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__An_Introduction_to_Econophysics__Correlations_and_Complexity_in_Finance

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function,
Gaussian; Le´vy stable
stochastic process 4, 17, 25–6, 31–3, 62, 65, 71
Standard & Poor’s 500 index (S&P 500) 30, 35,
41, 53, 55–9, 68–72, 85, 87, 90, 99, 101–2, 112
stationary stochastic processes 44
asymptotic 45, 59–60, 76, 90
nth-order 45
strict-sense 45, 58
wide-sense 45
strange attractor 5
strike price 114, 116, 124, 126
subdominant ultrametric 107, 111–12
subordinated stochastic process 63
superdiffusive behavior 56, 93
synchronous pair of assets 98, 103–6
synthetic option 121
taxonomy 106–7, 112
Taylor hypothesis 90
Taylor microscale Reynolds number 92
technical analysis 7
time
index 42
to maturity 125
scales 36, 39
thermodynamics
equilibrium 123
non-equilibrum 123
topological space 106, 112
trading
activity 41
strategy 117, 121
time 39–41
volume 63
traffic flow 50
transaction costs 9, 118, 127
triangular inequality 106–7
turbulence 7, 88–97
fully developed 88–90, 92
ultrametric
distance 107
distance matrix 109
inequality 107
148 Index
spaces 106–7
universality 6, 129
velocity
autocorrelation function 49
fluctuations of a turbulent fluid 90–3, 96
volatility 30, 41, 53, 57–9, 73–4, 76, 90, 94, 96,
122, 124–5, 128
correlation 58
distribution 58
fluctuations 30, 33, 126–7
historical 124–5
implied 125–6
risk 126
smile 126
unconditional 124
white noise 49–50
Wiener process 15, 49–50, 79, 118, 128
	Contentsnull
	Prefacenull
	1 Introductionnull
	2 Efficient Market Hypothesisnull
	3null Random Walk 
	4null Levy Stochastic Processes and Limit Theorems 
	5 Scales in Financial Datanull
	6 Stationarity and Time Correlationnull
	7 Time Correlation in Financial Time Seriesnull
	8 Stochastic Models of Price Dynamicsnull
	9 Scaling and its Breakdownnull
	10 nullARCH and GARCH Processes 
	11 Financial Markets and Turbulencenull
	12 Correlation and Anticorrelation between Stocksnull
	13 Taxonomy of a Stock Portfolionull
	14 Options in Idealized Marketsnull
	15 Options in Real Marketsnull
	Appendix A Notation Guidenull
	Appendix B Martingalesnull
	Referencesnull
	Indexnull