Chapter2014

Applications of Statistical Mechanics

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274 citations0/0 files storedTsinghua report and review in physics

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Complex Systems and Time Series Analysis Stochastic processes and financial applications Statistical Mechanics and Entropy

Abstract

We discuss some apparently "universal" aspects observed in the empirical analysis of stock price dynamics in ÿnancial markets.Speciÿcally we consider (i) the empirical behavior of the return probability density function and (ii) the content of economic information in ÿnancial time series.

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1997The Econometrics of Financial Markets 2003Options, Futures and Other Derivatives 1991Brownian motion and stochastic calculus 1988Theory of Financial Decision Making.1991Continuous-Time Finance.1965The Random Character of Stock Market Prices.

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