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
10 September 2007

Econometrics; Mathematics & Sciences; Non-linear science

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.

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: 243mm, Width: 168mm, Spine: 8mm
Weight: 274g
ISBN: 9780521039871
ISBN 10: 0521039878
Pages: 164
Publication Date: 10 September 2007
Audience: Professional and scholarly , Undergraduate
Format: Paperback
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