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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Giulia Iori, 2000.
"A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions,"
- Iori, Giulia, 2002. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 269-285, October.
- Giulia Iori, 1999. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 9905005, EconWPA.
- J. Doyne Farmer, 1999.
"Market Force, Ecology, and Evolution,"
Computing in Economics and Finance 1999
651, Society for Computational Economics.
- A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001.
"Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos,"
- A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor and Francis Journals, vol. 2(4), pages 264-281.
- Farhat Selmi & Jean-Philippe Bouchaud, 2000. "Hedging large risks reduces the transaction costs," Science & Finance (CFM) working paper archive 500033, Science & Finance, Capital Fund Management.
- Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1997.
"Phenomenology of the interest rate curve,"
Science & Finance (CFM) working paper archive
500048, Science & Finance, Capital Fund Management.
- J. Doyne Farmer, 1999. "Physicists Attempt to Scale the Ivory Towers of Finance," Working Papers 99-10-073, Santa Fe Institute.
- Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud, 2000.
"Correlation structure of extreme stock returns,"
cond-mat/0006034, arXiv.org, revised Jan 2001.
- Jean-Philippe Bouchaud & Andrew Matacz & Marc Potters, 2001. "The leverage effect in financial markets: retarded volatility and market panic," Science & Finance (CFM) working paper archive 0101120, Science & Finance, Capital Fund Management.
- Vasiliki Plerou & Parameswaran Gopikrishnan & Xavier Gabaix & H. Eugene Stanley, 2001. "Quantifying Stock Price Response to Demand Fluctuations," Papers cond-mat/0106657, arXiv.org.
- P. Cizeau & M. Potters & J-P. Bouchaud, 2001. "Correlation structure of extreme stock returns," Quantitative Finance, Taylor and Francis Journals, vol. 1(2), pages 217-222.
- 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.
- Ferreira, Paulo & Dionisio, Andreia, 2008. "The Entropic Analysis Of Electoral Results: The Case Of European Countries," MPRA Paper 9234, University Library of Munich, Germany.
- Amir Safari & Detlef Seese, 2010. "Behavior of realized volatility and correlation in exchange markets," Articles of International Econometric Review (IER), Econometric Research Association, vol. 2(2), pages 73-96, September.
- Hokky Situngkir & Yohanes Surya, 2004.
"Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia,"
- Hokky Situngkir & Yohanes Surya, 2004. "Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia," Finance 0405005, EconWPA.
- 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.
- 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.
- Christophe Schinckus, 2011. "What can econophysics contribute to financial economics?," International Review of Economics, Springer, vol. 58(2), pages 147-163, June.
- 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.
- Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marc Potters).
If references are entirely missing, you can add them using this form.