An introduction to econophysics : correlations and complexity in finance /
| Основен автор: | Mantegna, Rosario N. 1960- |
|---|---|
| Други автори: | Stanley, H. Eugene 1941- |
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
Cambridge, UK ; New York :
Cambridge University Press,
2000.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=112413 |
| Подобни документи: |
Print version::
Introduction to econophysics. |
Съдържание:
- 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.