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  1. Home
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  3. Dynamics of Markets
  • Cited by 135
Publisher:
Cambridge University Press
Online publication date:
October 2009
Print publication year:
2004
Online ISBN:
9780511606588
DOI:
https://doi.org/10.1017/CBO9780511606588
Subjects:
Economics, Econophysics and Financial Physics, Physics and Astronomy, Econometrics and Mathematical Methods
Information

Book description

Standard texts and research in economics and finance ignore the absence of evidence from the analysis of real, unmassaged market data to support the notion of Adam Smith's stabilizing Invisible Hand. The neo-classical equilibrium model forms the theoretical basis for the positions of the US Treasury, the World Bank and the European Union, accepting it as their credo. It provides the theoretical underpinning for globalization, expecting to achieve the best of all possible worlds via the deregulation of all markets. In stark contrast, this text introduces a empirically based model of financial market dynamics that explains volatility, prices options correctly and clarifies the instability of financial markets. The emphasis is on understanding how real markets behave, not how they hypothetically 'should' behave. This text is written for physics graduate students and finance specialists, but will also serve as a valuable resource for those with a less mathematical background.

Reviews

'… a refreshing text about the main ideas of econophysics.'

Source: International Statistical Institute

'… not merely an incremental improvement, but … a major improvement of the Black-Scholes theory.'

Source: Zentralblatt fur Mathematik

'… excellent little book … McCauley … fully takes on board the volatility of the markets.'

Steven Bishop - University College London

'… well written. The reader is not burdened with lengthy accounts and lots of plots of outdated data … This is an important contribution to the understanding of how financial markets actually perform and both students and researchers interested in econophysics should study this book carefully.'

Source: Mathematical Reviews

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