An introduction to statistical finance
AbstractWe 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 InfoPaper provided by Science & Finance, Capital Fund Management in its series Science & Finance (CFM) working paper archive with number 313238.
Date of creation: Jan 2002
Date of revision:
Publication status: Published in Physica A 313 (1-2) (2002) pp. 238-251
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-06-04 (All new papers)
- NEP-CFN-2003-06-04 (Corporate Finance)
- NEP-ETS-2003-06-04 (Econometric Time Series)
- NEP-FIN-2003-06-04 (Finance)
- NEP-RMG-2003-06-04 (Risk Management)
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