Financial Market Complexity What Physics Can Tell Us About Market Behaviour 1st Edition by Neil Johnson, Paul Jefferies, Pak Ming Hui ISBN 9780198526650 0198526652

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Product details:
ISBN 10: 0198526652
ISBN 13: 9780198526650
Author: Neil Johnson, Paul Jefferies, Pak Ming Hui

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 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 which 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.

Financial Market Complexity What Physics Can Tell Us About Market Behaviour 1st Edition Table of contents:

1 Financial markets as complex systems;

2. Standard finance theory;

3. A complex walk down Wall Street;

4. Financial market models with global interactions;

5. Financial market models with local interactions;

 6. Non-zero risk in the real world;

7. Deterministic dynamics, chaos and crashes

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Tags: Neil Johnson, Paul Jefferies, Pak Ming Hui, Financial Market, Market Behaviour