Dynamics of Markets: Econophysics and Finance

Book Description

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.

Customer Reviews:

So what? .......2007-03-26

I am a 3rd year PhD student in Financial Economics, and although I should confess that I only browsed the book, not having fully read it (sorry about that...), I must say that this approach totally misses the target. I recommend anyone who is interested in knowing why to look up the following book review:

[...]

Have fun.

Good summary of the literature.......2007-01-10

I think this book is nicely written and covers a variety of subjects. What I missed while reading it was more applied examples.

McCauley complements Keynes and Mandelbrot.......2005-02-01

McCauley's(M) book definitely should be in the library of any technically trained (BA or BS degree in mathematics or statistics and a BA or BS in economics or finance) reader who is aware of the constant failure of neoclassical economics(and its modern variates such as rational expectations,real business cycle theory,monetarism,or supplyside economics), econometrics(Tinbergen,Frisch,Haavelmo and ,unfortunately,"Keynesian"econometricians like Modigliani,Tobin,Klein,and Solow) and financial analysts(Fama,Black,Merton,Scholes,Sharpe,Osborne,Markowitz and Cootner)to explain and forecast turning points in the business cycles of various countries and/or turning points in various financial markets(stock,commodity,real estate,currency,bond,money or derivatives)at any time in the last century,at least,using the assumption of normality(normal,lognormal,bivariate normal,multivariate normal,approximately normal,etc.).M presents a stochastic model based on the application of Green's Theorem to predict the future values of different options contracts(pp.180-192)that avoids the incorrect assumption of normality.M emphasizes changes in returns,as opposed to changes in prices a la Mandelbrot(pp.73-75).Again, the incorrect assumption of normality is avoided.This reviewer views these developments as occurring within the framework established by Mandelbrot no later than 1966.M is developing and improving aspects of Mandelbrot's general approach.However,there are three areas of M's book that need to be revised in a future edition.The first is his analysis of the classical-neoclassical concept of equilibrium and the process of adjustment involved over time.The argument made by neoclassical economists is that the economy( and all markets)is self equilibrating and always tending to or converging toward the optimal equilibrium point,although in point of fact,due to a constant set of external shocks,this equilibrium position is never reached.Thus, all short-run transactions may or may not be made at disequilibrium prices with no recontracting possible.The result,in the short run,is non optimal.However, in the long run,all of the losses and/or gains from such disequilibrium positions cancel or average out so that the resulting process can be analyzed "as if" the different markets were actually attaining equilibriums.Of course,all changes in market prices are assumed to be normally distributed around the equilibrium,market clearing price which is the average(arithmetic mean)of a normal probability distribution.This argument also is incorrect,but is much more difficult to refute since it is much more sophisticated ,using(misusing)the law of large numbers and the central limit theorem without ever actually examining the basic data.M needs to fine tune his basically sound critique to deal with the more sophisticated version of the neoclassical argument.If he does not,the neoclassical response will be that he does not understand microeconomic price theory.Second, Mandelbrot should not be bracketed with the likes of Markowitz Osborne,Sharpe,Black,Scholes,Merton,etc., on p.4 .Mandelbrot has, in fact,been clearly opposed,since the early 1960's, to the type of theoretical and statistical analysis and result that has been published by this group of economists and financial analysts.Third,M appears to have never read Keynes's A Treatise on Probability(1921;TP) or the 1939-40 exchange between Tinbergen and Keynes over the logical foundations of the basic econometric technique of multiple regression and correlation analysis ,as it regards forecasting of the business cycle.Keynes's complete argument can be found in chapter 17,pp.205-214,and chapters 29,30, 32,and 33 of the TP.Keynes always argued that,outside of the fields of life and physical science,the normal distribution was rather special and limited in application. The use of it required clearcut empirical testing of the data before normality could be assumed.Finally,Keynes's analytic tool in the General Theory(1936) is to show that the general case in macroeconomics is the existence of multiple stable equiibria.This describes the commodity or output market.The labor market is a function of changes in the commodity market.The labor market is in a state of constant disequilibrium,equilibrium only possibly occurring in the special case of a global optimum being obtained in the commodity market.M is correct that the analysis in most markets should be based on excess demand functions.Keynes arrived at this approach in 1936.A set of D=Z functions(functions clearly defined by Keynes in the GT and analyzed by Keynes in chapters 20 and 21 of the GT) define a locus of points that Keynes called the AGGREGATE SUPPLY CURVE.Only one of these points gives a global optimum.The economics profession has made a bloody mess of Keynes's mathematical analysis since the publication of the GT in 1936,constantly confusing the expected aggregate supply function,Z,with the aggregate supply curve,D=Z.M's treatment of Keynes is deficient and needs to be fixed in a later edition.A complete mathematical analysis of Keynes's theory of effective demand is contained in Brady(2004),"Essays on JM Keynes and..."

Some strengths, some weaknesses .......2004-12-28

The book serves up a very interesting and enlightening alternative to traditional economic thought in a variety of different contexts. I would certainly recommend it to any graduate student of physics or economics seeking to have a well rounded view the financial world.

The great weakness of this text is that the author seems to more than simply disagree with traditional economic theory, he despises it. That might not by itself be so great a weakness if the theory offered up in its stead were compelling, but, the author's passion notwithstanding, that is not the case here. The math aside, in tone and method this book reminds me very much of books authored by Intelligent Design advocates, seeking more to destroy the prominent competing theory than to present a coherent theory of its own.

Perhaps such passion is needed to get the neoclassical economists to pay attention. As in many things, I suspect the two schools of thought have much to teach one another.

On a more practical level, this is not a book for those who have not had a very solid grounding in mathematics, and likely unsuitable for all but the brightest, and most mathematically inclined, undergraduates.

Dynamics of Markets - Econophysics and Finance.......2004-12-10

Dynamics of Markets - Econophysics and Finance

by Joseph McCauley

reviewed by: Enrico Scalas

In 1720, Newton invested his money in the South Sea bubble and lost £20000, a lot of money in those days [1].
So, physicists do not always do it better in financial markets.

Having said that, let us now go on and consider the merits and limits of this book by Joseph McCauley.

The book is divided into nine chapters. Chapters 1, 3, 8 and 9 cover material from epistemology (ch. 1), probability theory (ch. 3), fluid dynamics (ch. 8), and the theory of computation (ch. 9). Chapters 2, 4, 5,6 and 7 are mainly devoted to economics and finance. Namely, chapter 2 critically reviews the general theory of equilibrium, chapter 4 is on the dynamics of markets, chapter 5 and 6 present portfolio selection theory and
option pricing, respectively, and, finally, chapter 7 is a criticism of thermodynamic analogies in finance.

The range of interests of the author is overwhelming and this book is the first attempt to put together many concepts taken from various disciplines in a coordinate view. I am a fan of this method and I much appreciate the effort of the author. However, this is also a limit, as the reader looking for recipes to price options or to select a suitable portfolio will be somehow disappointed. In the very same way, those looking for a
rational criticism of neo-classical assumptions in economics are likely to read the chapters on option pricing without great passion.

In a short review, it is impossible to take into account all the aspects of McCauley's book.
I will just discuss one: equilibrium in economics. But, before that, let me underline that this is the first book in Econophysics where everything in finance is done by explicitly formulating and calculating Green functions. Second, the author presents the European option price predictions in a closed algebraic form and, third, Gaussian returns play no role in the predictions fully based on the empirical distribution.

The author presents a nice criticism of the concept of equilibrium in economics which, in itself, is worth
buying and reading the book. The arguments are scattered throughout the book, as the author is interested
in discussing the behaviour of financial market. For economics and finance, the author provides convincing evidence that the only legitimate form of equilibrium is vanishing excess demand. But price fluctuations in actual financial markets cannot be effectively explained by a sequence of different economic equilibria determined by varying exogenous factors. Then, the only possibility is that excess demand is considered as a stochastic process leading to diffusive models for price (or return) dynamics. Thus, the use of the Green-function formalism in Finance is a natural and logical choice.

McCauley's discussion on equilibrium would have been helped by reference to Kaldor's 1972 paper on the irrelevance of equilibrium economics [2]. Kaldor's point of view coincides with the one of McCauley when he argues that ultimately theories must be confronted with the real world. In discussing the difference between an axiomatic theorem and a scientific theory, Kaldor quotes Einstein: << Physics constitute a logical system of thought which is in a state of evolution, whose basis cannot be distilled, as it were, from experience by an inductive
method, but can only be arrived at by free invention. The justification (truth content) of the system rests in the verification of the derived propositions by sense experiences. The skeptic will say: "it may well be true that this system of equations is reasonable from a logical standpoint. But it does not prove that it corresponds to nature". You are right, dear skeptic. Experience alone can decide on truth. >> [3]

Also in this book, as in many contemporary books, there are various misprints and the constant reference to wrong equation numbers is disturbing.

I think that this book can be read with profit both by physicists interested in complex systems and by economists interested in the principles of their discipline. Economists can always refer to Newton's example mentioned above, when they read in the book about the success of physicists in finance.

References

[1] C. Reed, "The Damn'd South Sea" Britain's greatest financial speculation and its unhappy ending, documented in a rich Harvard collection. Harvard Magazine, May-June 1999.

[2] N. Kaldor, "The Irrelevance of Equilibrium Economics", The Economic Journal, vol. 82, n. 328, 1237-1255, 1972.

[3] A. Einstein, "Ideas and Opinions", Gramercy; Reprint edition (December 12, 1988).

Book Description

Once stolid, strictly regulated organizations that epitomized lifetime employment, retail banks are now highly competitive enterprises with fragmented career structures and a new focus on sales and performance. Because banks are a major employer of labor, such changes have important implications for the workplace experiences and job opportunities of a significant proportion of the workforce in OECD and newly industrialized countries.

This book is the outcome of intensive study of selected banks in Australia, France, Germany, Great Britain, Italy, the Netherlands, New Zealand, Spain, and the United States. As part of a larger project on industrial relations and human resource management practices, researchers in each country explored the changing industry context and competitive strategies in relation to a number of employment relations practices, such as skill formation and development, work organization, staffing arrangements, job security, compensation, and industrial relations. The introductory chapter provides an overview of the main research findings. The country chapters present detailed analyses of the findings, and the conclusion assesses the role of markets, technology, and institutions in employment relations and discusses the interpretive frameworks that help make sense of their change and variation across countries.

Contributors: Martin Baethge, Simonetta Carpo, C. Castaño, Asher Colombo, Peter Cressey, Nestor DíAlessio, Marnix Dressen, David Finegold, Andrea Jackson, Pieter-Jan Jongen, Brent Keltner, Jim Kitay, Fausto Miguelez, Tim Morris, Herbert Oberbeck, Carlos Prieto, Erling Rasmussen, Ida Regalia, Marino Regini, John Storey, Marco Trentini, Jelle Visser, Adrian Wilkinson.

From Tellers to Sellers: Changing Employment Relations in Banks. (Recensions/Book Reviews).: An article from: Relations Industrielles/Industrial Relations

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From Tellers to Sellers: Changing Employment Relations in Banks. (Recensions/Book Reviews).: An article from: Relations Industrielles/Industrial Relations
Marek Korczynski
Manufacturer: Relations Industrielles
ProductGroup: Book
Binding: Digital

General | Business & Investing | Subjects | Books

Book Description

This digital document is an article from Relations Industrielles/Industrial Relations, published by Relations Industrielles on January 1, 2002. The length of the article is 983 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

Citation Details
Title: From Tellers to Sellers: Changing Employment Relations in Banks. (Recensions/Book Reviews).
Author: Marek Korczynski
Publication: Relations Industrielles/Industrial Relations (Refereed)
Date: January 1, 2002
Publisher: Relations Industrielles
Volume: 57 Issue: 1 Page: 204(3)

Article Type: Book Review

Distributed by Thomson Gale

Book Description

We are now in the "Age of Environmental Enlightenment" and global warming is seen as a major threat to the well-being of the world's communities. Today many researchers speculate that with global warming of the atmosphere there will be an increase in drought-related crop failures in areas already subject to drought. They contend that dry areas will get drier and wet areas wetter. Yet observations show that people are moving into regions that are relatively less fruitful with respect to agriculture productivity than the lands from which they emigrated. This book challenges the view that future droughts will be caused by climate change as opposed to human activities and demographic change. The author predicts future problems in these fragile environments, whether or not global climate changes occur. This book will intrigue researchers in environmental biology, environmental sciences, popular science, and agriculture, as well as policy makers and students.

Book Description

This book describes comprehensive step-by-step protocols for the delineation of genetic amplification and histological detection techniques. Each procedure has been tested and validated for its sensitivity, precision, and reproducibility, and the authors give advice on the design of primers for PCR applications and on optimizing these protocols for use with plant, insect, and prokaryotic cells.

PCR/RT- PCR in-situ: Light And Electron Microscopy (METHODS IN VIZUALIZATION)

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PCR/RT- PCR in-situ: Light And Electron Microscopy (METHODS IN VIZUALIZATION)
Gerard Morel
Manufacturer: CRC
ProductGroup: Book
Binding: Hardcover

Microscopy & Techniques | Biological Sciences | Science | Subjects | Books

Genetics | Evolution | Science | Subjects | Books

Research | Education | Science | Subjects | Books

Electron Microscopes & Microscopy | Experiments, Instruments & Measurement | Science | Subjects | Books

Methodology & Statistics | Experiments, Instruments & Measurement | Science | Subjects | Books

Microscopes & Microsocopy | Experiments, Instruments & Measurement | Science | Subjects | Books

General | Science | Subjects | Books

Book Description

Although the polymerase chain reaction has revolutionized genetic analysis by amplifying rare nucleic acid sequences, the in situ application is the only method that allows the localization of amplified signal within tissue structure. The applications of in situ polymerase chain reaction have greatly enhanced the field of investigation in many disciplines, including viral infections, gene modification, tumor diagnosis, gene therapy, and cellular distribution of rare mRNA copies. PCR/RT-PCR in situ: Light and Electron Microscopy covers methods of in situ polymerase chain reaction (PCR) and reverse transcription PCR (RT-PCR), two new approaches in visualizing very low amounts of DNA and RNA in tissues and cell cultures at the light and electron microscopy levels. Written by experts in this field, the book provides theoretical consideration, as well as practical approaches to in situ PCR. The authors provide detailed protocols for each step, including the preparation of tissue samples, the rationale for the design of primers and revelation. They also emphasize the need for appropriate controls to meet the requirements of in situ PCR and RT-PCR specificity. Organized in a user-friendly two-column format, this book will provide you with tools necessary to perform and optimize these sensitive and powerful techniques in your research protocols.

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My favorite!!!

Complete reference

Great book for women's health!

Great guide for women

Good book for female body builders

Body Flex--Body Magic
Anja Langer
Manufacturer: McGraw-Hill
ProductGroup: Book
Binding: Paperback

General | Massage | Alternative Medicine | Health, Mind & Body | Subjects | Books
Bodybuilding & Weight Training | Training | Sports | Subjects | Books
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Women in Sports | Miscellaneous | Sports | Subjects | Books
Look Inside Sports Books | Trip | Specialty Stores | Books
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The Butt Book: How to Build a Non-Cellulite and Fat-Free Butt in 9 Weeks

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RESPeRATE Blood Pressure Lowering Device

Airborne Effervescent Health Formula, Original Orange, 10 Tablets (Pack of 3)

ASIN: 0809239302

Book Description

Before she was 22, Anja Langer had captured the German, European, and Junior Amateur World Bodybuilding Championships as well as second place in both the IFBB Pro World and Ms. Olympia competitions. Her winning physique and fashion-model looks have landed her on the covers of more than 20 fitness and bodybuilding magazines worldwide. Now women bodybuilders and fitness enthusiasts can train with Langer using Body Flex-Body Magic—the ultimate guide for women who want the ultimate fit figure. The proper uses and combinations of weight training, cross training, nutrition, stretching, and various forms of aerobics are at the core of Langer's personal fitness program. All facets of her workouts for beginner, intermediate, and advanced levels are detailed and amply illustrated with more than 200 personal photographs. With exercises ranging from the most basic to the most exacting practices used by professional physical trainers and winning pro bodybuilders. Body Flex-Body Magic is the most informative and extensive women's body shaping and fitness book ever published. Highlights include:

Reducing the body's fat stores with ease
Building up selected skinny body parts
Achieving full-body flexibility
Training and eating during pregnancy

Anja Langer lives in Stuttgart, Germany, where she coaches up-and-coming bodybuilders and body shapers of all ages and levels of ability. She has written nearly 100 articles for Muscle & Fitness, Flex, and other international bodybuilding and fitness magazines. Bill Reynolds served as editor in chief of Flex magazine from 1988 to 1992, following 10 years in the same position at Muscle & Fitness. He is the coauthor of numerous books, including Joe Wieder's Ultimate Bodybuilding and Sliced.

Customer Reviews:

My favorite!!!.......2007-05-23

I bought this book about 6 years ago when I made a conscious decision to build muscle. I am now a successful competitive bodybuilder, and I can honestly say that this book was, and still is, indispensible to me. It guided me through all the beginning, intermediate and advanced levels of body shaping, and then when I decided to give competition a try, it was helpful then, too. I recommend this book to any weight lifter of any age, gender or goal. It is my absolute favorite bodybuilding book of all time! Well written, comprehensive, and illustrated with a plethora of photos of the most beautiful bodybuilder EVER!

Complete reference.......2006-03-24

A well written, complete BB reference for anyone. I hope they release another addition. The book is solid even for men.

Great book for women's health!.......2006-02-11

This book is comprehensive and honest in approach to weight training and nutrition. Anja is a professional body builder who has written a book with information for all levels of weight training. The best things about weight training for women is that it helps build/maintain strength and it helps build/maintain BONE DENSITY. One does not have to be a body builder or go for alot of muscle mass to reap these benefits of weight training. I would recommend this book to anyone as it has so many different exercises and nutritional facts.

Great guide for women.......2005-03-19

I like this book and recommend it to all women who are timid about lifting weights or working out in a gym. It answers the question of how many sets you should do, etc..all the questions beginners have. This book clearly illustrates how to do the exercises and gives good advice.

My only qualm is, it needs to be updated. I actually emailed Anja praising this book and requesting that she update it and surprisingly she emailed me back that she was considering it. I really hope she does. It would be nice to see her now and have new nutrition information.

Good book for female body builders.......2002-10-19

This book is a thorough approach to women's weightlifting and addresses many relevant topics from safty, where to workout, pregnancy, diet, and complete instruction with pictures on how to perform hundreds of lifts.

Anja Langer includes workout routines for the beginner, intermediate and advanced bodybuilder. Also information on losing body fat, and diets to follow wether your goal is simply to get in better shape, or to become a competitive body builder. This is a guide I turn to whenever I feel like changing my workout routines, and what is best for me at any given time.

Book Description

If you have trouble putting your thoughts down on paper, The Complete Idiot's Guide to Writing Well has everything you need to know to make writing of any kind as easy as thinking or speaking. This guide gives expert advice on making your writing as clear and persuasive as possible, whether it's a thank-you note, a school paper, or an executive briefing. It provides easy-to-follow guidelines on structure, spelling, punctuation, vocabulary, and style. You will find terrific tips on minimizing the time and energy taken up by tasks like research, note-taking, and proofreading.

Customer Reviews:

Good Book on Writing!!!.......2006-12-21

This book is one of the best writing books I owned. It was writen in a easy-to-follow way that you just don't want to stop reading it. I highly recommend it to anyone who are bored by other writing books.

Good Book on Writing Well.......2006-12-05

A very good book, but not a great book on writing style and how to write well (or at least better than before you read the book). Covers the basics of tone, grammar, and structure, but lacking in good examples. Only one example of a passive vs. active sentence was given, and the lone example wasn't very clear. Still, a good writing style guide.

Fairly good basic text on the rules of writing.......2006-03-04

This book presented the material clearly and simply and didn't get bogged down with unnecessary details. The author's chatty tone and attempts at humor gets a bit tired, and the organization jumps around a bit. But overall it is a good reference to have and, once you've gone through it, you are clear about the elements of good writing.

Good all-in-one reference to writing........2005-05-27

An "idiot's" guide, but don't let the name fool you. Covers grammar, research writing, history of language, etc.

Experts Do It Best.......2000-11-20

Students and teachers stand to gain a painless lesson in writing from Dr. Rozakis, one of the teaching realm's most published authors. Not only is she knowledgeable in scholarship and the real world, she displays an ebullience that infects the reader with the urge to write well.

The Complete Idiot's Guide to Writing Well

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The Complete Idiot's Guide to Writing Well
Laurie Ph.D. Rozakis
Manufacturer: Alpha
ProductGroup: Book
Binding: Paperback
ASIN: B000O93EQO

Book Description

This book presents the latest information and research on the prevention and management of musculoskeletal pain and dysfunction. It introduces the reader to an approach to clinical management and prevention based on that research. This text's impressively thorough coverage makes it an indispensable text for both researchers and clinicians in the field of musculoskeletal pain and dysfunction.

Customer Reviews:

Solid........2007-08-25

I spent years reading these guys research, and in this book, they have put it all together in one handy volume. The book cites a lot of studies from the academic research and does get technical. In fact, I know some physical therapists that have gotten lost reading it! Therefore, potential buyers should know that the book is mainly for people who are in the medical profession that specialize in spine problems.

As a treatment for spinal problems, spinal stabilization exercise is a solid, evidence-based treatment and quite effective. Also recommemd Treat Your Own Rotator Cuff for both laypeople and medical folk alike- strengthening the rotator cuff does for the shoulder what strengthening the multifidus does for the spine.

great book for lower back problems.......2007-01-20

this book, although a little technical, shows what happens in injured lower backs and then proceeds to describe a proven strategy to heal lower backs. I was amazed at the information presented in this book... I thought I knew everything there is to know about backs, having been an athlete all my life and having been a somatic therapist & Yoga teacher for the past 20 years. Well I learned a lot more and I even applied the material to my own back with great results with very little work... I also feel a lot more confident about teaching my clients how to take care of their backs...

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