Generalized diffusion processes and the Fokker-Planck equation; 7.1 Introduction of n-th order diffusion constants 7.2 Evolution of the average of a random variable7.3 Application to simple stock price model; 7.4 The Fokker-Planck equation; 7.5 Application: The Maxwell-Boltzmann distribution of velocities; 7.6 The Langevin equation for a general random variable; 7.7 Application to geometric Brownian motion model of stock prices; 8 Derivatives and options; 8.1 Forward contracts and call and put options; 8.2 A simple example illustrating the effect of options; 8.3 The theory of Black and Scholes; 8.4 Implied volatility; 8.5 Other developments and issues; 9 Asset fluctuations and scaling 9.1 Stable distributions9.2 Lévy distributions and their scaling properties; 9.3 Analysis of empirical data; 9.4 Small times and independence; 9.5 The Heston model; 10 Models of asset fluctuations; 10.1 Generalized diffusion coeffcients and the distribution function of returns; 10.2 Correlation functions; 10.3 Time dependent distribution function and scaling; 10.4 Comparison with financial data; 10.5 Volatility correlation function revisited; 10.6 Non-Gaussian fluctuations and option pricing; 11 Risk; 11.1 Statistics of extreme events; 11.2 The efficient portfolio 11.3 Portfolios and correlated assets11.4 Portfolio analysis using minimum spanning trees; 11.5 Portfolio analysis using random matrix theory; 11.6 Practical issues; 11.7 Appendix: Lagrange multipliers; 11.8 Appendix: Wigner's semicircle law; 12 Why markets crash; 12.1 Market booms and crashes: some illustrations; 12.2 A mathematical model of rational crashes; 12.3 Continuous and discrete scale invariance; 12.4 Agent models; 12.5 What happens after a crash?; 13 Two non-financial markets; 13.1 An analysis of online betting markets; 13.2 House price dynamics Econophysics. http://id.loc.gov/authorities/subjects/sh2010005117 Capital. http://id.loc.gov/authorities/subjects/sh85019929 Éconophysique. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh Capital fast Econophysics fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh2010005117 http://id.loc.gov/authorities/subjects/sh85019929 |
| title | Econophysics and physical economics / |
| title_auth | Econophysics and physical economics / |
| title_exact_search | Econophysics and physical economics / |
| title_full | Econophysics and physical economics / Peter Richmond, Jürgen Mimkes, and Stefan Hutzler. |
| title_fullStr | Econophysics and physical economics / Peter Richmond, Jürgen Mimkes, and Stefan Hutzler. |
| title_full_unstemmed | Econophysics and physical economics / Peter Richmond, Jürgen Mimkes, and Stefan Hutzler. |
| title_short | Econophysics and physical economics / |
| title_sort | econophysics and physical economics |
| topic | Econophysics. http://id.loc.gov/authorities/subjects/sh2010005117 Capital. http://id.loc.gov/authorities/subjects/sh85019929 Éconophysique. BUSINESS & ECONOMICS Economics General. bisacsh BUSINESS & ECONOMICS Reference. bisacsh Capital fast Econophysics fast |
| topic_facet | Econophysics. Capital. Éconophysique. BUSINESS & ECONOMICS Economics General. BUSINESS & ECONOMICS Reference. Capital Econophysics |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=633748 |
| work_keys_str_mv | AT richmondp econophysicsandphysicaleconomics AT mimkesjurgen econophysicsandphysicaleconomics AT hutzlerstefan econophysicsandphysicaleconomics |