Introduction to Econophysics: Correlations and Complexity in Finance

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Rosario N. Mantegna (Università degli Studi, Palermo, Italy) H. Eugene Stanley (Boston University)

Introduction to Econophysics

Correlations and Complexity in Finance

Rosario N. Mantegna (Università degli Studi, Palermo, Italy), H. Eugene Stanley (Boston University)

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English

Cambridge University Press
31 January 2000

Investment & securities; Non-linear science

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.

By: Rosario N. Mantegna (Università degli Studi Palermo Italy), H. Eugene Stanley (Boston University)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
Dimensions: Height: 255mm, Width: 182mm, Spine: 19mm
Weight: 500g
ISBN: 9780521620086
ISBN 10: 0521620082
Pages: 162
Publication Date: 31 January 2000
Audience: Professional and scholarly , Undergraduate
Replaced By: 9780521039871
Format: Hardback
Publisher's Status: Active

Reviews for Introduction to Econophysics: Correlations and Complexity in Finance

'... they have been remarkably successful in presenting a clear and concise introductory summary of a large body of work on the statistical properties of stock prices.' Burton Malkiel, Journal of Economic Literature 'Clearly and concisely written, this book provides an excellent introduction to the problem of understanding the empirical statistical properties of prices.' Doyne Farmer, Prediction Company, Santa Fe and the Santa Fe Institute 'I feel the book is a useful introduction to the empirical aspects of econophysics.' Blake LeBaron, Nature 'The authors are leading researchers in the field, and were well-regarded statistical physicists before that ... the book seems aimed the other way, at physicists interested in economics, and for them it would make a good introduction to finance. The writing is clear and friendly, the production values high and the guides to further reading excellent. They will find it well worth their time and money.' Cosma Shalizi, Institute of Physics