Standard texts and research in economics and finance ignore the absence of evidence from the analysis of real, unmassaged market data to support the notion of Adam Smith's stabilizing Invisible Hand. In stark contrast, this text introduces a new empirically-based model of financial market dynamics that explains the volatility of prices options correctly and clarifies the instability of financial markets. The emphasis is on understanding how real markets behave, not how they hypothetically 'should' behave.

Dynamics of Markets: Econophysics and Finance

Business & Money

McCauley, Joseph L.

Economics

Cambridge University Press

Chaos, Dynamics, and Fractals: An Algorithmic Approach to Deterministic Chaos (Cambridge Nonlinear Science Series, Series Number 2)

This book develops deterministic chaos and fractals from the standpoint of iterated maps, but the method of analysis and choice of emphasis make it very different from all other books in the field. It is written to provide the reader with an introduction to more recent developments, such as weak universality, multifractals, and shadowing, as well as to older subjects such as universal critical exponents, devil's staircases, and the Farey tree. Throughout the book the author uses a fully discrete method, a "theoretical computer arithmetic," because finite (but not fixed) precision is a fact of life that cannot be avoided in computation or in experiment. This approach leads to a more general formulation in terms of symbolic dynamics and to the idea of weak universality. The author explains why continuum analysis, computer simulations, and experiments form three entirely distinct approaches to chaos theory. In the end, the connection is made with Turing's ideas of computable numbers. It is explained why the continuum approach leads to predictions that are not necessarily realized in computations or in nature, whereas the discrete approach yields all possible histograms that can be observed or computed.

Science & Math

Mathematics

This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis.

Dynamics of Markets: The New Financial Economics

Finance

Classical Mechanics: Transformations, Flows, Integrable and Chaotic Dynamics

An advanced text for first-year graduate students in physics and engineering taking a standard classical mechanics course, this is the first book to describe the subject in the context of the language and methods of modern nonlinear dynamics. The organizing principle of the text is integrability vs. nonintegrability. It introduces flows in phase space and transformations early and illustrates their applications throughout the text. The standard integrable problems of elementary physics are analyzed from the standpoint of flows, transformations, and integrability. This approach allows the author to introduce most of the interesting ideas of modern nonlinear dynamics via the most elementary nonintegrable problems of Newtonian mechanics. This text will also interest specialists in nonlinear dynamics, mathematicians, engineers and system theorists.

Physics

Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics.

Stochastic Calculus and Differential Equations for Physics and Finance

Education & Reference

See the best price to sell, buy, or rent books by McCauley, Joseph L.. BookScouter helps to compare book prices from 25+ online bookstores and 30+ buyback vendors with a single search.

Books by McCauley, Joseph L.

See the best price to sell, buy, or rent books by McCauley, Joseph L.. BookScouter helps to compare book prices from 25+ online bookstores and 30+ buyback vendors with a single search.

Dynamics of Markets: Econophysics and Finance

Chaos, Dynamics, and Fractals: An Algorithmic Approach to Deterministic Chaos (Cambridge Nonlinear Science Series, Series Number 2)

Dynamics of Markets: The New Financial Economics

Chaos, Dynamics, and Fractals: An Algorithmic Approach to Deterministic Chaos (Cambridge Nonlinear Science Series, Series Number 2)

Classical Mechanics: Transformations, Flows, Integrable and Chaotic Dynamics

Classical Mechanics: Transformations, Flows, Integrable and Chaotic Dynamics

Stochastic Calculus and Differential Equations for Physics and Finance

Dynamics of Markets: Econophysics and Finance