An introduction to econophysics : correlations and complexity in finance
Rosario N. Mantegna; Eugene H. Stanley
| Year of publication: |
2000
|
|---|---|
| Authors: | Mantegna, Rosario N. ; Stanley, H. Eugene |
| Publisher: |
Cambridge [u.a.] : Cambridge Univ. Press |
| Subject: | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Statistische Methode | Statistical method | Wahrscheinlichkeitsrechnung | Probability theory | Mathematik | Mathematics | Physik | Physics | Theorie | Theory | Kapitalmarkttheorie | Statistische Physik |
| Description of contents: | Table of Contents [external.dandelon.com] ; Description [zbmath.org] ; Description [loc.gov] ; Description [loc.gov] |
| Extent: | IX, 148 S. Ill., graph Darst. 26 cm |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Einführung |
| Language: | English |
| Notes: | Literaturverz. S. 137 - 144 Hier auch später erschienene, unveränderte Nachdrucke Introduction -- Efficient market hypothesis -- Random walk -- Levy stochastic processes and limit theorems -- Scales in financial data -- Stationarity and time correlation -- Time correlation in financial time series -- Stochastic models of price dynamics -- Scaling and its breakdown -- ARCH and GARCH processes -- Financial markets and turbulence -- Correlation and anticorrelation between stocks -- Taxonomy of a stock portfolio -- Options in idealized markets -- Options in real markets. |
| ISBN: | 0-521-62008-2 ; 0-521-03987-8 ; 978-0-521-62008-6 ; 978-0-521-03987-1 |
| Classification: | Mathematische Methoden der Physik ; Thermodynamik, statistische Physik ; Investition, Finanzierung ; Methoden und Techniken der Volkswirtschaft |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001408614