Introduction to Econophysics by Rosario N. Mantegna, H. Eugen... - 9780521620086

Introduction to EconophysicsCorrelations and Complexity in Finance\nAuthor(s): Rosario N. Mantegna, H. Eugene Stanley\nFormat: Hardback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9780521620086, 978-0521620086\nSynopsis\nThis 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 appl.