Introduction to Econophysics: Correlations and Complexity in Finance

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9780521039871: Introduction to Econophysics: Correlations and Complexity in Finance

Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling, permit an understanding of the global behavior of economic systems without first having to work out a detailed microscopic description of the system. This pioneering text explores the use of these concepts in the description of financial systems, the dynamic new specialty of econophysics. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully-developed turbulent fluids and apply them to financial time series. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Physicists will find the application of statistical physics concepts to economic systems fascinating. Economists and other financial professionals will benefit from the book's empirical analysis methods and well-formulated theoretical tools that will allow them to describe systems composed of a huge number of interacting subsystems.

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Book Description:

In recent years there has been a reciprocal interest between physicists and economists in finding common research approaches. This interest has been mainly triggered by the large amount of carefully recorded economic data now easily available, and by the emergence in physics of new results and paradigms in the study of critical phenomena, disordered systems and nonlinear dynamical systems. This book introduces the concepts and methods that are emerging from this renewed activity, in a straightforward direct style designed to appeal to individuals with either a science or economics background.

Review:

"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

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1.

Rosario N. Mantegna and H. Eugene Stanley
Editorial: Cambridge University Press, New Delhi, India (2007)
ISBN 10: 0521039878 ISBN 13: 9780521039871
Nuevos Paperback Primera edición Cantidad: 1
Librería
Valoración
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Descripción Cambridge University Press, New Delhi, India, 2007. Paperback. Estado de conservación: New. First Edition. 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. • This book is on an important field of econophysics, which applies ideas from statistical physics to economics and finance • Gene Stanley is a distinguished and very well-known physicist and author • This work was highlighted in a page 1 article in the Wall Street Journal on November 6, 1998 Contents Preface; 1. Introduction; 2. Efficient market hypothesis; 3. Random walk; 4. Lévy stochastic processes and limit theorems; 5. Scales in financial data; 6. Stationarity and time correlation; 7. Time correlation in financial time series; 8. Stochastic models of price dynamics; 9. Scaling and its breakdown; 10. ARCH and GARCH processes; 11. Financial markets and turbulence; 12. Correlation and anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index. Printed Pages: 158 with 63 line diagrams. Size: 170 x 245 Mm. Nº de ref. de la librería 020833

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2.

Rosario N. Mantegna and H. Eugene Stanley
Editorial: Cambridge University Press, New Delhi, India (2007)
ISBN 10: 0521039878 ISBN 13: 9780521039871
Nuevos Paperback Primera edición Cantidad: > 20
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Sanctum Books
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Descripción Cambridge University Press, New Delhi, India, 2007. Paperback. Estado de conservación: New. First Edition. 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. ?This book is on an important field of econophysics, which applies ideas from statistical physics to economics and finance ?Gene Stanley is a distinguished and very well-known physicist and author ?This work was highlighted in a page 1 article in the Wall Street Journal on November 6, 1998 Contents Preface; 1. Introduction; 2. Efficient market hypothesis; 3. Random walk; 4. Lévy stochastic processes and limit theorems; 5. Scales in financial data; 6. Stationarity and time correlation; 7. Time correlation in financial time series; 8. Stochastic models of price dynamics; 9. Scaling and its breakdown; 10. ARCH and GARCH processes; 11. Financial markets and turbulence; 12. Correlation and anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index. Printed Pages: 158 with 63 line diagrams. Size: 170 x 245 Mm. Nº de ref. de la librería 020833

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Rosario N. Mantegna, Harry Eugene Stanley
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2008)
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2008. Paperback. Estado de conservación: New. Language: English . Brand New Book ***** Print on Demand *****.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. Nº de ref. de la librería AAV9780521039871

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Rosario N. Mantegna, Harry Eugene Stanley
Editorial: CAMBRIDGE UNIVERSITY PRESS, United Kingdom (2008)
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descripción CAMBRIDGE UNIVERSITY PRESS, United Kingdom, 2008. Paperback. Estado de conservación: New. Language: English . Brand New Book ***** Print on Demand *****. 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. Nº de ref. de la librería AAV9780521039871

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Mantegna, Rosario N.
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Descripción Cambridge University Press, 2007. PAP. Estado de conservación: New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería IQ-9780521039871

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Mantegna, Rosario N.
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Descripción Cambridge University Press, 2016. Paperback. Estado de conservación: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Nº de ref. de la librería ria9780521039871_lsuk

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Mantegna, Rosario N.
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Descripción Cambridge University Press, 2007. PAP. Estado de conservación: New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería LQ-9780521039871

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Stanley, H. Eugene
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Descripción Paperback. Estado de conservación: New. This item is printed on demand. Item doesn't include CD/DVD. Nº de ref. de la librería 1745675

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ROSARIO N. MANTEGNA , H. EUGENE STANLEY
ISBN 10: 0521039878 ISBN 13: 9780521039871
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Descripción 2007. Paperback. Estado de conservación: NEW. 9780521039871 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0442749

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Mantegna, Rosario N.
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Descripción Cambridge University Press, 2017. Paperback. Estado de conservación: New. This item is printed on demand. Nº de ref. de la librería 0521039878

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