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Mantegna R.N., Stanley H.E. Ч An introduction to econophysics: correlations and complexity in finance
Mantegna R.N., Stanley H.E. Ч An introduction to econophysics: correlations and complexity in finance

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Ќазвание: An introduction to econophysics: correlations and complexity in finance

јвторы: Mantegna R.N., Stanley H.E.

јннотаци€:

Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling, permit an understanding of the global behavior of economic systems without first having to work out a detailed microscopic description of the system. This pioneering text explores the use of these concepts in the description of financial systems, the dynamic new specialty of econophysics. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully-developed turbulent fluids and apply them to financial time series. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Physicists will find the application of statistical physics concepts to economic systems fascinating. Economists and other financial professionals will benefit from the book's empirical analysis methods and well-formulated theoretical tools that will allow them to describe systems composed of a huge number of interacting subsystems.


язык: en

–убрика: ћатематика/¬еро€тность/—тохастические методы в финансах/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

√од издани€: 1999

 оличество страниц: 148

ƒобавлена в каталог: 05.06.2005

ќперации: ѕоложить на полку | —копировать ссылку дл€ форума | —копировать ID
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ѕредметный указатель
1/f, noise      50Ч52
1/f, spectral density      50 59
Algorithmic complexity theory      11
American option      114
American Stock Exchange (AMEX)      74
Amount of information      12 57
Anderson localization theory      103
Anticorrelated velocity changes      91
Arbitrage      8
Arbitrage, opportunities      9 104 117Ч119 124
Arbitrage, pricing theory      103
ARCH processes      61 76 87
ARCH processes, ARCH(1) processes      77Ч80
ARCH processes, ARCH(p) processes      77Ч80
Asset-specific risk      103
Attractors in probability space      21 27 62
Autocorrelation function      44Ч50 53Ч55 57
Autocovariance      45Ч46 82Ч83
Bachelier      3Ч4 9
Basin of attraction      21
Bayesian methods      57
Bernoulli, D.      28
Bernoulli, N.      28
Berry Ч Esseen theorem      20 67
Binomial model of stock prices      116 117
Black and Scholes      1
Black and Scholes assumptions      118 121 128
Black and Scholes market      126
Black and Scholes option-pricing formula      1 120 124Ч125
Black and Scholes option-pricing model      3 7 118 121 127
Black and Scholes partial differential equation      119Ч120 127
Brownian motion      3
Brownian motion, geometric      3 60 118Ч119 121 123 127Ч128
Call option      114Ч116 120Ч121
Center for Research in Security Prices (CRSP)      83
Central Limit Theorem (CLT)      14 15 19 21 83
Central Limit Theorem, generalized      4 27
Chaotic time evolution      5
Characteristic function      23Ч26 31
Chebyshev solution      20
Clearing house      114
Coca Cola Co. stock      34 54 99Ч101 106
Conditional probability densities      51 60 76
Conditional probability densities, Gaussian      77Ч78 81
Connecticut Agricultural Research Station      90
Contingent claim      5
Continuous limit      15
Convergence in probability      14 22Ч28
Convolution      15 23Ч24
Correlation coefficient      98Ч102 104 105
Correlation matrix      103
Correlation time      46 53
Covariance      103 128
Covariance matrix      98 103
Critical phenomena      29 98 129
Cross-correlations      98 104
Cumulative distribution      74Ч75 120
Deflated price changes      38
Delivery date      113Ч114
Delivery price      113
Derivative      5 113 115
Derivative contracts      1 5 60
Diffusive process      56 60 93
Dimensional consistency      89 94Ч96
Directing process      63
Discontinuous stock returns      60 62 122Ч123 128
Discounted price changes      38
Disordered frustrated system      6
Disordered system      129
Dissipative range      92 94
Distance between stocks i and j      105Ч106 112
Distance matrix      106
Distributions      60
Distributions of price changes      7
Distributions of volatility      58
Dow Ч Jones Industrial Average (DJIA)      11 99 100 110Ч111
Economic factors      98 104
Economic growth      36
Economic information      12 112
Economic recession      36
Efficient market      8Ч10 14 56 67 104
Efficient portfolio      98
Eigenvalues of a random matrix      103
Eigenvector      103
Einstein      2Ч3
Energy dissipation rate per unit mass      94Ч95
Euclidean distance      105Ч106
European option      114 119 121
Exchange rate      116
Exercise data      114
Exercise price      114
expiration date      114 126
Factor-risk premia      103
Financial assets      127
Financial contracts      113 124
Financial ideal market      121 127
financial markets      8 29 58 60 88 96 98 122Ч123
Financial real market      122 127
Financial securities      113
Fixed point      21
Fluid velocity      90 92
Forbes Annual Report on American Industry      112
Foreign exchange market      36 40Ч42 57
Forward contract      113Ч114 116
Forward price      113
Fractional Brownian motion      96
Functional space of pdfs      21 27
Future contract      113Ч114
GARCH processes      61
GARCH processes, GARCH(1,1) process      81Ч87 92
GARCH processes, GARCH(p,q) process      80 83
Gaussian attractor in probability      21 28 96
Gaussian conditional pdf      80Ч81
Granular matter      88
Graph theory      107
Gross domestic product      36Ч37
Hamiltonian      88
Heat-transfer equation      120
Hedger      115Ч116
Hedging      116Ч117
Hedging, perfect hedging on a portfolio      116 127
High-frequency financial data      35 38Ч39 41 53 55Ч56 59Ч60 70Ч75 85Ч87
Indexed hierarchical tree      107Ч110
Inertial range      89 92 94 98
Infinitely divisible      30Ч33
Infinitely divisible stochastic processes      31Ч32
Infinitely divisible TLF      67
Infinitesimal random variables      40
Inflation      36
information      9 12 88
Information theory      112
Interest rate      122 124
Interest rate, stochastic      127
Intermittency      96
Intermittent behavior      90
International Monetary Fund (IMF)      37
Intraday fluctuations      41Ч42 59
Ito's lemma      118Ч119
Ito's stochastic process      118
Jump-diffusion      127
Jump-diffusion model      61 123
Khintchine limit theorem      30 33
Kolmogorov      11 20
Kolmogorov's 2/3 law      95
Kolmogorov's theory      90 97
Kruskal's algorithm      108
kurtosis      79 81 85
Leptokurtic distribution      7 60 62Ч64 68 80 86 93
Levy flight      65
Levy flight, truncated (TLF)      61 64Ч67 92 96
Levy stable attractors      28
Levy stable distribution      4 23 25Ч27 69
Levy stable hypothesis      62
Limit theorems      62
Limit theorems for infinite divisible distributions      30
Limit theorems for stable distributions      27Ч28
Lindeberg condition      17
Long position      113
Long-range correlated stochastic processes      44 49 53 55Ч57 59
Majorana      6
Market, imperfections      122Ч123 127
Market, microstructure      123
Markets      9 57
Markets, frictionless      123
Markets, idealized      113 118 127
Markov processes      51 81
Martingale      10 11 136
Maturity time      115 124
Maximum likelihood methods      57
Metrology      36
Minimal-spanning Tree (MST)      107Ч112
Mixture of Gaussian distributions      61 63Ч64
Modeling of friction      88
Moments      14
Moments, finite 'unconditional' variance      78 82
Moments, finite variance      60 64 68 71 75 84
Moments, higher      60 82
Moments, infinite      26 62 64
National Association of Securities Dealers Automated Quotation (NASDAQ)      74
Navier Ч Stokes equations      89
New York Stock Exchange (NYSE)      35 40 61Ч62 74 99
Non-Gaussian scaling      62 70Ч72
Non-Gaussian stable distribution      see "Levy stable distribution"
Nonlinear dynamics      5
Nonstationary stochastic process      50 55 90 124
Number of transactions      8 39 42 63
One-period asset returns      103
Option-pricing      35 118 126 127
Option-pricing formula      see "Black and Scholes option
Option-pricing problem      118 120 122 129
options      114 125
Pairwise independence      53 57 59
Pairwise independence of price changes      58
Pairwise independence of random variabies      30
Physical time      39Ч40
Poisson process      31 128
Portfolio      99 101
Portfolio, efficient      98
Portfolio, management      35
Portfolio, replicating      121 123 128
Power spectrum      49 57 60
Power-law, autocorrelation function      49 57Ч58
Power-law, distribution      2 4 26Ч29
Price change distributions      7 29 30 33 75 122
Price scales      36
Probability density function (pdf), asymptotic      59Ч60 72Ч73 76
Probability density function (pdf), Cauchy (or Lorentzian)      15 17 23 25 63
Probability density function (pdf), conditional Gaussian      78 80 87
Probability density function (pdf), double triangle      18
Probability density function (pdf), Gamma      32
Probability density function (pdf), Gaussian      15 17 21Ч23 38 60 63Ч67 69 80
Probability density function (pdf), hyperbolic      61
Probability density function (pdf), Levy stable      25 69 71
Probability density function (pdf), log normal      58
Probability density function (pdf), Student's t-distribution      61Ч63
Probability density function (pdf), truncated Levy flight (TLF)      61 64Ч67 72Ч73 92
Probability density function (pdf), uniform      15 19
Probability of return to the origin      26 65Ч67 69 73 85 87 93 95
Procter & Gamble stock      99Ч101 106
Put option      114Ч115
Random matrix theory      103
Random variables      4 14 24 27Ч28 31Ч33 45 47Ч49 57 76Ч77 80Ч83 118
Random walk      2Ч3 10 14 15 53 55 58 70
Rare events      74 121
Reference units      35
RETURNS      38
Reynolds number      89Ч90 92
Risk-neutrality      121
Riskless investment      38 116 119Ч126
Riskless portfolio      116 121Ч123
Scaling      6 14 29 60 64 69 71Ч72 85Ч87 91 129
Scaling relations      27 63Ч64 71
Self-organized system      6
Self-similarity      26 62 68 71
Short position      113
Short-range correlated stochastic processes      44 49 53 58
Spectral density      53Ч56 59 91 94
speculation      115Ч117
Speed of convergence      19Ч20 22
Spin glass      103 107
St. Petersborg paradox      28
Stable distribution      see "Probability density function Gaussian" "Levy
Stable stochastic process      4 17 25Ч26 31Ч33 62 65 71
Standart & Poor's 500 index (S & P 500)      30 35 41 53 55Ч59 68Ч72 85 87 90 99 101Ч102 112
Stationary stochastic processes      44
Stationary stochastic processes, asymptotic      45 59 60 76 90
Stationary stochastic processes, asymptotic, nth-order      45
Stationary stochastic processes, strict-sense      45 58
Stationary stochastic processes, wide-sense      45
Strange Attractor      5
Strike price      114 116 124 126
Subdominant ultrametric      107 111Ч112
Subordinates stochastic process      63
Superdiffusive behavior      56 93
Synchronous pair of assets      98 103Ч106
Synthetic option      121
Taxonomy      106Ч107 112
Taylor hypothesis      90
Taylor microscale Reynolds number      92
Technical analysis      7
Thermodynamics, equilibrium      123
Thermodynamics, non-equilibrium      123
Time to maturity      125
Time, index      42
Time, scales      36 39
Topological space      106 112
Trading activity      48
Trading strategy      117 128
Trading time      39 41
Trading volume      63
traffic flow      50
Transaction costs      9 118 127
Triangular inequality      106Ч107
Turbulence      7 88 97
Turbulence, fully developed      88 90 92
Ultrametric distance      107
Ultrametric distance matrix      109
Ultrametric inequality      107
Ultrametric spaces      106Ч107
Universality      6 129
Velocity autocorrelation function      49
Velocity, fluctuations of a turbulent fluid      90Ч93 96
Volatility      30 41 53 57Ч59 73Ч74 76 90 94 96 122 124Ч125 128
Volatility, correlation      58
Volatility, distribution      58
Volatility, fluctuations      30 43
Volatility, historical      124Ч125
Volatility, implied      125Ч126
Volatility, risk      126
Volatility, smile      126
Volatility, unconditional      124
White noise      49 50
Wiener process      15 49Ч50 79 118 128
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