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Introduction to Econophysics

Correlations and Complexity in Finance

Introduction to Econophysics by Rosario N. Mantegna
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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.
Cambridge University Press; November 1999
162 pages; ISBN 9780511035029
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Title: Introduction to Econophysics
Author: Rosario N. Mantegna; H. Eugene Stanley
 
ISBNs
0511035020
9780511035029
9780521620086