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Financial Market Complexity: Oxford Finance Series

Autor Neil F. Johnson, Paul Jefferies, Pak Ming Hui
en Limba Engleză Hardback – 2 iul 2003
Financial markets are a fascinating example of 'complexity in action': a real-world complex system whose evolution is dictated by the decisions of crowds of traders who are continually trying to win in a vast global 'game'. This book draws on recent ideas from the highly-topical science of complexity and complex systems, to address the following questions: how do financial markets behave? Why do financial markets behave in the way that they do? What can we do to minimize risk, given this behavior? Standard finance theory is built around several seemingly innocuous assumptions about market dynamics. This book shows how these assumptions can give misleading answers to crucially important practical problems such as minimizing financial risk, coping with extreme events such as crashes or drawdowns, and pricing derivatives. After discussing the background to the concept of complexity and the structure of financial markets in Chapter 1, Chapter 2 examines the assumptions upon which standard finance theory is built. Reality sets in whith Chapter 3, where data from two seemingly different markets are analyzed and certain universal features uncovered which cannot be explained within standard finance theory. Chapters 4 and 5 mark a significant departure from the philosophy of standard finance theory, being concerned with exploring microscopic models of markets which are faithful to real market microstructure yet, which also reproduce real-world features. Chapter 6 moves to the practical problem of how to quantify and hedge risk in real world markets. Chapter 7 discusses deterministic descriptions of market dynamics, incorporating the topics of chaos and the all-important phenomenon of market crashes.
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Specificații

ISBN-13: 9780198526650
ISBN-10: 0198526652
Pagini: 270
Ilustrații: numerous figures
Dimensiuni: 174 x 242 x 19 mm
Greutate: 0.57 kg
Editura: OUP OXFORD
Colecția OUP Oxford
Seria Oxford Finance Series

Locul publicării:Oxford, United Kingdom

Recenzii

This book is a real gem ... very easy to digest ... I would recommend this book to philosophers who are coming to this field fresh. The explanations the authors give are well-suited to those coming to the material for the first time and, I think, to those versed in physics and a physics-type style of writing.
Overall, the book is distinguished by its lively and inspiring representation method. In combination with the wide spectrum of topics covered, these characteristics make this book a recommendable textbook.

Notă biografică

Neil F. Johnsonnjohnson@physics.ox.ac.ukClarendon LaboratoryParks RoadOxford OX1 3PU01865 272287fax 0870 1344065Paul Jefferiesp.jefferies@physics.ox.ac.ukDepartment of PhysicsLincoln CollegeOxford OX1 3DR UKPak Ming HuiRoom 209 2nd FloorScience Centre North BlockThe Chinese University of Hong KongShatin, Hong Kong