The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics) - Hardcover

Voit, Johannes

Hardcover

ISBN 10: 3540414096 ISBN 13: 9783540414094

Verlag: Springer, 2001

Inhaltsangabe

These book grew out of a course entitled "Physikalische Modelle in der Fi­ nanzwirtschaft" which I have taught at the University of Freiburg during the winter term 1998/1999, building on a similar course a year before at the University of Bayreuth. It was an experiment. My interest in the statistical mechanics of capital markets goes back to a public lecture on self-organized criticality, given at the University of Bayreuth in early 1994. Bak, Tang, and Wiesenfeld, in the first longer paper on their theory of self-organized criticality [Phys. Rev. A 38, 364 (1988)] mention Mandelbrot's 1963 paper [J. Business 36, 394 (1963)] on power-law scaling in commodity markets, and speculate on economic systems being described by their theory. Starting from about 1995, papers appeared with increasing frequency on the Los Alamos preprint server, and in the physics literature, showing that physicists found the idea of applying methods of statistical physics to problems of economy exciting and that they produced interesting results. I also was tempted to start work in this new field. However, there was one major problem: my traditional field of research is the theory of strongly correlated quasi-one-dimensional electrons, conducting polymers, quantum wires and organic superconductors, and I had no prior education in the advanced methods of either stochastics and quantitative finance.

Über diesen Titel

Von der hinteren Coverseite

From the reviews -
"Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined. Examples, often with graphs, augment the reader’s understanding of what may be a plethora of new terms and ideas… [This is] an excellent starting point for the physicist interested in the subject. Some of the book’s strongest features are its careful definitions, it detailed examples, and the connection it establishes to physical systems."
PHYSICS TODAY, August 2002

"This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems. [...] In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com)

This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets.

The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, or methods of risk control using diversification. Here the underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions.

This study edition has been updated with a presentation of several new andsignificant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game.

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 2001
• Sprache: Englisch
• ISBN 10: 3540414096
• ISBN 13: 9783540414094
• Einband: Gebundene Ausgabe
• Auflage: 1
• Anzahl der Seiten: 232
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Deutschland