Dynamics of Markets

Econophysics and Finance

Joseph L. McCauley

209 pages, parution le 07/05/2004

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Résumé

Standard texts and research in economics and finance ignore the absence of evidence from the analysis of real, unmassaged market data to support the notion of Adam Smith's stabilizing Invisible Hand. The neoclassical equilibrium model forms the theoretical basis for the positions of the U.S. Treasury, the World Bank and the European Union, accepting it as their credo. It provides the theoretical underpinning for globalization, expecting to achieve the best of all possible worlds via the deregulation of all markets.

In stark contrast, this text introduces a new empirically-based model of financial market dynamics that explains volatility, prices options correctly and clarifies the instability of financial markets. The emphasis is on understanding how real markets behave, not how they hypothetically 'should' behave.

This text is written for physics graduate students and finance specialists, but will also serve as a valuable resource for those with a less mathematical background.

Sommaire

The moving target
Neo-classical economic theory
Probability and Stochastic Processes
Scaling the ivory tower of finance
Standard betting procedures in portfolio selection theory
Dynamics of financial markets, volatility, and option pricing
Thermodynamic analogies vs instability of markets
Scaling, correlations, and cascades in finance and turbulence
What is complexity?

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	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Joseph L. McCauley
Parution	07/05/2004
Nb. de pages	209
Format	18 x 25,5
Couverture	Relié
Poids	650g
Intérieur	Noir et Blanc
EAN13	9780521824477
ISBN13	978-0-521-82447-7