DYNAMICS OF MARKETS The New Financial Economics

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1、DYNAMICSOFMARKETSTheNewFinancialEconomicsSECONDEDITIONJOSEPHL.MCCAULEYUniversityofHoustonContentsPrefacetothesecondeditionpagexi1Econophysics:whyandwhat11.1Whyeconophysics?11.2Invarianceprinciplesandlawsofnature41.3Humanlyinventedlawcanalwaysbeviolated51.4Originsofeconophysics71.5Anewdirectio

2、nineconophysics82Neo-classicaleconomictheory102.1Whystudyoptimizingbehavior?102.2Dissectingneo-classicaleconomictheory(microeconomics)122.3Themythofequilibriumviaperfectinformation182.4Howmanygreenjacketsdoesaconsumerwant?242.5Macroeconomics253Probabilityandstochasticprocesses293.1Elementaryr

3、ulesofprobabilitytheory293.2Ensembleaveragesformedempirically303.3Thecharacteristicfunction323.4Transformationsofrandomvariables333.5Lawsoflargenumbers343.6Examplesoftheoreticaldistributions383.7Stochasticprocesses433.8Stochasticcalculus573.9Itoprocesses633.10Martingalesandbackward-timediffus

4、ion77viiviiiContents4Introductiontofinancialeconomics804.1Whatdoesno-arbitragemean?804.2Nonfalsifiablenotionsofvalue824.3TheGamblersRuin844.4TheModiglianiMillerargument854.5Excessdemandinuncertainmarkets894.6Misidentificationofequilibriumineconomicsandfinance914.7SearchingforAdamSmithsUnreliableH

5、and934.8Martingalemarkets(efficientmarkets)944.9Stationarymarkets:valueandinefficiency984.10Blacksequilibrium:dreamsofrecurrenceinthemarket1014.11Valueinreal,nonstationarymarkets1024.12Liquidity,noisetraders,crashes,andfattails1034.13Long-termcapitalmanagement1055Introductiontoportfolioselectio

6、ntheory1075.1Introduction1075.2Riskandreturn1075.3Diversificationandcorrelations1095.4TheCAPMportfolioselectionstrategy1135.5Hedgingwithoptions1175.6Stocksharesasoptionsonafirmsassets1205.7TheBlackScholesmodel1225.8TheCAPMoptionpricingstrategy1245.9Backward-timediffusion:solvingtheBlackScholesp

7、de1275.10Enron20021306Scaling,paircorrelations,andconditionaldensities1336.1Hurstexponentscaling1336.2SelfsimilarItoprocesses1356.3Longtimeincrementcorrelations1396.4Theminimaldescriptionofdynamics1456.5Scalingofcorrelationsandconditionalprob