THE STATISTICAL MECHANICS OF FINANCIAL MARKETS VOIT J. Księgarnia

The Statistical Mechanics of Financial Markets

Voit, J., University of Bayreuth, Germany

This book describes parallels between physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets using statistical physics. The random walk, well known in physics, is also the basic model in finance, upon which are built, for example, the Black--Scholes theory of option pricing and hedging, or methods of risk control using diversification. 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. Computer simulations of interacting agent models of financial markets provide insights into the origins of asset price fluctuations. Stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes. These models allow for predictions.

Keywords: Capital Markets, Random Walks, Financial Data, Turbulence

From the reviews
"This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems (...) In summary, a very good book that offers more than just qualitative comparisons of physics and finance."

220 pages

Księgarnia nie działa. Nie odpowiadamy na pytania i nie realizujemy zamówien. Do odwolania !.