Overview

This book presents recent thought on market efficiency, using a complex systems approach to move past equilibrium models and quantify the actual efficiency of markets. The older view that markets are perfectly efficient has come under attack from several different directions, including studies of market anomalies, human psychology, bounded rationality, agent-based modeling, and evolutionary game theory. This volume brings together some of the best economists, physicists, and biologists working on quantitative models of complex, self-organized behavior relevant to measuring marketing efficiency, to stimulate new approaches to understanding financial markets.

Full Product Details

Author:   J. Doyne Farmer ,  John Geanakoplos
Publisher:   Oxford University Press Inc
Imprint:   Oxford University Press Inc
Edition:   illustrated edition
ISBN:  

9780195150957

ISBN 10:   0195150953
Pages:   352
Publication Date:   31 May 2006
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Awaiting stock  
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Table of Contents

Preface, J. Doyne Farmer and John Geanakoplos Money and Goldstone Modes, Per Bak, Simon F. Norrelykke, and Martin Schubik Power Laws in Economics and Finance: Some Ideas from Physics, Jean-Phillip Bouchaud Scaling in Financial Prices: I. Tails and Dependence, Benoit Mandelbrot Scaling in Financial Prices: II. Multifractals and the Star Equation, Benoit Mandelbrot Multifractal Returns and Hierarchical Portfolio Theory, J.-F. Muzy, D. Sornett, J. Delour, and A. Arneodo Financial Markets as Nonlinear Adaptive Evolutionary Systems, Cars Hommes From Minority Games to Real Markets, Damien Challet, A. Chessa, M. Marsili, and Y-C. Zhang Towards Evolutionary Game Models of Financial Markets, Daniel Friedman Statistical Mechanics of Asset Markets with Private Information, Johannes Berg, Matteo Marsili, Aldo Rustichini, and Riccardo Zecchina On a Universal Mechanism for Long-Range Volatility Correlations, Jean-Phillipe Bouchaud, Irene Giardina, and Marc Mzard Empirical Properties of Asset Returns: Sylized Facts and Statistical Issues, Rama Cont What Good is a Volatility Model?, Robert Engle and Andrew J. Patton Correlated Adaptation of Agents in a Simple Market: A Statistical Physics Perspective, Juan Garrahan, E. Moro, and D. Sherrington Price Fluctuations, Market Activity, and Trading Volume, Vasiliki Plerou, Parameswaran Gopikrishnan, Xavier Gabaix, Lus A. Nunes Amaral, and H. Eugene Stanley High-Frequency Cross-Correlation in a Set of Stocks, Giovanni Bonanno A Builders Guide to Agent-Based Financial Markets, Blake LeBaron Index

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