市场动力学

作者简介

《市场动力学:经济物理学和金融》初版2004年，2007年重印发行，深受广大读者的好评。大量有关经济和金融的教程几乎都没有使Adam Simith的稳定性“看不见得手”观点得到实际市场数据的证实。现代经典平衡态模型大多基于美国国债，世界银行，IMF以及欧盟，他们将该理论作为实际操作的信条，使得平衡态模型提供经济全球化中市场不规则运动过程中达到预期目标的理论支持。《市场动力学(经济物理学和金融)》则是以市场运行实际经验为依据，并非假设市场应该如何运行，引入了基于实践的金融市场动力学，详细讲述了波动和定价期权，阐释了金融市场的不稳定性。

书籍目录

Preface

1 The moving target

1.1 Invariance principles and laws of nature

1.2 Humanly invented law can always be violated

1.3 Where are we headed?

2 Neo-classical economic theory

2.1 Why study "optimizing behavior"?

2.2 Dissecting neo-classical.economic theory （microeconomics）

2.3 The myth of equilibrium via perfect information

2.4 How many green jackets does a consumer want?

2.5 Macroeconomic lawlessness

2.6 When utility doesn't exist

2.7 Global perspectives in economics

2.8 Local perspectives in physics

3 Probability and stochastic processes

3.1 Elementary rules of probability theory

3.2 The empirical distribution

3.3 Some properties of probability distributions

3.4 Some theoretical distributions

3.5 Lawsof large numbers

3.6 Stochastic processes

3.7 Correlations and stationary processes

4 Scaling the ivory tower of finance

4.1 Prolog

4.2 Horse trading by a fancy name

4.3 Liquidity, and several shaky ideas of "true value"

4.4 The Gambler's Ruin

4.5 The Modigliani-Miller argument

4.6 From Gaussian returns to fat tails

4.7 The best tractable approximation to liquid market dynamics

4.8 "Temporary price equilibria" and other wrong ideas of "equilibrium" in economics and finance

4.9 Searching for Adam Smith's Invisible Hand

4.10 Black's "equilibrium": dreams of "springs" in the market

4.11 Macroeconomics: lawless phenomena?

4.12 No universal scaling exponents either!

4.13 Fluctuations, fat tails, and diversification

5 Standard betting procedures in portfolio selection theory

5.1 Introduction

5.2 Risk andreturn

5.3 Diversification and correlations

5.4 The CAPM portfolio selection strategy

5.5 The efficient market hypothesis

5.6 Hedging with options

5.7 Stock shares as options on a firm's assets

5.8 The Black-Scholes model

5.9 The CAPM option pricing strategy

5.10 Backward-time diffusion: solving the Black-Scholes pde

5.11 We can learn from Enron

6 Dynamics of financial markets, volatility, and option pricing

6.1 An empirical model of option pricing

6.2 Dynamics and volatility of returns

6.3 Option pricing via stretched exponentials

Appendix A.The first Kolmogorov equation

7 Thermodynamic analogies vs instability of markets

7.1 Liquidity and approximately reversible trading

7.2 Replicating self-financing hedges

7.3 Why thermodynamic analogies fail

7.4 Entropy and instability of financial markets

7.5 The challenge: to find at least one stable market

Appendix B.Stationary vs nonstationary random forces

8 Scaling, correlations, and cascades in finance and turbulence

8.1 Fractal vs self-affine scaling

8.2 Persistence and antipersistence

8.3 Martingales and the efficient market hypothesis

8.4 Energy dissipation in fluid turbulence

8.5 Multiaffine scaling in turbulence models

8.6 Levy distributions

8.7 Recent analyses of financial data

Appendix C.Continuous time Markov processes What is complexity?

9.1 Patterns hidden in statistics

9.2 Computable numbers and functions

9.3 Algorithmic complexity

9.4 Automata

9.5 Chaos vs randomness vs complexity

9.6 Complexity at the border of chaos

9.7 Replication and mutation

9.8 Why not econobiology？

9.9 Note added April 8, 2003

References

Index

编辑推荐

《市场动力学:经济物理学和金融》是由世界图书出版公司出版的。

内容概要

作者：(美国)麦考利(Joseph.L.McCauley)

章节摘录

版权页：The analogy of a heat bath with finance is that large trades violate the liquidityassumption, as, for example, when Citi-Bank takes a large position in Reals, justas taking too much energy out of the system's environment violates the assumptionthat the heat bath remains approximately in equilibrium in thermodynamics.The possibility of arbitrage would correspond to a lower entropy （Zhang, 1999）,reflecting correlations in the market dynamics. This would require history dependence in the returns distribution whereas the noarbitrage condition, which is guaranteed by the "efficient market hypothesis" （EMH） is satisfied by either statisticallyindependent or Markovian retums. Our empirically based model of volatility ofreturns and option pricing is based on the assumption of a Markov process withunbounded returns. Larger entropy means greater ignorance, more disorder, butentropy has been ignored in the economics literature. The emphasis in economictheory has been placed on the nonempirically based idealizations of perfect foresight, instant information transfer and equilibrium.3

图书封面

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