Introduction to Econophysics: Correlations and Complexity in Finance (Paperback)
  • Introduction to Econophysics: Correlations and Complexity in Finance (Paperback)
zoom

Introduction to Econophysics: Correlations and Complexity in Finance (Paperback)

(author), (author)
£34.99
Paperback 164 Pages / Published: 16/07/2007
  • We can order this

Usually dispatched within 3 weeks

  • This item has been added to your basket
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.

Publisher: Cambridge University Press
ISBN: 9780521039871
Number of pages: 164
Weight: 270 g
Dimensions: 244 x 170 x 9 mm


MEDIA REVIEWS
'... they have been remarkably successful in presenting a clear and concise introductory summary of a large body of work on the statistical properties of stock prices.' Burton Malkiel, Journal of Economic Literature
'Clearly and concisely written, this book provides an excellent introduction to the problem of understanding the empirical statistical properties of prices.' Doyne Farmer, Prediction Company, Santa Fe and the Santa Fe Institute
'I feel the book is a useful introduction to the empirical aspects of econophysics.' Blake LeBaron, Nature
'The authors are leading researchers in the field, and were well-regarded statistical physicists before that ... the book seems aimed the other way, at physicists interested in economics, and for them it would make a good introduction to finance. The writing is clear and friendly, the production values high and the guides to further reading excellent. They will find it well worth their time and money.' Cosma Shalizi, Institute of Physics
"Clearly and concisely written, this book provides an excellent introduction to the problem of understanding the empirical statistical properties of prices." Doyne Farmer, Prediction Company, Santa Fe and the Santa Fe Institute
"[A] clear summary of many of the statistical properties of stock prices ... will prove useful to reseachers in several disciplines." /s Journal of Economic Literature
"Mantegna...and Stanley...draw on concepts from statistical physics to describe financial systems...[and]...illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids, and apply them to financial time series to gain insight into the behavior of financial markets." Reference & Research Book News
"This book is beneficial to both the financial economicist and the physicist...An Itroduction to Econopysics Correlations and Complexity in Finance provides a valuable picture of the relationship between physics and financial economics." Discrefe Dynamics in NAture and Society 2001 vol.6

You may also be interested in...

Mastering 'Metrics
Added to basket
Introductory Econometrics for Finance
Added to basket
Econometrics For Dummies
Added to basket
Majority Judgment
Added to basket
Microeconometrics Using Stata
Added to basket
Introduction to Econometrics
Added to basket
Naked Statistics
Added to basket
£12.99
Paperback
Poor Numbers
Added to basket
£17.99
Paperback
Time Series Analysis
Added to basket
Using Statistics in Economics
Added to basket

Please sign in to write a review

Your review has been submitted successfully.