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Название: Theory of Financial Risks: From Statistical Mechanics to Risk Management and Stochastic Processes from Physics to Finance
Автор: Potters M.
Аннотация:
The availability of high-frequency financial data beginning in the mid eighties constitutes a significant step toward reliably quantifying statistical aspects of speculative markets. It is now possible to profitably apply many tools from statistical physics to the study of properties of financial time series. The new vista provided by these new tools has piqued the interest of members physicists in this new field of application. These two books present material that unite physical techniques and the analysis of financial data.