Title Statements
- Full title :Essentials of econophysics modelling / Frantisek Slanina.
Edition Statements
- Publication Date:2013.
Publication Statements
- Publisher(s):Oxford University Press
- Place of Publication:Oxford
- Language:eng
- Publication Date:2013.
The Physical Object
- Description:432 pages : : illustrations (black and white) ; : 25 cm
Edition Identifiers
- ISBN:9780199299683, 0199299684, 0191009075, 9780191009075
- oclc:ocn859555930
- LC Classification:HB137
- Dewey Decimal:332.015195
Table of Contents
1.Empirical econophysics and stylised facts -- 1.1.Setting the stage -- 1.1.1.A few words on history -- 1.1.2.About efficient markets -- 1.1.3.Stylised facts -- 1.2.Price fluctuations -- 1.2.1.Notation -- 1.2.2.Basic analysis -- 1.2.3.More advanced analysis -- 1.3.Order-book statistics -- 1.3.1.Order placement -- 1.3.2.Price impact -- 1.3.3.Long memory in the order flow -- 1.4.Correlation matrices and economic sectors -- 1.4.1.Hierarchies among stocks -- 1.4.2.Spectrum and localisation -- 1.4.3.Clustering in correlation networks -- 1.5.What remains -- 2.Stochastic models -- 2.1.Random walk and beyond -- 2.1.1.Bachelier's programme -- 2.1.2.Geometric random walk -- 2.1.3.Continuous-time random walk -- 2.2.GARCH and related processes -- 2.2.1.Markovian or not? Bad question -- 2.2.2.Heteroskedasticity -- 2.3.Cascades -- 2.3.1.Motivation -- 2.3.2.Realisation -- 2.4.Stochastic volatility models -- 2.4.1.Systematics -- 2.4.2.Price fluctuation moments -- 2.4.3.Volatility and return distributions -- 2.5.What remains -- Problems -- 3.Basic agent models -- 3.1.Aggregation models -- 3.1.1.Economic sandpile -- 3.1.2.Cont-Bouchaud model -- 3.1.3.Egufluz-Zimmermann model -- 3.2.Agent-based mode…
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