The statistical mechanics of financial markets
 Responsibility
 Johannes Voit.
 Language
 English. English.
 Digital
 text file
 Publication
 Berlin ; New York : Springer, [2001]
 Copyright notice
 ©2001
 Physical description
 1 online resource (xii, 220 pages) : illustrations
 Series
 Texts and monographs in physics. 01725998
Online
More options
Description
Creators/Contributors
 Author/Creator
 Voit, Johannes, 1957
Contents/Summary
 Bibliography
 Includes bibliographical references (pages 213217) and index.
 Contents

 1. Introduction
 2. Basic Information on Capital Markets
 3. Random Walks in Finance and Physics
 4. The BlackScholes Theory of Option Prices
 5. Scaling in Financial Data and in Physics
 6. Turbulence and Foreign Exchange Markets
 7. Risk Control and Derivative Pricing in NonGaussian Markets
 8. Microscopic Market Models
 9. Theory of Stock Exchange Crashes.
 Summary
 From the reviews  "Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined. Examples, often with graphs, augment the readers understanding of what may be a plethora of new terms and ideas [This is] an excellent starting point for the physicist interested in the subject. Some of the books strongest features are its careful definitions, it detailed examples, and the connection it establishes to physical systems." PHYSICS TODAY, August 2002 "This book is excellent at illustrating the similarities of financial markets with other nonequilibrium physical systems. ... In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com) This textbook describes parallels between statistical physics and finance  both those established in the 100yearlong 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 BlackScholes 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
Subjects
 Subjects
 Finance > Statistical methods.
 Capital market > Statistical methods.
 Statistical physics.
 Financial engineering.
 Finances > Méthodes statistiques.
 Marché financier > Méthodes statistiques.
 Physique statistique.
 Ingénierie financière.
 Capital market > Statistical methods
 Finance > Statistical methods
 Financial engineering
 Statistical physics
 Portfoliotheorie.
 Statistische methoden.
 Kapitaalmarkt.
 Mathematische fysica.
 Financieel management.
Bibliographic information
 Publication date
 2001
 Series
 Texts and monographs in physics, 01725998
 ISBN
 9783662044230 (electronic bk.)
 3662044234 (electronic bk.)
 9783662044254 (print)
 3662044250 (print)
 3540414096
 9783540414094
 DOI
 10.1007/9783662044230