Format:
1 Online-Ressource (xv, 270 pages)
,
digital, PDF file(s)
Edition:
Second edition
ISBN:
9780511805448
Content:
This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis
Content:
Econophysics : why and what -- Neo-classical economic theory -- Probability and stochastic processes -- Introduction to financial economics -- Introduction to portfolio selection theory -- Scaling, pair correlations, and conditional densities -- Statistical ensembles : deducing dynamics from time series -- Martingale option pricing -- FX market globalization : evolution of the dollar to worldwide reserve currency -- Macroeconomics and econometrics : regression models vs empirically based modeling -- Complexity
Note:
Title from publisher's bibliographic system (viewed on 05 Oct 2015)
Additional Edition:
ISBN 9780521429627
Additional Edition:
Print version ISBN 9780521429627
Language:
English
Subjects:
Economics
,
Mathematics
Keywords:
Kreditmarkt
;
Mathematisches Modell
DOI:
10.1017/CBO9780511805448
URL:
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