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Dynamics of Markets - Joseph L. McCauley

Dynamics of Markets

Econophysics and Finance
Buch | Softcover
228 Seiten
2007
Cambridge University Press (Verlag)
978-0-521-03628-3 (ISBN)
CHF 39,95 inkl. MwSt
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This text introduces an 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.
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 neo-classical equilibrium model forms the theoretical basis for the positions of the US 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 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.

Joseph McCauley is Professor of Physics at the University of Houston, Texas.

Preface; 1. The moving target; 2. Neo-classical economic theory; 3. Probability and stochastic processes; 4. Scaling the ivory tower of finance; 5. Standard betting procedures in portfolio selection theory; 6. Dynamics of financial markets, volatility and option pricing; 7. Thermodynamic analogies vs. instability of markets; 8. Scaling, correlations and cascades in finance and turbulence; 9. What is complexity?; References; Index.

Erscheint lt. Verlag 23.4.2007
Zusatzinfo 1 Halftones, unspecified; 22 Line drawings, unspecified
Verlagsort Cambridge
Sprache englisch
Maße 170 x 243 mm
Gewicht 364 g
Themenwelt Naturwissenschaften Physik / Astronomie Angewandte Physik
Naturwissenschaften Physik / Astronomie Thermodynamik
Wirtschaft Allgemeines / Lexika
Wirtschaft Volkswirtschaftslehre Ökonometrie
ISBN-10 0-521-03628-3 / 0521036283
ISBN-13 978-0-521-03628-3 / 9780521036283
Zustand Neuware
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