Financial market complexity
- Oxford : Oxford University Press, 2003
- x, 254 p. ; ill. 25 cm
Includes bibliographical references and index.
This work draws on ideas from the science of complexity and complex systems, to address the following questions: how do financial markets behave? why is this? and what can we do to minimize risk, given this behaviour?
9780198526650
Statistical physics Mathematical models Statistical methods Finance Physique statistique Autocorrelation; Black-scholes Central Limit Theorem EI Farol Market Model Markov chain NYSE composite index Optimal hedge Probability distribution function Reward structuer Stylized facts Vasicek model