Econophysics and physical economics / Peter Richmond, Jurgen Mimkes, and Stefan Hutzler.

Format:

Book

Author/Creator:

Richmond, Peter.

Contributor:

Mimkes, Jürgen.

Hutzler, Stefan.

Language:

English

Subjects (All):

Econophysics.

Economics--Statistical methods.

Economics.

Physical Description:

1 online resource (258 p.)

Place of Publication:

Oxford, England ; New York : Oxford University Press, c2013.

Language Note:

English

Summary:

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 d

Contents:

Cover; Contents; Frequently used symbols; 1 Introduction; 1.1 Physicists, finance, and economics; 1.2 Complex systems; 1.3 Determinism and unpredictability; 1.4 Thermodynamics and statistical mechanics; 1.5 Economics, econophysics, and social systems; 2 Reading financial data; 2.1 Financial price data; 2.2 Two types of investors; 3 Basics of probability; 3.1 Random variables; 3.2 Adding random variables; 3.3 Bayes' theorem; 3.4 Appendix: The δ-function; 4 Time dependent processes and the Chapman-Kolmogorov equation; 4.1 Multi-time stochastic processes; 4.2 Markov processes

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

14 An introduction to physical economics

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on online resource; title from title page (ebrary, viewed September 3, 2013).

Description based on publisher supplied metadata and other sources.

ISBN:

0-19-166219-4

0-19-967470-1

OCLC:

857278628