Physicists Attempt to Scale the Ivory Towers of Finance
AbstractPhysicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random-process models for price dynamics, agent-based modeling, and practical applications.
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Bibliographic InfoPaper provided by Santa Fe Institute in its series Working Papers with number 99-10-073.
Date of creation: Oct 1999
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Finance; physics; agent-based modeling; portfolio theory; options; random processes.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-12-01 (All new papers)
- NEP-CMP-2000-02-03 (Computational Economics)
- NEP-FIN-1999-12-01 (Finance)
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