The Statistical Mechanics of Financial Markets

Author: Johannes Voit

Publisher: Springer Science & Business Media

ISBN: 3662051257

Category: Mathematics

Page: 290

View: 5061

This textbook describes parallels between statistical physics and finance - both those established in the 100-year-long interaction between these disciplines, as well as new research results on capital markets. 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. Here 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. This study edition has been updated with a presentation of several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new and accurate simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game. Moreover, the book was scanned for and corrected from errors, both typographical and in presentation.
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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: 6372

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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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: 5759

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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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: 2882

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: 2704

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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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: 1999

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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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: 2127

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

Author: Hagen Kleinert

Publisher: World Scientific

ISBN: 9789812381071

Category: Science

Page: 1468

View: 501

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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Ökonophysik

Die Physik des Finanzmarktes

Author: Tobias Preis

Publisher: Springer-Verlag

ISBN: 383496395X

Category: Business & Economics

Page: 212

View: 6814

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

Author: Hagen Kleinert

Publisher: World Scientific

ISBN: 9814365262

Category:

Page: 1624

View: 4283

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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Enzyklopädie der Chartmuster

Author: Thomas N. Bulkowski

Publisher: FinanzBuch Verlag

ISBN: 9783898790840

Category: Chart-Analyse

Page: 719

View: 2276

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Ludwig Boltzmann - Populäre Schriften

Author: Ludwig Boltzmann

Publisher: SEVERUS Verlag

ISBN: 3863471601

Category: Physics

Page: 456

View: 3277

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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Economics with Heterogeneous Interacting Agents

Author: Alan Kirman,Jean-Benoit Zimmermann

Publisher: Springer Science & Business Media

ISBN: 3642564720

Category: Business & Economics

Page: 346

View: 2702

This book analyses situations in which individual agents, who might be different from each other, interact and produce behaviour on the aggregate level which does not correspond to that of the average actor. This leads to aggregate outcomes which would be impossible to explain in a more standard approach. Aggregation generates structure and, as a result, interaction and heterogeneity can be handled and we no longer have to rely on the over-simplified reduction of the behaviour of the economy to that of a "rational" individual.
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Grundbegriffe der Wahrscheinlichkeitsrechnung

Author: A. Kolomogoroff

Publisher: Springer-Verlag

ISBN: 3642498884

Category: Mathematics

Page: 62

View: 8919

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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American Scientist

Author: N.A

Publisher: N.A

ISBN: N.A

Category: Greek letter societies

Page: N.A

View: 6492

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