The Statistical Mechanics of Financial Markets

Author: Johannes Voit

Publisher: Springer Science & Business Media

ISBN: 3662044234

Category: Science

Page: 220

View: 7004

A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. 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.

Maß und Integral

Author: Martin Brokate,Götz Kersting

Publisher: Springer-Verlag

ISBN: 303460646X

Category: Mathematics

Page: 160

View: 9524

Der Integralbegriff in seiner Ausprägung durch Henri Lebesgue ist ein grundlegendes Werkzeug in der modernen Analysis, Numerik und Stochastik. Für Lehrveranstaltungen zu diesen Gebieten der Mathematik bereiten die Autoren wesentliche Sachverhalte in kompakter Weise auf. Das Buch liefert Orientierung und Material für verschiedene Varianten zwei- oder vierstündiger Lehrveranstaltungen. In einem ergänzenden Abschnitt werden um den Begriff der Konvexität herum Verbünde zur Funktionalanalysis hergestellt.

Outlines and Highlights for the Statistical Mechanics of Financial Markets by Johannes Voit

Author: Cram101 Textbook Reviews

Publisher: Academic Internet Pub Incorporated

ISBN: 9781618302854

Category: Education

Page: 144

View: 7451

Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9783642065781 .

Theory of Financial Risk and Derivative Pricing

From Statistical Physics to Risk Management

Author: Jean-Philippe Bouchaud,Marc Potters

Publisher: Cambridge University Press

ISBN: 1139440276

Category: Business & Economics

Page: N.A

View: 6349

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Studies of Credit and Equity Markets with Concepts of Theoretical Physics

Author: Michael Münnix

Publisher: Springer Science & Business Media

ISBN: 383488328X

Category: Mathematics

Page: 173

View: 1313

Michael C. Münnix analyses the statistical dependencies in financial markets and develops mathematical models using concepts and methods from physics. The author focuses on aspects that played a key role in the emergence of the recent financial crisis: estimation of credit risk, dynamics of statistical dependencies, and correlations on small time-scales. He visualizes the findings for various large-scale empirical studies of market data. The results give novel insights into the mechanisms of financial markets and allow conclusions on how to reduce financial risk significantly.

Applications of Fourier Transform to Smile Modeling

Theory and Implementation

Author: Jianwei Zhu

Publisher: Springer Science & Business Media

ISBN: 3642018084

Category: Business & Economics

Page: 330

View: 2198

This book addresses the applications of Fourier transform to smile modeling. Smile effect is used generically by ?nancial engineers and risk managers to refer to the inconsistences of quoted implied volatilities in ?nancial markets, or more mat- matically, to the leptokurtic distributions of ?nancial assets and indices. Therefore, a sound modeling of smile effect is the central challenge in quantitative ?nance. Since more than one decade, Fourier transform has triggered a technical revolution in option pricing theory. Almost all new developed option pricing models, es- cially in connection with stochastic volatility and random jump, have extensively applied Fourier transform and the corresponding inverse transform to express - tion pricing formulas. The large accommodation of the Fourier transform allows for a very convenient modeling with a general class of stochastic processes and d- tributions. This book is then intended to present a comprehensive treatment of the Fourier transform in the option valuation, covering the most stochastic factors such as stochastic volatilities and interest rates, Poisson and Levy ́ jumps, including some asset classes such as equity, FX and interest rates, and providing numerical ex- ples and prototype programming codes. I hope that readers will bene?t from this book not only by gaining an overview of the advanced theory and the vast large l- erature on these topics, but also by gaining a ?rst-hand feedback from the practice on the applications and implementations of the theory.

Statistical Physics On The Eve Of The 21st Century: In Honour Of J B Mcguire On The Occasion Of His 65th Birthday

Author: Wille Luc T,Batchelor Murray T

Publisher: World Scientific

ISBN: 9814544167


Page: 536

View: 6349

This volume is a collection of original papers and reviews in honour of James McGuire, one of the pioneers of integrable models in statistical physics. The broad range of articles offers a timely perspective on the current status of statistical mechanics, identifying both recent results as well as future challenges. The work contains a number of overviews of standard topics such as exactly solved lattice models and their various applications in statistical physics, from models of strongly correlated electrons to the conformational properties of polymer chains. It is equally wide ranging in its coverage of new directions and developing fields including quantum computers, financial markets, chaotic systems, Feigenbaum scaling, proteins, brain behaviour, immunology, Markov superposition, Bose-Einstein condensation, random matrices, exclusion statistics, vertex operator algebras and D-unsolvability.The level of coverage is appropriate for graduate students. It will be equally of interest to professional physicists who want to learn about progress in statistical physics in recent years. Experts will find this work useful because of its broad sweep of topics and its discussion of remaining unsolved problems.

Econophysics and Sociophysics

Trends and Perspectives

Author: Bikas K. Chakrabarti,Anirban Chakraborti,Arnab Chatterjee

Publisher: John Wiley & Sons

ISBN: 352760958X

Category: Science

Page: 648

View: 6161

Using tricks to handle coupled nonlinear dynamical many-body systems, several advancements have already been made in understanding the behavior of markets/economic/social systems and their dynamics. The book intends to provide the reader with updated reviews on such major developments in both econophysics and sociophysics, by leading experts in the respective fields. This is the first book providing a panoramic view of these developments in the last decade.

Path Integrals in Quantum Mechanics, Statistics, Polymer Physics, and Financial Markets

Author: Hagen Kleinert

Publisher: World Scientific

ISBN: 9814273570

Category: Mathematics

Page: 1624

View: 4290

This is the fifth, expanded edition of the comprehensive textbook published in 1990 on the theory and applications of path integrals. It is the first book to explicitly solve path integrals of a wide variety of nontrivial quantum-mechanical systems, in particular the hydrogen atom. The solutions have been made possible by two major advances. The first is a new euclidean path integral formula which increases the restricted range of applicability of Feynman''s time-sliced formula to include singular attractive 1/r- and 1/r2-potentials. The second is a new nonholonomic mapping principle carrying physical laws in flat spacetime to spacetimes with curvature and torsion, which leads to time-sliced path integrals that are manifestly invariant under coordinate transformations. In addition to the time-sliced definition, the author gives a perturbative, coordinate-independent definition of path integrals, which makes them invariant under coordinate transformations. A consistent implementation of this property leads to an extension of the theory of generalized functions by defining uniquely products of distributions. The powerful Feynman-Kleinert variational approach is explained and developed systematically into a variational perturbation theory which, in contrast to ordinary perturbation theory, produces convergent results. The convergence is uniform from weak to strong couplings, opening a way to precise evaluations of analytically unsolvable path integrals in the strong-coupling regime where they describe critical phenomena. Tunneling processes are treated in detail, with applications to the lifetimes of supercurrents, the stability of metastable thermodynamic phases, and the large-order behavior of perturbation expansions. A variational treatment extends the range of validity to small barriers. A corresponding extension of the large-order perturbation theory now also applies to small orders. Special attention is devoted to path integrals with topological restrictions needed to understand the statistical properties of elementary particles and the entanglement phenomena in polymer physics and biophysics. The ChernoOe1/4OC Simons theory of particles with fractional statistics (anyons) is introduced and applied to explain the fractional quantum Hall effect. The relevance of path integrals to financial markets is discussed, and improvements of the famous BlackoOe1/4OC Scholes formula for option prices are developed which account for the fact, recently experienced in the world markets, that large fluctuations occur much more frequently than in Gaussian distributions."

The Mathematical Theory of Minority Games

Statistical Mechanics of Interacting Agents

Author: Anthony C. C. Coolen

Publisher: Oxford University Press on Demand

ISBN: 9780198520801

Category: Business & Economics

Page: 324

View: 3264

Minority games are simple mathematical models initially designed to understand the co-operative phenomena observed in markets. Their core ingredients are large numbers of interacting decision-making agents, each aiming for personal gain in an artificial 'market' by trying to anticipate (on the basis of incomplete information, and with an element of irrationality) the actions of others. Gain is made by those who subsequently find themselves in the minority group, e.g. those who end up buying when most wish to sell or vice versa. Aimed at researchers and students in physics, mathematics and economics, as well as financial practitioners, this text describes the mathematical theory of Minority Games from a statistical mechanics viewpoint. It provides a detailed and explicit introduction to the advanced mathematical analysis of these models, describes the potential and restrictions of physical methods in solving agent based market models, and outlines how different mathematical approaches are related.

Econophysics and Sociophysics: Recent Progress and Future Directions

Author: Frédéric Abergel,Hideaki Aoyama,Bikas K. Chakrabarti,Anirban Chakraborti,Nivedita Deo,Dhruv Raina,Irena Vodenska

Publisher: Springer

ISBN: 3319477056

Category: Science

Page: 256

View: 6029

This book presents the proceedings from ECONOPHYS-2015, an international workshop held in New Delhi, India, on the interrelated fields of “econophysics” and “sociophysics”, which have emerged from the application of statistical physics to economics and sociology. Leading researchers from varied communities, including economists, sociologists, financial analysts, mathematicians, physicists, statisticians, and others, report on their recent work, discuss topical issues, and review the relevant contemporary literature. A society can be described as a group of people who inhabit the same geographical or social territory and are mutually involved through their shared participation in different aspects of life. It is possible to observe and characterize average behaviors of members of a society, an example being voting behavior. Moreover, the dynamic nature of interaction within any economic sector comprising numerous cooperatively interacting agents has many features in common with the interacting systems of statistical physics. It is on these bases that interest has grown in the application within sociology and economics of the tools of statistical mechanics. This book will be of value for all with an interest in this flourishing field.

Enzyklopädie der Chartmuster

Author: Thomas N. Bulkowski

Publisher: FinanzBuch Verlag

ISBN: 9783898790840

Category: Chart-Analyse

Page: 719

View: 9523


Ludwig Boltzmann - Populäre Schriften

Author: Ludwig Boltzmann

Publisher: SEVERUS Verlag

ISBN: 3863471601

Category: Physics

Page: 456

View: 3247

Ludwig Boltzmann war ein osterreichischer Physiker und gilt als Begrunder der Entropieformel der mikrokanonischen Gesamtheit: S = kB ln ? Seine Popularen Schriften sind eine Zusammenstellung der eigenen Werke und Vortrage zur Physik, Mathematik und Philosophie sowie einiger Worte zu Kollegen seines Fachs. Boltzmanns Leitspruch: Bring vor, was wahr ist; schreib so, dass es klar ist und verficht's, bis es mit dir gar ist!" findet sich auch in seinen Schriften wieder. Seine klare Ausdrucksweise und anschauliche Erklarung physikalischer Phanomene machen dieses Werk trotz seines komplexen Inhalts zu einer ausserst lesenswerten Lekture


Die Physik des Finanzmarktes

Author: Tobias Preis

Publisher: Springer-Verlag

ISBN: 383496395X

Category: Business & Economics

Page: 212

View: 8110

Tobias Preis gibt einen fundierten Einblick in das noch junge interdisziplinäre Forschungsgebiet der Ökonophysik. Er entwickelt ein Orderbuchmodell zur Finanzmarktsimulation auf der Grundlage von Multiagentensystemen, mit dem sich viele empirische Eigenschaften von realen Börsendaten reproduzieren lassen.


Background and Applications in Economics, Finance, and Sociophysics

Author: Gheorghe Săvoiu

Publisher: Academic Press

ISBN: 0124046266

Category: Business & Economics

Page: 168

View: 5887

The remarkable evolution of econophysics research has brought the deep synthesis of ideas derived from economics and physics to subjects as diverse as education, banking, finance, and the administration of large institutions. The original papers in this collection present a broad summary of these advances, written by interdisciplinary specialists. Included are studies on subjects in the development of econophysics; on the perspectives offered by econophysics on large problems in economics and finance, including the 2008-9 financial crisis; and on higher education and group decision making. The introductions and insights they provide will benefit everyone interested in applications of this new transdisciplinary science. Ten papers present an updated version of the origins, issues, and applications of econophysics Economics and finance chapters consider lessons learned from the 2008-9 financial crisis Sociophysics chapters propose new thinking on educational reforms and group decision making

Spezielle Relativitätstheorie für Studienanfänger

Author: Jürgen Freund

Publisher: vdf Hochschulverlag AG

ISBN: 3825228843

Category: Science

Page: 252

View: 4871

Die Spezielle Relativitätstheorie ist nichts Schwieriges und Geheimnisvolles! Studienanfänger der Natur- und Technikwissenschaften können sie mit ihren Kenntnissen der Mathematik und der Physik in vollem Umfang und bis ins Detail verstehen, wenn sie sich die Mühe machen, sich durch dieses Lehrbuch durchzuarbeiten. Zahlreiche, z.T. auch kompliziertere Problemstellungen, bis hin zum Energie-Impuls-Vierervektor und zum elektromagnetischen Feld, werden ausführlich behandelt und zeigen dem Anfänger, wie relativistische Rechnungen anzupacken sind. Auch die bekannten Paradoxa und Paradoxien werden umfassend erklärt. Für den Wissenschaftler, der mit diesem Gebiet schon vertraut ist, ist dieses Lehrbuch wegen seiner umfangreichen Formelauflistungen nicht minder wertvoll. Kurz nach dem einhundertsten Jahrestag der Speziellen Relativitätstheorie liegt hiermit ein Kompendium vor, das dieses Teilgebiet der Physik entzaubert und in die elementare Grundlagenphysik einreiht.