Introduction to Econophysics

Correlations and Complexity in Finance
Author: Rosario N. Mantegna,H. Eugene Stanley
Publisher: Cambridge University Press
ISBN: 9781139431224
Category: Business & Economics
Page: N.A
View: 9037

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This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.

Instabilität in Natur und Wissenschaft

Eine Wissenschaftsphilosophie der nachmodernen Physik
Author: Jan Cornelius Schmidt
Publisher: Walter de Gruyter
ISBN: 3110209691
Category: Philosophy
Page: 471
View: 2525

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Nature is not only stable and static but also unstable and dynamical ‑ this has been shown by physics during the last 40 years. Today, instabilities are regarded as productive and creative sources of change, pattern formation, and growth. They constitute the nomological nucleus of self-organization, chaos and complexity, time's arrow and chance. This change in understanding nature has also modified sciences. Physics has traditionally limited its scope to stability. Currently, it is expanding and renewing itself: a late-modern physics is emerging, and discloses rich interdisciplinary perspectives for the future of mathematical sciences.

Technische Analyse und ihre Auswirkungen auf Aktienkurse


Author: Thomas Groffig
Publisher: diplom.de
ISBN: 3832462260
Category: Business & Economics
Page: 72
View: 619

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Inhaltsangabe:Zusammenfassung: Die Technische Analyse hat sich in vielen Anwendungsbereichen der Finanzmärkte als eine der wichtigsten Analyseinstrumente für die Praxis etabliert. Aufgrund der steigenden Volatilität in vielen Märkten, die gemeinhin als Voraussetzung für die Anwendung der Technischen Analyse gesehen wird, hat die Bedeutung markttechnischer Methoden in den letzten Jahren zugenommen. Daher stellt sich die Frage, welche Konsequenzen mit dem Erfolg der Technischen Analyse im Sinne von wachsender Verbreitung einhergehen. Neben einer systematischen, klassifizierenden Darstellung der wichtigsten Verfahren der Technischen Analyse und einer kurzen Betrachtung ihrer Historie, steht die Betrachtung ihrer Auswirkungen auf Aktienkurse im Mittelpunkt dieser Arbeit. Der Frage nach der Zweckmäßigkeit der Anwendung von Technischer Analyse wird hierbei nicht nachgegangen. Nach einem Überblick der Modelle, die sich mit dieser Fragestellung beschäftigen, soll das Modell von KIRMAN näher vorgestellt werden. Darin wird eine mögliche mathematische Erklärung des Meinungsverbreitungsprozesses geliefert und gezeigt, inwiefern diese für das Entstehen von spekulativen Blasen in einer einfachen Ökonomie verantwortlich ist. In dieser Ökonomie stehen sich Fundamentalanalysten und Technische Analysten gegenüber. Anhand einer Simulation können dann die Effekte der letzteren auf den Kurs einer Aktie analysiert werden. Inhaltsverzeichnis:Inhaltsverzeichnis: ABBILDUNGSVERZEICHNISIII TABELLENVERZEICHNISIV ABKÜRZUNGSVERZEICHNISV 1.Einführung1 2.Grundlagen der Technischen Analyse2 2.1Definition und Prämissen2 2.2Historie markttechnischer Theorien4 2.3Zur Akzeptanz der Technischen Analyse7 3.Methodik der Technischen Analyse10 3.1Chartanalyse11 3.1.1Barchart-/Linienchart-Analyse12 3.1.1.1Trendanalyse12 3.1.1.2Formationsanalyse15 3.1.2Point & Figure-Analyse17 3.1.2.1Trendanalyse19 3.1.2.2Formationsanalyse20 3.1.2.3Kurszielbestimmung21 3.1.3Japanische Candlestick-Charts22 3.2Indikatorenanalyse23 3.2.1Gleitende Durchschnitte24 3.2.2Oszillatoren25 3.2.2.1Momentum-Indikatoren25 3.2.2.2Der Relative-Stärke-Index26 3.2.2.3Stochastik-Indikatoren26 3.2.3Gesamtmarkt-Indikatoren27 4.Auswirkungen der Technischen Analyse auf Aktienkurse27 4.1Problemstellung27 4.2Neuere Kapitalmarktanomalien30 4.3Gemischte Marktmodelle mit nicht-fundamentalen Einflüssen33 4.3.1Grundlagen33 4.3.2Meinungsverbreitung und Spekulative Blasen: das [...]

Praxishandbuch Digital Banking


Author: Volker Brühl,Joachim Dorschel
Publisher: Springer-Verlag
ISBN: 3658188901
Category: Business & Economics
Page: 413
View: 8247

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Kaum eine Industrie wird durch die Digitalisierung so stark geprägt wie der Bankensektor. Neue Technologien verändern die Wertschöpfungskette im Privatkundengeschäft ebenso wie im Firmenkunden- und Kapitalmarktgeschäft. Auch zentrale Funktionen wie Risikomanagement, Finance, Controlling sowie Compliance und Kommunikation müssen sich den Herausforderungen des digitalen Zeitalters stellen. Neben jungen Finanztechnologieunternehmen („FinTechs“) stellen auch Technologie- bzw. Internetkonzerne mit innovativen Lösungen traditionelle Geschäftsmodelle der Finanzdienstleister in Frage. Die erfolgreiche Gestaltung der digitalen Transformation wird somit zum entscheidenden Faktor für eine nachhaltig erfolgreiche Unternehmensentwicklung. Das vorliegende Werk beleuchtet die unterschiedlichen Facetten der Digitalisierung und deren Auswirkungen auf das Bankgeschäft. Dazu gehören die unter dem Stichwort Banking 4.0 dargestellten strategischen Herausforderungen an die Bank der Zukunft angesichts neuer Technologien, veränderter Kundenerwartungen und eines dynamischen Wettbewerbsumfelds. Das Handbuch wurde von führenden Experten und erfahrenen Praktikern verfasst und richtet sich an Fach- und Führungskräfte, die sich mit der Digitalisierung im Bankensektor beschäftigen.

Finanzmarktsimulation mit Multiagentensystemen

Entwicklung eines methodischen Frameworks
Author: Michael Heun
Publisher: Springer-Verlag
ISBN: 3835055135
Category: Business & Economics
Page: 551
View: 2687

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Michael Heun entwickelt ein Framework als Grundlage für die Finanzmarktsimulation mit Multiagentensystemen. Der Fokus liegt dabei auf der Offenheit des Frameworks, sodass unterschiedlichste Marktformen und Marktteilnehmertypen einbezogen werden können.

Luhmann-Handbuch

Leben – Werk – Wirkung
Author: Oliver Jahraus,Armin Nassehi,Mario Grizelj,Irmhild Saake,Christian Kirchmeier,Julian Müller
Publisher: Springer-Verlag
ISBN: 3476052710
Category: Philosophy
Page: 471
View: 8077

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In vielen Disziplinen kontrovers diskutiert, prägt Niklas Luhmanns Systemtheorie die intellektuellen Debatten weit über den universitären Bereich hinaus. Neben einem Einblick in die Biografie Luhmanns zeichnet das Handbuch die Grundlagen seines Denkens und verschiedene Theoriestränge nach. Darunter: Evolutions-, Kommunikations-, Medien- und Gesellschaftstheorie. Detailliert werden einzelne Werke und Werkgruppen besprochen. Weitere Kapitel erklären zentrale Begriffe der Systemtheorie, wie Autopoiesis, Code, Komplexität, System u. v. a.

New Directions in Statistical Physics

Econophysics, Bioinformatics, and Pattern Recognition
Author: Luc T. Wille
Publisher: Springer Science & Business Media
ISBN: 9783540431824
Category: Science
Page: 363
View: 7935

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This book provides a unique insight into the latest breakthroughs in a consistent manner, at a level accessible to undergraduates, yet with enough attention to the theory and computation to satisfy the professional researcher Statistical physics addresses the study and understanding of systems with many degrees of freedom. As such it has a rich and varied history, with applications to thermodynamics, magnetic phase transitions, and order/disorder transformations, to name just a few. However, the tools of statistical physics can be profitably used to investigate any system with a large number of components. Thus, recent years have seen these methods applied in many unexpected directions, three of which are the main focus of this volume. These applications have been remarkably successful and have enriched the financial, biological, and engineering literature. Although reported in the physics literature, the results tend to be scattered and the underlying unity of the field overlooked.

Network Analysis and Tourism

From Theory to Practice
Author: Noel Scott,Rodolfo Baggio,Prof. Chris Cooper
Publisher: Channel View Publications
ISBN: 1845413105
Category: Business & Economics
Page: 220
View: 6834

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This book aims to provide a comprehensive review of the contribution of network analysis to the understanding of tourism destinations and organizations. Theoretical and methodological aspects are discussed along with a series of applications. While this is a relatively new approach in the tourism literature, in other social and natural sciences network analysis has a long tradition and has provided important insights for the knowledge of the structure and the dynamics of many complex systems. The study of network structures, both from a quantitative and qualitative point of view, can deliver a number of useful outcomes also for the analysis of tourism destinations and organizations.

Introduction to Phase Transitions and Critical Phenomena


Author: Harry Eugene Stanley
Publisher: Oxford University Press on Demand
ISBN: 9780195053166
Category: Literary Criticism
Page: 308
View: 5811

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The book is at the level at which a graduate student who has studied condensed matter physics can begin to comprehend the nature of phase transitions, which involve the transformation of one state of matter into another. (A simple example is the melting of a solid to become a liquid.) Such a transformation is termed 'critical' when, after a certain amount of the substance changes phase, the entire bulk virtually instantaneously also makes the transition. A second, updated edition is planned for future publication, but in the mean time this paperback reissue will be useful in teaching the fundamental principles of this extremely interesting subject.

Investing: The Last Liberal Art


Author: Robert G. Hagstrom
Publisher: Columbia University Press
ISBN: 023153101X
Category: Business & Economics
Page: 216
View: 3998

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Robert G. Hagstrom is one of the best-known authors of investment books for general audiences. Turning his extensive experience as a portfolio manager at Legg Mason Capital Management into valuable guidance for professionals and nonprofessionals alike, he is the author of six successful books on investment, including The Warren Buffett Way, a New York Times best-seller that has sold more than a million copies. In this updated second edition of Investing: The Last Liberal Art, Hagstrom explores basic and fundamental investing concepts in a range of fields outside of economics, including physics, biology, sociology, psychology, philosophy, and literature. He discusses, for instance, how the theory of evolution disrupts the notion of the efficient market and how reading strategies for literature can be gainfully applied to investing research. Building on Charlie Munger's famous "latticework of mental models" concept, Hagstrom argues that it is impossible to make good investment decisions based solely on a strong knowledge of finance theory alone. He reinforces his concepts with additional data and a new chapter on mathematics, and updates his text throughout to reflect the developments of the past decade, particularly the seismic economic upheaval of 2008. He has also added a hundred new titles to the invaluable reading list concluding the book. Praise for the first edition: "I read this book in one sitting: I could not put it down."—Peter L. Bernstein, author of Against the Gods: The Remarkable Story of Risk "Elegant and irresistible. Robert G. Hagstrom makes the complex clear as he confidently crisscrosses through the disciplines of finance, biology, physics, and literature. The only way to understand investing better, [Investing] shows, is to understand the world better. Ideas spark off the page at every turn. This is simply a gem of a book."—James Surowiecki, New Yorker "Investing is a brisk and engaging read, and it is a pleasure to be in the presence of Hagstrom's agile mind."—International Herald Tribune

Complex Sciences

First International Conference, Complex 2009, Shanghai, China, February 23-25, 2009. Revised Selected Papers
Author: Jie Zhou
Publisher: Springer Science & Business Media
ISBN: 3642024661
Category: Computers
Page: 1191
View: 2038

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I was invited to join the Organizing Committee of the First International Conference on Complex Sciences: Theory and Applications (Complex 2009) as its ninth member. At that moment, eight distinguished colleagues, General Co-chairs Eugene Stanley and Gaoxi Xiao, Technical Co-chairs János Kertész and Bing-Hong Wang, Local Co-chairs Hengshan Wang and Hong-An Che, Publicity Team Shi Xiao and Yubo Wang, had spent hundreds of hours pushing the conference half way to its birth. Ever since then, I have been amazed to see hundreds of papers flooding in, reviewed and commented on by the TPC members. Finally, more than 200 contributions were - lected for the proceedings currently in your hands. They include about 200 papers from the main conference (selected from more than 320 submissions) and about 33 papers from the five collated workshops: Complexity Theory of Art and Music (COART) Causality in Complex Systems (ComplexCCS) Complex Engineering Networks (ComplexEN) Modeling and Analysis of Human Dynamics (MANDYN) Social Physics and its Applications (SPA) Complex sciences are expanding their colonies at such a dazzling speed that it - comes literally impossible for any conference to cover all the frontiers.

Ökonophysik

Die Physik des Finanzmarktes
Author: Tobias Preis
Publisher: Springer-Verlag
ISBN: 383496395X
Category: Business & Economics
Page: 212
View: 7059

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Tobias Preis gibt einen fundierten Einblick in das noch junge interdisziplinäre Forschungsgebiet der Ökonophysik. Er entwickelt ein Orderbuchmodell zur Finanzmarktsimulation auf der Grundlage von Multiagentensystemen, mit dem sich viele empirische Eigenschaften von realen Börsendaten reproduzieren lassen.

Noise and fluctuations in econophysics and finance

24-26 May, 2005, Austin, Texas, USA
Author: Derek Abbott,Jean-Philippe Bouchaud,Xavier Gabaix
Publisher: Society of Photo Optical
ISBN: 9780819458438
Category: Science
Page: 348
View: 9137

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Proceedings of SPIE present the original research papers presented at SPIE conferences and other high-quality conferences in the broad-ranging fields of optics and photonics. These books provide prompt access to the latest innovations in research and technology in their respective fields. Proceedings of SPIE are among the most cited references in patent literature.

Attractors, signals, and synergetics

proceedings of the 1st European Interdisciplinary School on Nonlinear Dynamics for System and Signal Analysis, EUROATTRACTOR 2000, Warsaw, June 06 to June 15, 2000
Author: Włodzimierz Klonowski
Publisher: N.A
ISBN: 9783936142099
Category: Psychology
Page: 569
View: 6496

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Physical Review

Statistical physics, plasmas, fluids, and related interdisciplinary topics
Author: N.A
Publisher: N.A
ISBN: N.A
Category: Statistical physics
Page: N.A
View: 394

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Unsolved Problems of Noise and Fluctuations

UPoN'99: Second International Conference, Adelaide, Australia 11-15 July 1999
Author: Derek Abbott,Laszlo B. Kish
Publisher: American Inst. of Physics
ISBN: 9781563968266
Category: Mathematics
Page: 561
View: 8808

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Noise and fluctuations are at the seat of all physical systems. The advertised scope of the conference included gravitational wave detection, quantum fluctuations, quantum Brownian motion, Brownian ratchets, stochastic resonance, biological systems, semiconductors, electronic devices, sandpile physics, optical phenomena and all types of stochastic phenomena. This solicited a wide range of papers from cosmology to biology to electronic devices. Using the study of fluctuations as the unifying theme for these diverse disciplines is a new and exciting concept. UpoN is a unique conference in that it focuses on open questions and problems, rather than answers. 90% of the solution is asking the right question. The discovery of a problem is often more profound than the discovery of a solution. In the spirit of this conference, authors were asked to (1) conclude each manuscript with a section called "Conclusions and Open Questions" and (2) ask questions to the audience at the end of their oral presentation. An important characteristic of this conference is that refereeing of all papers was carried out to a high standard by the International Scientific Advisory Committee using a strict double-blind refereeing process.