市场动力学：经济物理学和金融

图书标准信息

• 作者 [美]麦考利 著
• 出版社 世界图书出版公司
• 出版时间 2011-01
• 版次 1
• ISBN 9787510029738
• 定价 29.00元
• 装帧 平装
• 开本 24开
• 纸张 胶版纸
• 页数 293页
• 正文语种 简体中文，英语

【内容简介】

《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AdamSimith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。

【目录】

Preface
1Themovingtarget
1.1Invarianceprinciplesandlawsofnature
1.2Humanlyinventedlawcanalwaysbeviolated
1.3Whereareweheaded?

2Neo-classicaleconomictheory
2.1Whystudy"optimizingbehavior"?~
2.2Dissectingneo-classical.economictheory（microeconomics）
2.3Themythofequilibriumviaperfectinformation
2.4Howmanygreenjacketsdoesaconsumerwant?
2.5Macroeconomiclawlessness
2.6Whenutilitydoesn'texist
2.7Globalperspectivesineconomics
2.8Localperspectivesinphysics

3Probabilityandstochasticprocesses
3.1Elementaryrulesofprobabilitytheory
3.2Theempiricaldistribution
3.3Somepropertiesofprobabilitydistributions
3.4Sometheoreticaldistributions
3.5Lawsoflargenumbers
3.6Stochasticprocesses
3.7Correlationsandstationaryprocesses

4Scalingtheivorytoweroffinance
4.1Prolog
4.2Horsetradingbyafancyname
4.3Liquidity，andseveralshakyideasof"truevalue"
4.4TheGambler'sRuin
4.5TheModigliani-Millerargument
4.6FromGaussianreturnstofattails
4.7Thebesttractableapproximationtoliquidmarketdynamics
4.8"Temporarypriceequilibria"andotherwrongideasof"equilibrium"ineconomicsandfinance
4.9SearchingforAdamSmith'sInvisibleHand
4.10Black's"equilibrium"：dreamsof"springs"inthemarket
4.11Macroeconomics：lawlessphenomena?
4.12Nouniversalscalingexponentseither！
4.13Fluctuations，fattails，anddiversification

5Standardbettingproceduresinportfolioselectiontheory
5.1Introduction
5.2Riskandreturn
5.3Diversificationandcorrelations
5.4TheCAPMportfolioselectionstrategy
5.5Theefficientmarkethypothesis
5.6Hedgingwithoptions
5.7Stocksharesasoptionsonafirm'sassets
5.8TheBlack-Scholesmodel
5.9TheCAPMoptionpricingstrategy
5.10Backward-timediffusion：solvingtheBlack-Scholespde
5.11WecanlearnfromEnron

6Dynamicsoffinancialmarkets，volatility，andoptionpricing
6.1Anempiricalmodelofoptionpricing
6.2Dynamicsandvolatilityofreturns
6.3Optionpricingviastretchedexponentials
AppendixA.ThefirstKolmogorovequation

7Thermodynamicanalogiesvsinstabilityofmarkets
7.1Liquidityandapproximatelyreversibletrading
7.2Replicatingself-financinghedges
7.3Whythermodynamicanalogiesfail
7.4Entropyandinstabilityoffinancialmarkets
7.5Thechallenge：tofindatleastonestablemarket
AppendixB.Stationaryvsnonstationaryrandomforces

8Scaling，correlations，andcascadesinfinanceandturbulence
8.1Fractalvsself-affinescaling
8.2Persistenceandantipersistence
8.3Martingalesandtheefficientmarkethypothesis
8.4Energydissipationinfluidturbulence
8.5Multiaffinescalinginturbulencemodels
8.6Levydistributions
8.7Recentanalysesoffinancialdata
AppendixC.ContinuoustimeMarkovprocessesWhatiscomplexity?

9.1Patternshiddeninstatistics
9.2Computablenumbersandfunctions
9.3Algorithmiccomplexity
9.4Automata
9.5Chaosvsrandomnessvscomplexity
9.6Complexityattheborderofchaos
9.7Replicationandmutation
9.8Whynoteconobiology?
9.9NoteaddedApril8，2003
References
Index