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Statistical Finance
Statistical finance is the application of econophysics to financial markets. Instead of the normative roots of finance, it uses a positivist framework. It includes exemplars from statistical physics with an emphasis on emergent or collective properties of financial markets. Empirically observed stylized facts are the starting point for this approach to understanding financial markets. Stylized facts # Stock markets are characterised by bursts of price volatility. # Price changes are less volatile in bull markets and more volatile in bear markets. # Price change correlations are stronger with higher volatility, and their auto-correlations die out quickly. # Almost all real data have more extreme events than suspected. # Volatility correlations decay slowly. # Trading volumes have memory the same way that volatilities do. # Past price changes are negatively correlated with future volatilities. Research objectives Statistical finance is focused on three areas: # Empirical stu ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econophysics
Econophysics is a non-orthodox (in economics) interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and nonlinear dynamics. Some of its application to the study of financial markets has also been termed statistical finance referring to its roots in statistical physics. Econophysics is closely related to social physics. History Physicists' interest in the social sciences is not new (see e.g.,); Daniel Bernoulli, as an example, was the originator of utility-based preferences. One of the founders of neoclassical economic theory, former Yale University Professor of Economics Irving Fisher, was originally trained under the renowned Yale physicist, Josiah Willard Gibbs. Likewise, Jan Tinbergen, who won the first Nobel Memorial Prize in Economic Sciences in 1969 for having developed and applied dynamic models for the analysis of econo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Long-range Memory
Long Range may refer to: *Long range shooting Long range shooting is a collective term for shooting sport, shooting disciplines where the distance to the target is significant enough that the shooter has to put effort into calculating external ballistics, various ballistic factors, esp ..., a collective term for shooting at such long distances that various atmospheric conditions becomes equally important as pure shooting skills * Long Range Aviation, branches of the armed forces responsible for delivering long-range nuclear or conventional strikes by aircraft * Long-range dependency * Long Range Mountains * Long-range order * Long-range penetration * Long-range surveillance * Long-range Wi-Fi Other uses * Long Range (G.I. Joe), a fictional character in the G.I. Joe universe {{disambig ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Marc Potters
Marc or MARC may refer to: People * Marc (given name), people with the first name * Marc (surname), people with the family name Acronyms * MARC standards, a data format used for library cataloging, * MARC Train, a regional commuter rail system serving Maryland, Washington, D.C., and eastern West Virginia * MARC (archive), a computer-related mailing list archive * M/A/R/C Research, a marketing research and consulting firm * Massachusetts Animal Rights Coalition, a non-profit, volunteer organization * Matador Automatic Radar Control, a guidance system for the Martin MGM-1 Matador cruise missile * Mid-America Regional Council, the Council of Governments and the Metropolitan Planning Organization for the bistate Kansas City region * Midwest Association for Race Cars, a former American stock car racing organization * Revolutionary Agrarian Movement of the Bolivian Peasantry (''Movimiento Agrario Revolucionario del Campesinado Boliviano''), a defunct right-wing political moveme ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Jean-Philippe Bouchaud
Jean-Philippe Bouchaud (born 1962) is a French physicist. He is co-founder and chairman of Capital Fund Management (CFM), adjunct professor at École Normale Supérieure and co-director of the CFM-Imperial Institute of Quantitative Finance at Imperial College London. He is a member of the French Academy of Sciences, and held the Bettencourt Innovation Chair at Collège de France in 2020. Biography Born in Paris in 1962, Jean-Philippe Bouchaud studied at the French Lycée in London. Graduating from École Normale Supérieure in 1985, he carried out his PhD at the Laboratory of Hertzian Spectroscopy, studying spin-polarized quantum gases with Claire Lhuillier. He then worked for the French National Center for Scientific Research, in particular on liquid Helium 3 and diffusion in random media. He spent a year at the Cavendish Laboratory, University of Cambridge in 1992 before joining the Laboratory of Condensed Matter Physics (SPEC) of the French Atomic Energy and Alternative Ene ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Time Series Analysis
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart). Time series are used in statistics, signal processing, pattern recognition, econometrics, mathematical finance, weather forecasting, earthquake prediction, electroencephalography, control engineering, astronomy, communications engineering, and largely in any domain of applied science and engineering which involves temporal measurements. Time series ''analysis'' comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series ''forec ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Statistical Physics
In physics, statistical mechanics is a mathematical framework that applies statistical methods and probability theory to large assemblies of microscopic entities. Sometimes called statistical physics or statistical thermodynamics, its applications include many problems in a wide variety of fields such as biology, neuroscience, computer science, information theory and sociology. Its main purpose is to clarify the properties of matter in aggregate, in terms of physical laws governing atomic motion. Statistical mechanics arose out of the development of classical thermodynamics, a field for which it was successful in explaining macroscopic physical properties—such as temperature, pressure, and heat capacity—in terms of microscopic parameters that fluctuate about average values and are characterized by probability distributions. While classical thermodynamics is primarily concerned with thermodynamic equilibrium, statistical mechanics has been applied in non-equilibrium stat ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Modeling And Analysis Of Financial Markets
Financial modeling is the task of building an abstract representation (a model) of a real world financial situation. This is a mathematical model designed to represent (a simplified version of) the performance of a financial asset or portfolio of a business, project, or any other investment. Typically, then, financial modeling is understood to mean an exercise in either asset pricing or corporate finance, of a quantitative nature. It is about translating a set of hypotheses about the behavior of markets or agents into numerical predictions. At the same time, "financial modeling" is a general term that means different things to different users; the reference usually relates either to accounting and corporate finance applications or to quantitative finance applications. Accounting In corporate finance and the accounting profession, ''financial modeling'' typically entails financial statement forecasting; usually the preparation of detailed company-specific models used for deci ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematical Finance
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that require advanced quantitative techniques: derivatives pricing on the one hand, and risk and portfolio management on the other. Mathematical finance overlaps heavily with the fields of computational finance and financial engineering. The latter focuses on applications and modeling, often with the help of stochastic asset models, while the former focuses, in addition to analysis, on building tools of implementation for the models. Also related is quantitative investing, which relies on statistical and numerical models (and lately machine learning) as opposed to traditional fundamental analysis when managing portfolios. French mathematician Louis Bachelier's doctoral thesis, defended in 1900, is considered the first scholarly work on ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econophysics
Econophysics is a non-orthodox (in economics) interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and nonlinear dynamics. Some of its application to the study of financial markets has also been termed statistical finance referring to its roots in statistical physics. Econophysics is closely related to social physics. History Physicists' interest in the social sciences is not new (see e.g.,); Daniel Bernoulli, as an example, was the originator of utility-based preferences. One of the founders of neoclassical economic theory, former Yale University Professor of Economics Irving Fisher, was originally trained under the renowned Yale physicist, Josiah Willard Gibbs. Likewise, Jan Tinbergen, who won the first Nobel Memorial Prize in Economic Sciences in 1969 for having developed and applied dynamic models for the analysis of econo ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Complexity
Complexity characterizes the behavior of a system or model whose components interact in multiple ways and follow local rules, leading to non-linearity, randomness, collective dynamics, hierarchy, and emergence. The term is generally used to characterize something with many parts where those parts interact with each other in multiple ways, culminating in a higher order of emergence greater than the sum of its parts. The study of these complex linkages at various scales is the main goal of complex systems theory. The intuitive criterion of complexity can be formulated as follows: a system would be more complex if more parts could be distinguished, and if more connections between them existed. , a number of approaches to characterizing complexity have been used in science; Zayed ''et al.'' reflect many of these. Neil Johnson states that "even among scientists, there is no unique definition of complexity – and the scientific notion has traditionally been conveyed using partic ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Scientific Pluralism
Scientific pluralism is a position within the philosophy of science that rejects various proposed unities of scientific method and subject matter. Scientific pluralists hold that science is not unified in one or more of the following ways: the metaphysics of its subject matter, the epistemology of scientific knowledge, or the research methods and models that should be used. Some pluralists believe that pluralism is necessary due to the nature of science. Others say that since scientific disciplines already vary in practice, there is no reason to believe this variation is wrong until a specific unification is empirically proven. Finally, some hold that pluralism should be allowed for normative reasons, even if unity were possible in theory. History Since the development of logical positivism by the Vienna Circle The Vienna Circle () of logical empiricism was a group of elite philosophers and scientists drawn from the natural and social sciences, logic and mathematics who met ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
