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Dynamics of Markets

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  • 19 b/w illus.
  • Page extent: 286 pages
  • Size: 247 x 174 mm
  • Weight: 0.73 kg

Hardback

 (ISBN-13: 9780521429627)

Dynamics of Markets
Cambridge University Press
9780521429627 - Dynamics of Markets - The New Financial Economics - Edited by Joseph L. McCauley
Index

Index

agents, economic 8

algorithmic complexity 247

arbitrage 80

ARCH/GARCH models 238

automata 248

backward time diffusion 77, 123, 127, 180

Bak, Per 20

banking, fractional reserve 198

biology 241, 253, 256

Black, Fischer 101

Black–Scholes 106, 120, 122

Bretton Woods Agreement 196

bubbles 195, 201

Buckley, Wm. F. 200

budget deficit 203

Calls 118

capital, capital asset pricing model 115, 124

central limit theorem 36–38

chaos, deterministic 44, 250

Chapman–Kolmogorov equation 47, 57, 79

coarsegraining 150

cointegration 226

complexity 209, 241

computable numbers and functions 246

conditional average 46

conditional density 45, 74, 127, 145, 181

conservation laws 4

correlations 48, 54, 95, 101, 109, 116, 143, 160

long time 48, 139, 141

credit 190, 201

credit, bank multiplier rule 189

credit default swaps 187

deducing dynamics from time series 162

deficits, budget 204

deflation 192

delta hedge 122, 180

demand, aggregate 21

excess 16, 89

density, increment 164

n-point 46

one point 46

transition 45

depression, liquidity crisis 195, 208

deregulation, market instability under 1, 188, 191, 194, 197, 214

derivatives 213

Derman, Emanuel 199

detrending time series or processes 50, 66, 14

diffusion and drift coefficients 50, 64

distributions, probability 44

diversification 109

dollars, explosion of in the world 197, 201, 208

econometrics 214

econophysics 7

efficient market hypothesis 94, 98

emergence 197, 256

empirical distribution 31, 146

Enron 130

ensemble

See (statistical ensemble)

entropy 23

equilibrium 15, 28

wrong ideas of 91, 216

ergodicity 55, 153

eurodollars 207

experiments, repeated identical 5, 36

exponential distribution 39, 182

falsifiable 3, 82

fat tails 41, 43, 103, 137, 185

finance crises 103, 188, 201, 208

finance data analysis 160

Fokker–Planck equation 67

Foley, Duncan 199

foreign exchange (FX) markets 160, 190

fractional Brownian motion 140

Friedman, Milton 203

Galileo 3

Gamblers' Ruin 84

game, chicken 206

fair 48

minority 8

theory, Nash 254

ultimatum 194

Gaussian density 39

process 55

globalization 188, 201

gold standard 1, 190

green function 127, 181

Gunaratne, Gemunu H. 178

hedge 117

holism 241

Hurst exponent 43, 133, 138

Increments 54

martingale 54

nonstationary 53, 96, 138, 158, 236

stationary 54, 76, 141, 155

indifference curves 20

inflation 199, 204

runaway German 203

integrability 173

integration I(d) 226

instability, market 167, 191

International Monetary Fund 196

invariance 5, 33

principles 4, 81

time translational 70

invisible hand, unreliability of the 11, 18, 93, 194

Ito calculus 58

Ito process 63

Ito product 59

Ito's lemma 61, 66

Ito's theorem 58

Jacobs, Jane 203

junk bonds 199

Keynes, John Maynard 26, 214, 226

Kolmogorov 77

law, humanly invented 5

Law of large numbers 34

Law of one price 81

lawlessness, socio-economic 5

laws of nature, mathematical 4

laws of physics 4

Levy distribution 42

Liapunov exponent 245

liquidity 103, 191, 195, 203, 208, 210

local vs. global rules 62

Long Term Capital Management 105, 201

Lucas' Laissez faire policy advice 225, 235

macroeconomics 24, 214

Mandelbrot, Benoit, 96

maps, iterated 249

mark to market accounting 131

market clearing 102, 218

markets, FX 188

Markov process 46

martingale 48, 50, 62, 77, 94, 181, 160, 234

mean square fluctuation 54, 162

memory, finite-state 49, 64, 68

infinite 142

microeconomics 13

Modigliani–Miller 85, 132

monetary policy, monetarist models 222, 224

money and uncertainty 20, 176, 187, 190

money, fiat 209

money, nonconservation of 198

money supply (M1-M3) 189, 204, 208, 210

mortgage obligations, collateralized 186, 209

neo-classical economics 10

no-arbitrage 80

noise 50, 59, 101, 227, 231

traders 105

noncomputable 246

nonstationary process 52

Onsager, Lars 9

optimizing behavior 6, 10, 13

option price, fair 178

options 117, 177

Ornstein–Uhlenbeck–Smoluchowski model 72

Osborne, M.F.M. 24, 90

periodicity 5

phase space 16

Popper, Karl 3

portfolio 107

portfolio insurance 120, 186

price levels, relative 236

price, most probable 98, 102, 211

price, strike 117

probability 29

put-call parity 118

puts 118

Radner, Roy 20

random variable 43

rational agent 14

rational expectations 216

recurrence 99, 101, 218, 221

reductionism 241

redundance 253

regression models 214, 221, 228

regulations, effect of 193, 195, 212

reversible trading, approximately 103

risk 107, 176, 187

risk free asset 108, 187

risk premium 115

Sergeant, T.J. 222

scaling 133, 145

scaling exponents 133

scaling Ito processes 135, 165, 236

Scarf, H. 19

scatter 162

self-fulfilling expectations 190, 194, 260

self-organization 156


self-similar Ito processes

See (scaling Ito processes)

shadow banking 203

sliding window, time average 169

Smith, Adam 11, 194

Soros, George, 105, 204

speculation, stabilizing 192

stagflation 199

stationary market, how to beat 193

process 52, 70, 153

statistical ensemble 30, 36, 148

equilibrium 72, 75, 192

independence 46, 146

Stochastic calculus 57

differential equations 63, 173

differentials 58

process 43

stretched exponential density 41

Student-t density 41, 137

stylized facts 3, 168

stylized facts, spurious 168

supply and demand 15, 18, 24

symmetry 4, 81

theory, socially constructed 216

tick time 237

time averages 153, 170

time series analysis 148

Thomas, Harry 49

topological equivalence 175

trade deficit 203

Tragedy of the Commons 194

transformations, coordinate 33, 173

Tshebychev's Theorem 35, 154

Turing, A. 5

Turing machine 248

unstable stochastic process 65

utility 13

value 98, 102, 211

wrong ideas of 82

variance 36

Velupillai, Kumaraswamy 3

volatility 167, 238

Von Neumann 248, 253

Wallace, N. 206, 222

Walras' law 19

Wiener process 57

Wigner, Eugene 3, 4

World bank 202

World Trade Organization 202




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