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An introduction to statistical finance

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  • Bouchaud, Jean-Philippe
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    Abstract

    We summarize recent research in a rapid growing field, that of statistical finance, also called ‘econophysics’. There are three main themes in this activity: (i) empirical studies and the discovery of interesting universal features in the statistical texture of financial time series, (ii) the use of these empirical results to devise better models of risk and derivative pricing, of direct interest for the financial industry, and (iii) the study of ‘agent-based models’ in order to unveil the basic mechanisms that are responsible for the statistical ‘anomalies’ observed in financial time series. We give a brief overview of some of the results in these three directions.

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    Bibliographic Info

    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 313 (2002)
    Issue (Month): 1 ()
    Pages: 238-251

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    Handle: RePEc:eee:phsmap:v:313:y:2002:i:1:p:238-251

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    Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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    Cited by:
    1. Xiao, Di & Wang, Jun, 2012. "Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4827-4838.
    2. Ferreira, Paulo & Dionisio, Andreia, 2008. "The Entropic Analysis Of Electoral Results: The Case Of European Countries," MPRA Paper 9234, University Library of Munich, Germany.
    3. Lin, William & Tsai, Shih-Chuan & Sun, David, 2009. "What Causes Herding:Information Cascade or Search Cost ?," MPRA Paper 20217, University Library of Munich, Germany, revised 23 Jan 2010.
    4. Boldea Bogdan Ion & Boldea Costin-Radu & Stanculescu Mircea, 2009. "An Adaptative Evolutionary Model Of Financial Investors," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 4(1), pages 897-901, May.
    5. Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
    6. Oliveira dos Santos Soares, Ricardo & Martinez, Alexandre Souto, 2006. "The geometrical patterns of cooperation evolution in the spatial prisoner's dilemma: An intra-group model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 369(2), pages 823-829.
    7. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
    8. Schinckus, Christophe, 2009. "Economic uncertainty and econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(20), pages 4415-4423.
    9. Fang, Wen & Wang, Jun, 2013. "Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4055-4063.
    10. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    11. D’Amico, Guglielmo & Janssen, Jacques & Manca, Raimondo, 2009. "European and American options: The semi-Markov case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3181-3194.
    12. Jan Novotný & Jan Hanousek & Evžen Kočenda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
    13. Kostanjcar, Zvonko & Jeren, Branko & Juretic, Zeljan, 2012. "Impact of uncertainty in expected return estimation on stock price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5563-5571.
    14. Lee, Sangwook & Kim, Min Jae & Lee, Sun Young & Kim, Soo Yong & Ban, Joon Hwa, 2013. "The effect of the subprime crisis on the credit risk in global scale," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2060-2071.
    15. Lin, William & Sun, David & Tsai, Shih-Chuan, 2010. "Searching out of Trading Noise: A Study of Intraday Transactions Cost," MPRA Paper 28937, University Library of Munich, Germany, revised 14 Jan 2011.
    16. Christophe Schinckus, 2011. "What can econophysics contribute to financial economics?," International Review of Economics, Springer, vol. 58(2), pages 147-163, June.
    17. Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Papers cond-mat/0403465, arXiv.org.
    18. Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.

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