Introduction to Econophysics
Correlations and Complexity in Finance
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Introduction to Econophysics by Rosario N. Mantegna
Book DescriptionThis 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.
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Book DetailsISBN: 9780521039871
(247mm x 174mm x 9mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 16-Jul-2007
Country of Publication: United Kingdom
Books By Author Rosario N. Mantegna
Introduction to Econophysics, Hardback (November 1999)» View all books by Rosario N. Mantegna
This book on econophysics explores the applications of ideas from physics to financial and economic systems.
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