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Introduction to Econophysics: Correlations and Complexity in Finance
 
 
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Introduction to Econophysics: Correlations and Complexity in Finance (Hardcover)

by Rosario N. Mantegna (Author), H. Eugene Stanley (Author) "Since the 1970s, a series of significant changes has taken place in the world of finance ..." (more)
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Product details

  • Hardcover: 158 pages
  • Publisher: Cambridge University Press (13 Nov 1999)
  • Language English
  • ISBN-10: 0521620082
  • ISBN-13: 978-0521620086
  • Product Dimensions: 24.9 x 17.5 x 1.8 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon.co.uk Sales Rank: 680,956 in Books (See Bestsellers in Books)

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    #33 in  Books > Scientific, Technical & Medical > Mathematics > Applied Mathematics > Non-linear Science

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Product Description

Review

‘… 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


Product 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.
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Since the 1970s, a series of significant changes has taken place in the world of finance. Read the first page
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Introduction to Econophysics: Correlations and Complexity in Finance
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15 of 17 people found the following review helpful:
5.0 out of 5 stars Physicists Land On Planet Economics, 10 Jun 2001
By A Customer
SINCE the last decade, physicists are trying to cope with the issues traditionally approached by economics using their own tools and methodologies. This research has been dubbed 'econophysics'. One reason why this incursion should be welcomed is the failure of mainstream economics to recognise financial systems as complex systems. Take mainstream international finance, for instance. In the most respectable workhorse model--so-called 'new open economy macroeconomics model'--foreign exchange rates always reach some sort of stable equilibrium. Brutally speaking, this means that currencies do not exhibit complex behaviour. / Financial markets do demonstrate several of the properties that characterise complex systems, however. What is more, they are highly complex, open systems in which many subunits interact nonlinearly in the presence of feedback and stable governing rules. Earlier attempts to find chaos in financial data, for instance, have been disappointing exactly because the phenomenon is likely to emerge in systems which are only moderately complex. Although it cannot be ruled out that financial markets follow chaotic dynamics, econophysics assumes that asset price dynamics are stochastic processes. / A fundamental commitment of the mainline model of international finance is to theory itself, and not to data. Modelling is devoted to equip the discipline with an underlying rational behaviour at the individual level. Yet this is at odds with the fact that financial markets are prone to collective 'irrational exuberance'. Instead, econophysics attemps to build up stochastic models that encompass essential features observed in the financial data. Since the time evolution of many financial markets is monitored continually, it is possible to test the accuracy and predictive power of the developed models using available data. One common objection to such a practice is that it is impossible to perform large-scale

experiments in economics that could falsify any given theory. The authors note that this limitation is not specific to economics, but also affects such well developed areas of physics as astrophysics, atmospheric physics, and geophysics. In analogy to the activity in these more established areas, we are able to test and falsify any theories associated with the current available sets of financial data. / Complex systems can sometimes behave in remarkable simple ways. These are

reflected in power law distributions and scaling. The authors illustrate these concepts and others, and apply them to the financial time series. The book is thus useful not only for physicists but also for economists and people in the financial world. It is required some familiarity with probability theory or statistical physics, though. Economists dissatisfied with the mainline approach of their discipline will find the book opportune promptly. The others might end up welcoming econophysics as well. After all, economists implicitly see physics as nature's economics. What is then wrong with physicists thinking of economics as social physics? //

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