Joseph L. McCauley – författare
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5 produkter
5 produkter
1 081 kr
Skickas inom 7-10 vardagar
This second edition presents the advances made in finance market analysis since 2005. The book provides a careful introduction to stochastic methods along with approximate ensembles for a single, historic time series. The new edition explains the history leading up to the biggest economic disaster of the 21st century. Empirical evidence for finance market instability under deregulation is given, together with a history of the explosion of the US Dollar worldwide. A model shows how bounds set by a central bank stabilized FX in the gold standard era, illustrating the effect of regulations. The book presents economic and finance theory thoroughly and critically, including rational expectations, cointegration and arch/garch methods, and replaces several of those misconceptions by empirically based ideas. This book will be of interest to finance theorists, traders, economists, physicists and engineers, and leads the reader to the frontier of research in time series analysis.
Del 2 - Cambridge Nonlinear Science Series
Chaos, Dynamics, and Fractals
An Algorithmic Approach to Deterministic Chaos
Häftad, Engelska, 1994
740 kr
Skickas inom 7-10 vardagar
This book develops deterministic chaos and fractals from the standpoint of iterated maps, but the emphasis makes it very different from all other books in the field. It provides the reader with an introduction to more recent developments, such as weak universality, multifractals, and shadowing, as well as to older subjects like universal critical exponents, devil's staircases and the Farey tree. The author uses a fully discrete method, a 'theoretical computer arithmetic', because finite (but not fixed) precision cannot be avoided in computation or experiment. This leads to a more general formulation in terms of symbolic dynamics and to the idea of weak universality. The connection is made with Turing's ideas of computable numbers and it is explained why the continuum approach leads to predictions that are not necessarily realized in computation or in nature, whereas the discrete approach yields all possible histograms that can be observed or computed.
1 555 kr
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This is an advanced 1997 text for first-year graduate students in physics and engineering taking a standard classical mechanics course. It was the first book to describe the subject in the context of the language and methods of modern nonlinear dynamics. The organising principle of the text is integrability vs. nonintegrability. Flows in phase space and transformations are introduced early and systematically and are applied throughout the text. The standard integrable problems of elementary physics are analysed from the standpoint of flows, transformations, and integrability. This approach then allows the author to introduce most of the interesting ideas of modern nonlinear dynamics via the most elementary nonintegrable problems of Newtonian mechanics. This text will be of value to physicists and engineers taking graduate courses in classical mechanics. It will also interest specialists in nonlinear dynamics, mathematicians, engineers and system theorists.
742 kr
Skickas inom 7-10 vardagar
This is an advanced 1997 text for first-year graduate students in physics and engineering taking a standard classical mechanics course. It was the first book to describe the subject in the context of the language and methods of modern nonlinear dynamics. The organising principle of the text is integrability vs. nonintegrability. Flows in phase space and transformations are introduced early and systematically and are applied throughout the text. The standard integrable problems of elementary physics are analysed from the standpoint of flows, transformations, and integrability. This approach then allows the author to introduce most of the interesting ideas of modern nonlinear dynamics via the most elementary nonintegrable problems of Newtonian mechanics. This text will be of value to physicists and engineers taking graduate courses in classical mechanics. It will also interest specialists in nonlinear dynamics, mathematicians, engineers and system theorists.
1 801 kr
Skickas inom 7-10 vardagar
Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker-Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman-Kolmogorov and Fokker-Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics.