Book contents
- Frontmatter
- Contents
- Preface
- Dedication
- 1 Introduction
- 2 Efficient market hypothesis
- 3 Random walk
- 4 Lévy stochastic processes and limit theorems
- 5 Scales in financial data
- 6 Stationarity and time correlation
- 7 Time correlation in financial time series
- 8 Stochastic models of price dynamics
- 9 Scaling and its breakdown
- 10 ARCH and GARCH processes
- 11 Financial markets and turbulence
- 12 Correlation and anticorrelation between stocks
- 13 Taxonomy of a stock portfolio
- 14 Options in idealized markets
- 15 Options in real markets
- Appendix A: Notation guide
- Appendix B: Martingales
- References
- Index
Contents
Published online by Cambridge University Press: 04 June 2010
- Frontmatter
- Contents
- Preface
- Dedication
- 1 Introduction
- 2 Efficient market hypothesis
- 3 Random walk
- 4 Lévy stochastic processes and limit theorems
- 5 Scales in financial data
- 6 Stationarity and time correlation
- 7 Time correlation in financial time series
- 8 Stochastic models of price dynamics
- 9 Scaling and its breakdown
- 10 ARCH and GARCH processes
- 11 Financial markets and turbulence
- 12 Correlation and anticorrelation between stocks
- 13 Taxonomy of a stock portfolio
- 14 Options in idealized markets
- 15 Options in real markets
- Appendix A: Notation guide
- Appendix B: Martingales
- References
- Index
Summary
- Type
- Chapter
- Information
- Introduction to EconophysicsCorrelations and Complexity in Finance, pp. v - viiPublisher: Cambridge University PressPrint publication year: 1999