An Introduction to Econophysics: Correlations and Complexity in Finance
Author: Rosario N. Mantegna, H. Eugene Stanley
List Price: $50.00
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ISBN: 0521620082
Publisher: Cambridge University Press (01 November, 1999)
Sales Rank: 60,027
Average Customer Rating: 3.57 out of 5
Customer Reviews
Rating: 3 out of 5
target audience not defined
I find the book rather poorly written in the aspect of providing links between statistical physics and its application in economics. As a physicist with a background in stochastic processes, I was looking for an introduction to their applications to economic analysis, complete with examples and discussion of the methods' limitations. The book was somewhat disappointing in this respect. Quite often, in many chapters, the necessary math is explained, then some aspects of how it is manefest in economical data are presented and then the chapter ends, leaving the reader wonder what the specific cases may be and if it is practical to use those methods at all. Above all, there is very little discussion as to what the results actually mean, in economical terms.
I believe the book may be helpful for reseachers active in this field but I would not recommend it as a first introduction to econophysics. For economists, the math may be rather difficult to go through as some of the fundamental concepts are not defined consistently. For physicists with no previous exposure to econophysics, I would prefer to see more economics.
Rating: 1 out of 5
Not bad, considering...
The book is not bad considering the total lack of existence of intelligible literature in this supposedly vast field.The content is really a collection of quickie crib-sheets on a sundry of topics with nominally common theme: Finance.
A lot of the actually useful stuff is the author's previously published papers on price-return distributions.
Aside from his own previously published work, he has a good tutorial on the GARCH scheme though with precious little follow up reading resources for delving in deeper (or even sideways).
This book is priced far too high given its content and depth.
Look for a used copy, and do not count on the author to answer questions by email.
Rating: 4 out of 5
First in the new field
I found several parts of this book useful while preparing lectures for an introductory econophysics course in Fall, 2001. The discussions of convolutions of distributions, Levy distributions and scaling are well-written and easy to follow. In the brief discussion of the St. Petersburg Paradox I missed a critical discussion of expected utility, which was invented by Bernoullli to 'resolve' that paradox. Spurred by von Neumann and Morgenstern, neo-classical economics relies on the idea of expected utility, which seems empirically to be wrong. The chapter on time correlations is also very readable (although Wiener processes are not 1/f^2 noise!). ARCH and GARCH methods are discussed, saving the student from the pain of reading badly-written papers by mathematically-minded economists, but the chapters on options are too brief with nothing new. The best introduction to options is still the original Black-Scholes paper (excepting their erroneous claim that CAPM and the delta-hedge strategy produce option pricing pdes that agree with each other). Also, it would have been nice to have seen a discussion of CAPM. The discussion of algorithmic complexity left me cold (see my earlier books and papers on nonlinear dynamics), and I would like to have seen a critical discussion of the EMH. These criticisms are ok, though, the gaps leave something for the rest of us to work on. Similar Products
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