The Statistical Mechanics of Financial Markets


Book Description

A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.




Econophysics and Physical Economics


Book Description

This book summarises progress in the understanding of financial markets and economics based on the established methodology of statistical physics. It offers a new approach to the fundamentals of economics that offers the potential for increased insight and understanding. It should be of interest to all serious students of the subject.




Macro-Econophysics


Book Description

The concepts of statistical physics and big data play an important role in the evidence-based analysis and interpretation of macroeconomic principles. The techniques of complex networks, big data, and statistical physics are useful to understand theories of economic systems, and the authors have applied these to understand the intricacies of complex macroeconomic problems. Recent research work using tools and techniques of big data, statistical physics, complex networks, and statistical science is covered, and basic graph algorithms and statistical measures of complex networks are described. The application of big data and statistical physics tools to assess price dynamics, inflation, systemic risks, and productivity is discussed. Chapter-end summary and numerical problems are provided to reinforce understanding of concepts.




Statistical Physics and Economics


Book Description

This systematic book covers in simple language the physical foundations of evolution equations, stochastic processes and generalized Master equations applied on complex economic systems, helping to understand the large variability of financial markets, trading and communications networks.




Foundations of Complex-system Theories


Book Description

Analyzes approaches to the study of complexity in the physical, biological, and social sciences.




More Heat Than Light


Book Description

The development of the energy concept in Western physics and its subsequent effect on the emergence of neoclassical economics are traced to reveal how economics has sought to emulate physics, especially with regard to the theory of value.




Econophysics


Book Description

Filling the gap for an up-to-date textbook in this relatively new interdisciplinary research field, this volume provides readers with a thorough and comprehensive introduction. Based on extensive teaching experience, it includes numerous worked examples and highlights in special biographical boxes some of the most outstanding personalities and their contributions to both physics and economics. The whole is rounded off by several appendices containing important background material.




Statistical Physics and Economics


Book Description

This systematic book covers in simple language the physical foundations of evolution equations, stochastic processes and generalized Master equations applied on complex economic systems, helping to understand the large variability of financial markets, trading and communications networks.




Introduction to Econophysics


Book Description

This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.




Applications of Statistical Physics


Book Description

The field of statistical physics has undergone a spectacular development in recent years. The fundamentals of the subject have advanced dynamically with multidisciplinary approaches involving physicists, chemists and mathematicians. Equally spectacular has been the development of applications of statistical mechanics to shed light on a wide range of problems, many of them arising in fields quite distant from traditional physics disciplines. Recent applications range from such topics as oil recovery from porous rock to protein folding, DNA structure, morphogenesis and the cooperative behavior of living creatures. Concepts and methods of statistical physics have been applied successfully to "exotic" problems that seem to be far from physics, such as vehicular and pedestrial traffic, or economy and finance. This book presents not only the keynote invited talks, but a number of high quality, interesting, contributed communications from senior scientists and young students active in the field. Topics covered include DNA migration, wetting, chemical waves, granular media, molecular motors, biological pattern formation and motion, as well as practical problems such as heart diagnosis, internet traffic jamming, oil recovery and econophysics.