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The Statistical Mechanics of Financial Markets by Johannes Voit (Author)
From the reviews of the third edition:
"An excellent job of integrating many of the most important themes from econophysics in a relatively small volume. … The book serves its purpose, as a textbook on econophysics, superbly and one can tell that it developed from a course of lectures. The book is written with extreme clarity and an excellent pedagogical style. For philosophers who wish to acquaint themselves with the field of econophysics (beyond a superficial level), this is the book to invest in." (Dean Rickles, Studies in History and Philosophy of Modern Physics, Vol. 38, 2007)
--This text refers to the Hardcover edition.Product Description
FROM THE REVIEWS:
"Provides an excellent introduction for physicists interested in the statistical properties of financial markets...basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined...an excellent starting point for the interested physicist." --PHYSICS TODAY
"On the whole, the book is well balanced between the new and the old, truth and hope, lure and lore. It has some significant overlap with [other] books...however, it is broader in scope and contains a lot more physics and speculative ideas. The useful references and Web links provided at the end of the book might make it an easier step to climb for physicists who want to know where the action is." AMERICAN SCIENTIST
This introductory treatment describes parallels between statistical physics and finance, both long established and new research results on capital markets. Forming the core of Voit's treatment are the concepts of random walks, scaling of data, and risk control. Voit discusses the underlying assumptions using empirical financial data and analogies to physical models such as fluid flows and turbulence. He formulates theories of derivative pricing and risk control, and shows how computer simulations of markets provide insights into price fluctuations and how crashes are modelled in ways analogous to phase transitions. This corrected edition has been updated with several new and significant developments, e.g. the dynamics of volatility smiles and implied volatility surfaces, path integral approaches to option pricing, a new simulation scheme for options, multifractals, the application of nonextensive statistical mechanics to financial markets, and the minority game.
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