市场动力学 经济物理学和金融【2025|PDF|Epub|mobi|kindle电子书版本百度云盘下载】

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1 The moving target1

1.1 Invariance principles and laws of nature1

1.2 Humanly invented law can always be violated3

1.3 Where are we headed?6

2 Neo-classical economic theory9

2.1 Why study"optimizing behavior"?9

2.2 Dissecting neo-classical economic theory(microeconomics)10

2.3 The myth of equilibrium via perfect information16

2.4 How many green jackets does a consumer want?21

2.5 Macroeconomic lawlessness22

2.6 When utility doesn't exist26

2.7 Global perspectives in economics28

2.8 Local perspectives in physics29

3 Probability and stochastic processes31

3.1 Elementary rules of probability theory31

3.2 The empirical distribution32

3.3 Some properties of probability distributions33

3.4 Some theoretical distributions35

3.5 Laws of large numbers38

3.6 Stochastic processes41

3.7 Correlations and stationary processes58

4 Scaling the ivory tower of finance63

4.1 Prolog63

4.2 Horse trading by a fancy name63

4.3 Liquidity,and several shaky ideas of"true value"64

4.4 The Gambler's Ruin67

4.5 The Modigliani-Miller argument68

4.6 From Gaussian returns to fat tails72

4.7 The best tractable approximation to liquid market dynamics75

4.8 "Temporary price equilibria"and other wrong ideas of"equilibrium"in economics and finance76

4.9 Searching for Adam Smith's Invisible Hand77

4.10 Black's"equilibrium":dreams of"springs"in the market83

4.11 Macroeconomics:lawless phenomena?85

4.12 No universal scaling exponents either!86

4.13 Fluctuations,fat tails,and diversification88

5 Standard betting procedures in portfolio selection theory91

5.1 Introduction91

5.2 Risk and return91

5.3 Diversification and correlations93

5.4 The CAPM portfolio selection strategy97

5.5 The efficient market hypothesis101

5.6 Hedging with options102

5.7 Stock shares as options on a firm's assets105

5.8 The Black-Scholes model107

5.9 The CAPM option pricing strategy109

5.10 Backward-time diffusion:solving the Black-Scholes pde112

5.11 We can learn from Enron118

6 Dynamics of financial markets,volatility,and option pricing121

6.1 An empirical model of option pricing121

6.2 Dynamics and volatility of returns132

6.3 Option pricing via stretched exponentials144

Appendix A.The first Kolmogorov equation145

7 Thermodynamic analogies vs instability of markets147

7.1 Liquidity and approximately reversible trading147

7.2 Replicating self-financing hedges148

7.3 Why thermodynamic analogies fail150

7.4 Entropy and instability of financial markets153

7.5 The challenge:to find at least one stable market157

Appendix B.Stationary vs nonstationary random forces157

8 Scaling,correlations,and cascades in finance and turbulence161

8.1 Fractal vs self-affine scaling161

8.2 Persistence and antipersistence163

8.3 Martingales and the efficient market hypothesis166

8.4 Energy dissipation in fluid turbulence169

8.5 Multiaffine scaling in turbulence models173

8.6 Levy distributions176

8.7 Recent analyses of financial data179

Appendix C.Continuous time Markov processes184

9 What is complexity?185

9.1 Patterns hidden in statistics186

9.2 Computable numbers and functions188

9.3 Algorithmic complexity188

9.4 Automata190

9.5 Chaos vs randomness vs complexity192

9.6 Complexity at the border of chaos193

9.7 Replication and mutation195

9.8 Why not econobiology?196

9.9 Note added April 8,2003199

References201

Index207