By Rosario N. Mantegna
Statistical physics suggestions equivalent to stochastic dynamics, brief- and long-range correlations, self-similarity and scaling, let an realizing of the worldwide habit of financial platforms with out first having to see a close microscopic description of the procedure. This pioneering textual content explores using those thoughts within the description of economic structures, the dynamic new strong point of econophysics. The authors illustrate the scaling options utilized in chance concept, severe phenomena, and fully-developed turbulent fluids and practice them to monetary time sequence. in addition they current a brand new stochastic version that monitors a number of of the statistical homes saw in empirical info. Physicists will locate the appliance of statistical physics options to fiscal platforms interesting. Economists and different monetary execs will enjoy the book's empirical research equipment and well-formulated theoretical instruments that might let them describe structures composed of an important variety of interacting subsystems.
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Additional info for An introduction to econophysics: correlations and complexity in finance
This series, which may be differentiated twice term by term for T q, represents a superposition of the potential functions P , and Qn considered in example 8) of $1, 1. Hence it is a harmonic function, and moreover solves the boundary value problem. In the interior of the circle, we may interchange summation and integration and obtain < + Writing 2 cos a = e r a e-’“ and summing the geometric series thus obtained under the integral sign we arrive, after a trivial manipulation, a t the expression (7) u(2, y) = s‘ I - r2 2r - * 1 - 2r cos (0 - 4) - + r2 g(4) d4i which represents the solution of the boundary value problem by means of the Poisson integral (cf.
Incidentally, we could have obtained relation (15) directly by differentiating equation (13) with respect to t and setting f = 1 . Conversely, the homogeneity wlation ( I 5 ) for the funcation u ( x , , R ' ~, . , xn) implies - so that the expression u (tx,, tf:%, . - , t . iding O H t ; hciicx; i(, is cqii:il to its value for t = 1 , which is 12 I . INTRODUCTORY REMARKS u(x1, 8 , homogeneous. , x,). But this means, according to (13), that u is $2. Systems of Dilgerential Equations I. The Question of Equivalence of a System of Differential Equations and a Single Differential Equation.
We recall some facts concerning ordinary differential equations. By introducing in (2) one of the quantities z; instead of s as the independent variable, we may represent the general solution of the resulting system which depends on n - 1 parameters, ci : c i = &(z, , z2, * , 5,) (i = 1, 2, a ,n - 1). Here the ci are the arbitrary constants of integration and the & are mutually independent “integrals” of the system. The “integral” $(xl , z2, ,z,) means here a function of the independent variables xi which has a constant value along each curve xi(s) which solves the system (2).