E-grāmata: Introduction to Econophysics: Correlations and Complexity in Finance

Mantegna (physics, U. of Palermo) and Stanley (physics, Massachusetts Institute of Technology and Boston U.) draw on concepts from statistical physics to describe financial systems. Specifically they illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids, and apply them to financial time series to gain insight into the behavior of financial markets. They also present a new stochastic model that displays several of the statistical properties observed in empirical data. Annotation c. Book News, Inc., Portland, OR (booknews.com)

First ever book on econophysics, which explores the applications of ideas from physics to financial and economic systems.

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.