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Author McCauley, Joseph L.

Title Dynamics of markets : econophysics and finance / Joseph McCauley
Published New York : Cambridge University Press, 2004


Location Call no. Vol. Availability
 MELB  332.01 Mcc/Dom  AVAILABLE
Description 209 pages ; 26 cm
Contents 1. The moving target -- 2. Neo-classical economic theory -- 3. Probability and stochastic processes -- 4. Scaling the ivory tower of finance -- 5. Standard betting procedures in portfolio selection theory -- 6. Dynamics of financial markets, volatility, and option pricing -- 7. Thermodynamic analogies vs instability of markets -- 8. Scaling, correlations, and cascades in finance and turbulence -- 9. What is complexity?
Summary "This text introduces a new empirically based model of financial market dynamics that explains volatility, prices options correctly and makes clear the instability of financial markets. The emphasis is on understanding how real markets behave, not how they hypothetically 'should' behave." "This text is written for physics and engineering graduate students and finance specialists, but will also serve as a valuable resource for those with less mathematics background. Although much of the text is mathematical, the logical structure guides the reader through the main line of thought. The reader is not only led to the frontiers, to the main unsolved challenges in economic theory, but will also receive a general understanding of the main ideas of econophysics."--BOOK JACKET
Notes Formerly CIP. Uk
Bibliography Includes bibliographical references and index
Subject Finance -- Mathematical models.
Finance -- Statistical methods.
Business mathematics.
Markets -- Mathematical models.
Statistical physics.
LC no. 2003060538
ISBN 0521824478