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An introduction to econophysics: correlations and complexity in finance

An introduction to econophysics: correlations and complexity in finance
Language:
Author: RN Mantegna, HE Stanley
Url: http://www.swarma.org/thesis/program/jake_357.pdf
Format: Pdf
Year: 2000
Category: Econophysics
Pages: 147
Clicks: 1272

Description
This book concerns the use of concepts from statist ical physics in the description of financial systems. Specifically, the authors ill ustrate the scaling concepts used in probability theory, in critical phenomena, and in f ully developed turbulent fluids. These concepts are then applied to financial time s eries to gain new insights into the behavior of financial markets. The authors also pre sent a new stochastic model that displays several of the statistical properties obse rved in empirical data.

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