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| Ïîèñê ïî óêàçàòåëÿì |
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| Mantegna R.N., Stanley H.E. — An introduction to econophysics: correlations and complexity in finance |
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| Ïðåäìåòíûé óêàçàòåëü |
1/f, noise 50—52
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 9 104 117—119 124
Arbitrage, pricing theory 103
ARCH processes 61 76 87
ARCH processes, ARCH(1) processes 77—80
ARCH processes, ARCH(p) processes 77—80
Asset-specific risk 103
Attractors in probability space 21 27 62
Autocorrelation function 44—50 53—55 57
Autocovariance 45—46 82—83
Bachelier 3—4 9
Basin of attraction 21
Bayesian methods 57
Bernoulli, D. 28
Bernoulli, N. 28
Berry — 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 1 120 124—125
Black and Scholes option-pricing model 3 7 118 121 127
Black and Scholes partial differential equation 119—120 127
Brownian motion 3
Brownian motion, geometric 3 60 118—119 121 123 127—128
Call option 114—116 120—121
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 23—26 31
Chebyshev solution 20
Clearing house 114
Coca Cola Co. stock 34 54 99—101 106
Conditional probability densities 51 60 76
Conditional probability densities, Gaussian 77—78 81
Connecticut Agricultural Research Station 90
Contingent claim 5
Continuous limit 15
Convergence in probability 14 22—28
Convolution 15 23—24
Correlation coefficient 98—102 104 105
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 74—75 120
Deflated price changes 38
Delivery date 113—114
Delivery price 113
Derivative 5 113 115
Derivative contracts 1 5 60
Diffusive process 56 60 93
Dimensional consistency 89 94—96
Directing process 63
Discontinuous stock returns 60 62 122—123 128
Discounted price changes 38
Disordered frustrated system 6
Disordered system 129
Dissipative range 92 94
Distance between stocks i and j 105—106 112
Distance matrix 106
Distributions 60
Distributions of price changes 7
Distributions of volatility 58
Dow — Jones Industrial Average (DJIA) 11 99 100 110—111
Economic factors 98 104
Economic growth 36
Economic information 12 112
Economic recession 36
Efficient market 8—10 14 56 67 104
Efficient portfolio 98
Eigenvalues of a random matrix 103
Eigenvector 103
Einstein 2—3
Energy dissipation rate per unit mass 94—95
Euclidean distance 105—106
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 98 122—123
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 40—42 57
Forward contract 113—114 116
Forward price 113
Fractional Brownian motion 96
Functional space of pdfs 21 27
Future contract 113—114
GARCH processes 61
GARCH processes, GARCH(1,1) process 81—87 92
GARCH processes, GARCH(p,q) process 80 83
Gaussian attractor in probability 21 28 96
Gaussian conditional pdf 80—81
Granular matter 88
Graph theory 107
Gross domestic product 36—37
Hamiltonian 88
Heat-transfer equation 120
Hedger 115—116
Hedging 116—117
Hedging, perfect hedging on a portfolio 116 127
High-frequency financial data 35 38—39 41 53 55—56 59—60 70—75 85—87
Indexed hierarchical tree 107—110
Inertial range 89 92 94 98
Infinitely divisible 30—33
Infinitely divisible stochastic processes 31—32
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 41—42 59
Ito's lemma 118—119
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 62—64 68 80 86 93
Levy flight 65
Levy flight, truncated (TLF) 61 64—67 92 96
Levy stable attractors 28
Levy stable distribution 4 23 25—27 69
Levy stable hypothesis 62
Limit theorems 62
Limit theorems for infinite divisible distributions 30
Limit theorems for stable distributions 27—28
Lindeberg condition 17
Long position 113
Long-range correlated stochastic processes 44 49 53 55—57 59
Majorana 6
Market, imperfections 122—123 127
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) 107—112
Mixture of Gaussian distributions 61 63—64
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 — Stokes equations 89
New York Stock Exchange (NYSE) 35 40 61—62 74 99
Non-Gaussian scaling 62 70—72
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 39—40
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 57—58
Power-law, distribution 2 4 26—29
Price change distributions 7 29 30 33 75 122
Price scales 36
Probability density function (pdf), asymptotic 59—60 72—73 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 21—23 38 60 63—67 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 61—63
Probability density function (pdf), truncated Levy flight (TLF) 61 64—67 72—73 92
Probability density function (pdf), uniform 15 19
Probability of return to the origin 26 65—67 69 73 85 87 93 95
Procter & Gamble stock 99—101 106
Put option 114—115
Random matrix theory 103
Random variables 4 14 24 27—28 31—33 45 47—49 57 76—77 80—83 118
Random walk 2—3 10 14 15 53 55 58 70
Rare events 74 121
Reference units 35
RETURNS 38
Reynolds number 89—90 92
Risk-neutrality 121
Riskless investment 38 116 119—126
Riskless portfolio 116 121—123
Scaling 6 14 29 60 64 69 71—72 85—87 91 129
Scaling relations 27 63—64 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 53—56 59 91 94
speculation 115—117
Speed of convergence 19—20 22
Spin glass 103 107
St. Petersborg paradox 28
Stable distribution see "Probability density function Gaussian" "Levy
Stable stochastic process 4 17 25—26 31—33 62 65 71
Standart & Poor's 500 index (S & P 500) 30 35 41 53 55—59 68—72 85 87 90 99 101—102 112
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 107 111—112
Subordinates stochastic process 63
Superdiffusive behavior 56 93
Synchronous pair of assets 98 103—106
Synthetic option 121
Taxonomy 106—107 112
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 106—107
Turbulence 7 88 97
Turbulence, fully developed 88 90 92
Ultrametric distance 107
Ultrametric distance matrix 109
Ultrametric inequality 107
Ultrametric spaces 106—107
Universality 6 129
Velocity autocorrelation function 49
Velocity, fluctuations of a turbulent fluid 90—93 96
Volatility 30 41 53 57—59 73—74 76 90 94 96 122 124—125 128
Volatility, correlation 58
Volatility, distribution 58
Volatility, fluctuations 30 43
Volatility, historical 124—125
Volatility, implied 125—126
Volatility, risk 126
Volatility, smile 126
Volatility, unconditional 124
White noise 49 50
Wiener process 15 49—50 79 118 128
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