The Statistical Mechanics of Financial Markets

Author: Johannes Voit

Publisher: Springer Science & Business Media

ISBN: 3662044234

Category: Science

Page: 220

View: 7963

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.
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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: 3465

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 .
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Theory of Financial Risk and Derivative Pricing

From Statistical Physics to Risk Management

Author: Jean-Philippe Bouchaud,Marc Potters

Publisher: Cambridge University Press

ISBN: 9780521819169

Category: Business & Economics

Page: 379

View: 3563

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.
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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: 540

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.
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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: 3725

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.
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Ökonophysik

Die Physik des Finanzmarktes

Author: Tobias Preis

Publisher: Springer-Verlag

ISBN: 383496395X

Category: Business & Economics

Page: 212

View: 6962

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.
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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: 5114

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.
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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: 1577

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.
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Grundbegriffe der Wahrscheinlichkeitsrechnung

Author: A. Kolomogoroff

Publisher: Springer-Verlag

ISBN: 3642498884

Category: Mathematics

Page: 62

View: 1642

Dieser Buchtitel ist Teil des Digitalisierungsprojekts Springer Book Archives mit Publikationen, die seit den Anfängen des Verlags von 1842 erschienen sind. Der Verlag stellt mit diesem Archiv Quellen für die historische wie auch die disziplingeschichtliche Forschung zur Verfügung, die jeweils im historischen Kontext betrachtet werden müssen. Dieser Titel erschien in der Zeit vor 1945 und wird daher in seiner zeittypischen politisch-ideologischen Ausrichtung vom Verlag nicht beworben.
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Path Integrals in Quantum Mechanics, Statistics, Polymer Physics, and Financial Markets

Author: Hagen Kleinert

Publisher: World Scientific

ISBN: 9789812381071

Category: Science

Page: 1468

View: 1555

This is the third, significantly 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 become possible by two major advances. The first is a new euclidean path integral formula which increases the restricted range of applicability of Feynman's famous formula to include singular attractive 1/r and 1/r2 potentials. The second is a simple quantum equivalence principle governing the transformation of euclidean path integrals to spaces 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 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 integrals over 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 expansions. The convergence is uniform from weak to strong couplings, opening a way to precise approximate evaluations of analytically unsolvable path integrals. Tunneling processes are treated in detail. The results are used to determine the lifetime of supercurrents, the stability of metastable thermodynamic phases, and the large-order behavior of perturbationexpansions. A new variational treatment extends the range of validity of previous tunneling theories from large to small barriers. A corresponding extension of large-order perturbation theory also applies now to small orders. Special attention is devoted to path integrals with topological restrictions. These are relevant to the understanding of the statistical properties of elementary particles and the entanglement phenomena in polymer physics and biophysics. The Chem-Simons theory of particles with fractional statistics (anyohs) 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 Black -- Scholes formula for option prices are given which account for the fact that large market fluctuations occur much more frequently than in the commonly used Gaussian distributions.
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Enzyklopädie der Chartmuster

Author: Thomas N. Bulkowski

Publisher: FinanzBuch Verlag

ISBN: 9783898790840

Category: Chart-Analyse

Page: 719

View: 4914

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

Author: Hagen Kleinert

Publisher: World Scientific

ISBN: 9814365262

Category:

Page: 1624

View: 1945

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/"r"2-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 Chern?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 Black?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.Contents: FundamentalsPath Integrals ? Elementary Properties and Simple SolutionsExternal Sources, Correlations, and Perturbation TheorySemiclassical Time Evolution AmplitudeVariational Perturbation TheoryPath Integrals with Topological ConstraintsMany Particle Orbits ? Statistics and Second QuantizationPath Integrals in Polar and Spherical CoordinatesWave FunctionsSpaces with Curvature and TorsionSchr”dinger Equation in General Metric-Affine SpacesNew Path Integral Formula for Singular PotentialsPath Integral of Coulomb SystemSolution of Further Path Integrals by Duru-Kleinert MethodPath Integrals in Polymer PhysicsPolymers and Particle Orbits in Multiply Connected SpacesTunnelingNonequilibrium Quantum StatisticsRelativistic Particle OrbitsPath Integrals and Financial Markets Readership: Students and researchers in theoretical physics.
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Ludwig Boltzmann - Populäre Schriften

Author: Ludwig Boltzmann

Publisher: SEVERUS Verlag

ISBN: 3863471601

Category: Physics

Page: 456

View: 5365

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
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Wahrscheinlichkeitstheorie und Stochastische Prozesse

Author: Michael Mürmann

Publisher: Springer-Verlag

ISBN: 364238160X

Category: Mathematics

Page: 428

View: 3020

Dieses Lehrbuch beschäftigt sich mit den zentralen Gebieten einer maßtheoretisch orientierten Wahrscheinlichkeitstheorie im Umfang einer zweisemestrigen Vorlesung. Nach den Grundlagen werden Grenzwertsätze und schwache Konvergenz behandelt. Es folgt die Darstellung und Betrachtung der stochastischen Abhängigkeit durch die bedingte Erwartung, die mit der Radon-Nikodym-Ableitung realisiert wird. Sie wird angewandt auf die Theorie der stochastischen Prozesse, die nach der allgemeinen Konstruktion aus der Untersuchung von Martingalen und Markov-Prozessen besteht. Neu in einem Lehrbuch über allgemeine Wahrscheinlichkeitstheorie ist eine Einführung in die stochastische Analysis von Semimartingalen auf der Grundlage einer geeigneten Stetigkeitsbedingung mit Anwendungen auf die Theorie der Finanzmärkte. Das Buch enthält zahlreiche Übungen, teilweise mit Lösungen. Neben der Theorie vertiefen Anmerkungen, besonders zu mathematischen Modellen für Phänomene der Realität, das Verständnis.​
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Econophysics

Background and Applications in Economics, Finance, and Sociophysics

Author: Gheorghe Săvoiu

Publisher: Academic Press

ISBN: 0124046266

Category: Business & Economics

Page: 168

View: 4941

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
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Nanophysik und Nanotechnologie

Eine Einführung in die Konzepte der Nanowissenschaft

Author: Edward L. Wolf

Publisher: John Wiley & Sons

ISBN: 3527687386

Category: Technology & Engineering

Page: 328

View: 2826

Noch hat das Motto “Alles muss kleiner werden” nicht an Faszination verloren. Physikern, Ingenieuren und Medizinern erschließt sich mit der Nanotechnologie eine neue Welt mit faszinierenden Anwendungen. E.L. Wolf, Physik-Professor in Brooklyn, N.Y., schrieb das erste einführende Lehrbuch zu diesem Thema, in dem er die physikalischen Grundlagen ebenso wie die Anwendungsmöglichkeiten der Nanotechnologie diskutiert. Mittlerweile ist es in der 3. Aufl age erschienen und liegt jetzt endlich auch auf Deutsch vor. Dieses Lehrbuch bietet eine einzigartige, in sich geschlossene Einführung in die physikalischen Grundlagen und Konzepte der Nanowissenschaften sowie Anwendungen von Nanosystemen. Das Themenspektrum reicht von Nanosystemen über Quanteneff ekte und sich selbst organisierende Strukturen bis hin zu Rastersondenmethoden. Besonders die Vorstellung von Nanomaschinen für medizinische Anwendungen ist faszinierend, wenn auch bislang noch nicht praktisch umgesetzt. Der dritten Aufl age, auf der diese Übersetzung beruht, wurde ein neuer Abschnitt über Graphen zugefügt. Die Diskussion möglicher Anwendungen in der Energietechnik, Nanoelektronik und Medizin wurde auf neuesten Stand gebracht und wieder aktuelle Beispiele herangezogen, um wichtige Konzepte und Forschungsinstrumente zu illustrieren. Der Autor führt mit diesem Lehrbuch Studenten der Physik, Chemie sowie Ingenieurwissenschaften von den Grundlagen bis auf den Stand der aktuellen Forschung. Die leicht zu lesende Einführung in dieses faszinierende Forschungsgebiet ist geeignet für fortgeschrittene Bachelor- und Masterstudenten mit Vorkenntnissen in Physik und Chemie. Stimmen zur englischen Vorauflage „Zusammenfassend ist festzustellen, dass Edward L. Wolf trotz der reichlich vorhandenen Literatur zur Nanotechnologie ein individuell gestaltetes einführendes Lehrbuch gelungen ist. Es eignet sich – nicht zuletzt dank der enthaltenen Übungsaufgaben – bestens zur Vorlesungsbegleitung für Studierende der Natur- und Ingenieurwissenschaften sowie auch spezieller nanotechnologisch orientierter Studiengänge.“ Physik Journal „... eine sehr kompakte, lesenswerte und gut verständliche Einführung in die Quantenmechanik sowie ihre Auswirkungen auf die Materialwissenschaften ...“ Chemie Ingenieur Technik
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