An introduction to econophysics : correlations and complexity in finance
Rosario N. Mantegna, H. Eugene Stanley
| Year of publication: |
2000
|
|---|---|
| Authors: | Mantegna, Rosario N. |
| Other Persons: | Stanley, H. Eugene (contributor) |
| Publisher: |
Cambridge, UK : Cambridge University Press |
| Subject: | Finanzmarkt | Financial market | Mathematik | Mathematics | Wahrscheinlichkeitsrechnung | Probability theory | Zeitreihenanalyse | Time series analysis | Statistische Methode | Statistical method | Physik | Physics | Ökonophysik | Econophysics | Korrelation | Correlation |
| Description of contents: | Table of Contents [external.dandelon.com] ; Description [zbmath.org] |
| Extent: | Online-Ressource (ix, 148 p) ill 26 cm |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Includes bibliographical references (p. 137-144) and index Cover; Half-title; Title; Copyright; Contents; Preface; Dedication; 1 Introduction; 2 Efficient market hypothesis; 3 Random walk; 4 Lévy stochastic processes and limit theorems; 5 Scales in financial data; 6 Stationarity and time correlation; 7 Time correlation in financial time series; 8 Stochastic models of price dynamics; 9 Scaling and its breakdown; 10 ARCH and GARCH processes; 11 Financial markets and turbulence; 12 Correlation and anticorrelation between stocks; 13 Taxonomy of a stock portfolio; 14 Options in idealized markets; 15 Options in real markets; Appendix A: Notation guide Appendix B: MartingalesReferences; Index Electronic reproduction; Available via World Wide Web |
| ISBN: | 0-521-62008-2 ; 978-0-521-62008-6 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012672582