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Peters E.E. — Chaos and Order in the Capital Markets
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Íàçâàíèå: Chaos and Order in the Capital MarketsÀâòîð: Peters E.E. Àííîòàöèÿ: Presenting new analytical techniques, as well as reexamining methods that have been in use for the past forty years, Chaos and Order offers a thorough examination of chaos theory and fractals as applied to investments and economics. This new edition includes timely examples from today's markets and descriptions of cutting-edge technologies - genetic algorithms, wavelets, complexity theory - and hot innovations, such as fuzzy logic and artificial intelligence. Beyond the history of current capital market theory, Chaos and Order covers the crucial characteristics of fractals, the analysis of fractal time series through rescaled range analysis (R/S), the specifics of fractal statistics, and the definition and analysis of chaotic systems. It offers an in-depth exploration of random walks and efficient markets - the development of the efficient market hypothesis (EMH) and modern portfolio theory; the linear paradigm - why it has failed; nonlinear dynamic systems - phase space, the Henon Map, Lyapunov exponents; applying chaos and nonlinear methods - neural networks, genetic algorithms; dynamical analysis of time series - reconstructing a phase space, the fractal dimension; and Tonis Vaga's Coherent Market Hypothesis - the theory of social imitation, control parameters, Vaga's implementations.
ßçûê: Ðóáðèêà: Ýêîíîìèêà è ôèíàíñû /Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö ed2k: ed2k stats Ãîä èçäàíèÿ: 1992Êîëè÷åñòâî ñòðàíèö: 223Äîáàâëåíà â êàòàëîã: 16.11.2006Îïåðàöèè: Ïîëîæèòü íà ïîëêó |
Ñêîïèðîâàòü ññûëêó äëÿ ôîðóìà | Ñêîïèðîâàòü ID
Ïðåäìåòíûé óêàçàòåëü
31 62 Alpha 107 231 Anti-persistent 64 231 Arbitrage Pricing Theory (APT) 24 101 Aristotle 40 46 At tractor 231 At tractor, henon 141—144 152—153 At tractor, limit cycle 138 145 205 233 At tractor, point 137—138 205 235 At tractor, strange 139—140 205 235 Auto-Correlation Function (ACF) 71 Axioms 46 Bachelier, L. 15 106 Bak and Chen 206—207 Barnsley, M. 51 BARRA E1 model 34 Beta 23 32—33 Bifurcation 123 196 231 Bifurcation, Hopf 145 bits 148—149 Black and Scholes 24 101 Black, Jensen and Scholes 32—33 Brownian motion 3 5—16 Brownian motion, fractional 61 69 233 Callan and Shapiro 193—144 Capital Asset Pricing Model (CAPM) 20—24 32—33 39 66 101 197 208 231 Capital market line 22—23 Catastrophe theory 195 Central limit theorem 17 20 61 231 Chaos 232 Chaos game 51—53 64 66 130 136 141 Chen, P. 165 Coastlines 57—58 Coherent Market Hypothesis (CMH) 161 194 195—199 208 232 Communism 5 Consumer Price Index 165 Control parameter 145—146 232 Cootner. P. 15 27 37 Correlation dimension 215—216 232 Correlation integral 155—157 215—216 232 Cowles, A. 15 Critical levels 7 9 232 Cycles 181 232 Devaney, M. 121 Differential equations 6 Econometrics 204 232 Efficient frontier 20 22 232 Efficient market 5 25 Efficient Market Hypothesis (EMH) 9—10 13—27 30 32—36 37—39 41 61 81 86 101 107 109 190 203 232 Einstein, A. 15 Embedding dimension 56 Equilibrium 4—5 233 Euclid 46 Euclidean geometry 45—46 49 55 233 Fama,E. 15 18 28 Fame and Miller 24 Feder, J. 211 Feedback systems 9 233 Feigenbaum's Number (F) 126 144 Feigenbaum, M. 121 126 Fieldstein and Eckestein 188 Flicker (1/f) Noise 207 Fractal 9 42 45—53 233 Fractal Market Hypothesis 307 1 Fractal, deterministic 50 Fractal, dimension 49 55—60 67 108 155—157 233 Fractal, dimension, of international stocks 168—170 Fractal, dimension, of SAP 500 167 Fractal, dimension, scrambling test 182 Fractal, distributions 37 233 Fractal, lungs, fractal structure of 51 Fractal, random 47 51 Freidman and Laibson 29—30 Fundamental analysis 15—16 39 Graham and Dodd 15 19 Grassberger and Procaccia 155 Greenapan, A. 4 Henon, M. 141—144 Hurst exponent (H) 62 194 207 233 Hurst Exponent (H), estimation 70—71.See also Rescaled Range Analysis Hurst, H. 61 Index participation contracts 5 Inflation 35—36 Inverse power law 106 Ising model 193—194 Iterated Function Systems (IFS) 51 January effect 34 Jensen and Urban 188 Joseph effect 108 233 K-Map 187 189—191 Kendall, M. 16 Keynes, J. 19 Koch snowf lake 49—50 140 155 Kuhn, X. 19 kurtosis 27 Larrain, M, 187—191 Leptokurtic 28 30 36 233 Levy, P. 105—106 107 Linear paradigm 26 Lintner, J. 20 Logistic delay equation 144—145 209 Logistic equation 9 121—130 188 Long-run correlations 64 Lorie and Hamilton 18—19 Lotka, A. 106 Low P/E effect 34 Lyapunov exponent 146—149 171—181 207 219—220 234 Lyapunov exponent of henon attractor 160 Lyapunov exponent of international stocks 179—180 Lyapunov exponent of SAP 500 174—178 Lyapunov exponent, data sufficiency 159 Lyapunov exponent, wolf algorithm 148 158—161 171 Magee 15 Mandelbrot, B. 24 27 30 36—37 46 49 57 61 67 71 108—109 Markovian dependence 116—117 234 Markowitz, H. 15 21—22 May, R. 121 McNees, S. 4 Mean reverting 64 Mean/variance efficiency 20 25 Miller, M. 37 Modern portfolio theory 20—24 234 Mossin, J. 20 Newton, I. 41 Newtonian physics 37 134—135 203—204 Newtonian physics, three body problem 135 Noah effect 108 234 Noise 40—41 Noise, flicker (1/f) 207 Noise, traders 31—32 Noise, white 57 235 Normal distribution 25 27—31 53 102 195 234 Normal distribution, characteristic function of 306 options 15 24 Order parameters 198 234 Osborne, M. 16—18 22 Outliers 4 Pareto distributions 105—110 234 Pareto distributions, characteristic function of 107 Pareto, V. 105—106 Persistent time series 65 234 Phase space 136—140 235 Phase space, reconstruction 152—155 Poincare, H. 133 Portfolio insurance 108 Prigogme, I. 4 Probability pack of cards 65 Pythagoras 46 Random variable 106 Random walk 14 30 56 66 106 192 235 Rational investors 25 34—36 37 Rescaied Range Analysis (R/S) 62—65 163 164 174 180—181 182—183 196 199 235 Rescaied Range Analysis (R/S) of currency exchange rates 92—96 Rescaied Range Analysis (R/S) of economic data 96—98 Rescaied Range Analysis (R/S) of individual stocks 86—90 Rescaied Range Analysis (R/S) of international stocks 90—91 Rescaied Range Analysis (R/S) of SAP 500 84—86 Rescaied Range Analysis (R/S) of SAP 500 volatility 118 Rescaied Range Analysis (R/S) of sunspot cycle 77—79 Rescaied Range Analysis (R/S) of treasury securities 91—92 Rescaied Range Analysis (R/S), methodology 81—83 Rescaied Range Analysis (R/S), scrambling test 74—76 Roberts, H. 86 Roll, R. 24 33 Ross, S. 24 Rudd and Clasing 34 SAP 500 stock index 47 49 101 110—111 172 SAP 500 stock index, loglinear detrended 166 SAP 500 stock index, R/S analysis of 84—86 Scaling 235 Scheinkman and LeBaron 164 182 Security Market Line (SML) 23 32—33 Self organized criticality 206—207 Self similar 9 47 235 Shannon, C. 148 Sharpe, W. 15 20 24 28 Shiller, R. 31 37 Sierpinski triangle 48—49 52 140 skewness 28 Small firm effect 34 Smart money traders 31—32 Spectral analysis 39 Stable paretian 24 27 31 36—37. Standard deviation 58—60 66 Sterge, A. 30 Stock market crashes 197 Sunspots 173 Sunspots, R/S analysis of 77—80 Symmetry 46 t-statistic 30 Technical analysis 15—16 39 Theory of social imitation 193—194 Thermodynamics 41 Time 5 Time arrow 64 114—115 203—204 Time series 56 Tobin, J. 15 Toffler, A. 202 Topological dimension 46 56 Turbulence 134 Turner and Weigel 28 31 112 Tvsersky, A. 34—35 Vaga, T. 187 192—199 208 Variance 20 27 Variance, infinite 37 107 Volatility 31 58—60 Wavelet theory 205—206 Weak chaos 207 Weiner process 15 Working, H. 15 Z-Map 187—191 Zipf, G. 106
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