An Introduction to Econophysics: Contents
An Introduction to Econophysics: Contents
复制标题
DOI：
10.1017/cbo9780511755767
复制
发表时间：
1999
期刊：
影响因子：
--
通讯作者：
R. Mantegna;H. Stanley
中科院分区：
文献类型：
--
作者：
R. Mantegna;H. Stanley
这本书关注的是在描述金融系统时使用统计物理学的概念。作者举例说明了在概率论，临界现象和充分发展的湍流中使用的标度概念。然后将这些概念应用于金融时间序列。作者还提出了一个随机模型，显示了经验数据中观察到的几个统计特性。统计物理学的概念，如随机动力学，短期和长期的相关性，自相似性和缩放允许的经济系统的全球行为的理解，而不必首先制定一个详细的微观描述系统。物理学家会发现统计物理学概念在经济系统中的应用很有趣。经济学家和金融界的工作者会发现，实证分析方法和精心制定的理论工具的介绍可能有助于描述由大量相互作用的子系统组成的系统。
This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short-and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.