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- catalog abstract ""This book concerns the use of concepts from statistical physics in the description of financial systems. Specifically, the authors illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids. These concepts are then applied to financial time series to gain new insights into the behavior of financial markets. The authors also present a new stochastic model that displays several of the statistical properties observed in empirical data." "This book is intended for students and researchers studying economics or physics at a graduate level and for professionals in the field of finance. Undergraduate students possessing some familiarity with probability theory or statistical physics should also be able to learn from the book."--Jacket.".
- catalog contributor b11512415.
- catalog contributor b11512416.
- catalog created "2000.".
- catalog date "2000".
- catalog date "2000.".
- catalog dateCopyrighted "2000.".
- catalog description ""This book concerns the use of concepts from statistical physics in the description of financial systems. Specifically, the authors illustrate the scaling concepts used in probability theory, in critical phenomena, and in fully developed turbulent fluids. These concepts are then applied to financial time series to gain new insights into the behavior of financial markets. The authors also present a new stochastic model that displays several of the statistical properties observed in empirical data." "This book is intended for students and researchers studying economics or physics at a graduate level and for professionals in the field of finance. Undergraduate students possessing some familiarity with probability theory or statistical physics should also be able to learn from the book."--Jacket.".
- catalog description "Includes bibliographical references (p. 137-144) and index.".
- catalog description "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.".
- catalog extent "ix, 148 p. :".
- catalog identifier "0521620082 (hardbound)".
- catalog issued "2000".
- catalog issued "2000.".
- catalog language "eng".
- catalog publisher "Cambridge, U.K. ; New York : Cambridge University Press,".
- catalog subject "332/.01/5195 21".
- catalog subject "Econophysics.".
- catalog subject "Finance Mathematical models.".
- catalog subject "Finance Statistical methods.".
- catalog subject "HG176.5 .M365 2000".
- catalog subject "Statistical physics.".
- catalog tableOfContents "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.".
- catalog title "An introduction to econophysics : correlations and complexity in finance / Rosario N. Mantegna, H. Eugene Stanley.".
- catalog type "text".