市場(chǎng)動(dòng)力學(xué)

內(nèi)容概要

　　This book emphasizes what standard texts and
research in economics and finance ignore: that there is as yet no
evidence from the analysis of real, unmassaged market data to
support the notion of Adam Smith's stabilizing Invisible Hand.
There is no empirical evidence for stable equilibrium, for a
stabilizing hand to provide self-regulation of unregulated markets.
This is in stark contrast with the standard model taught in typical
economics texts (Mankiw, 2000; Barro, 1997), which forms the basis
for the positions of the US Treasury, the European Union, the World
Bank, and the IMF, who take the standard theory as their credo
(Stiglitz, 2002). Our central thrust is to introduce a new
empirically based model of fnancial market dynamics that prices
options correctly and also makes clear the instability of financial
markets. Our emphasis is on understanding how markets really
behave, not how they hypothetically "should" behave as predicted by
completely unrealistic models.
　　

作者簡(jiǎn)介

作者：(美國(guó))麥考利(Joseph.L.McCauley)

書(shū)籍目錄

preface
1 the moving target
　1.1 invariance principles and laws of nature
　1.2 humanly invented law can always be violated
　1.3 where are we headed?
2 neo-classical economic theory
　2.1 why study "optimizing behavior"?
　2.2 dissecting neo-classical economic theory
(microeconomics)
　2.3 the myth of equilibrium via perfect information
　2.4 how many green jackets does a consumer want?
　2.5 macroeconomic lawlessness
　2.6 when utility doesn't exist
　2.7 global perspectives in economics
　2.8 local perspectives in physics
3 probability and stochastic processes
　3.1 elementary rules of probability theory
　3.2 the empirical distribution
　3.3 some properties of probability distributions
　3.4 some theoretical distributions
　3.5 laws of large numbers
　3.6 stochastic processes
　3.7 correlations and stationary processes
4 scaling the ivory tower of finance
　4.1 prolog
　4.2 horse trading by a fancy name
　4.3 liquidity, and several shaky ideas of "true value"
　4.4 the gambler's ruin
　4.5 the modigliani-miller argument
　4.6 from gaussian returns to fat tails
　4.7 the best tractable approximation to liquid market
dynamics
　4.8 "temporary price equilibria" and other wrong ideas of
"equilibrium" in economics and finance
　4.9 searching for adam smith's invisible hand
　4.10 black's "equilibrium": dreams of "springs" in the
market
　4.11 macroeconomics: lawless phenomena?
　4.12 no universal scaling exponents either!
　4.13 fluctuations, fat tails, and diversification
5 standard betting procedures in portfolio selection theory
　5.1 introduction
　5.2 risk and return
　5.3 diversification and correlations
　5.4 the capm portfolio selection strategy
　5.5 the efficient market hypothesis
　5.6 hedging with options
　5.7 stock shares as options on a firm's assets
　5.8 the black-scholes model
　5.9 the capm option pricing strategy
　5.10 backward-time diffusion: solving the black-scholes pde
　5.11 we can learn from enron
6 dynamics of financial markets, volatility, and option
pricing
　6.1 an empirical model of option pricing
　6.2 dynamics and volatility of returns
　6.3 option pricing via stretched exponentials
appendix a. the first kolmogorov equation
7 thermodynamic analogies vs instability of markets
　7.1 liquidity and approximately reversible trading
　7.2 replicating self-financing hedges
　7.3 why thermodynamic analogies fail
　7.4 entropy and instability of financial markets
　7.5 the challenge: to find at least one stable market
appendix b. stationary vs nonstationary random forces
8 scaling, correlations, and cascades in finance and
turbulence
　8.1 fractal vs self-affine scaling
　8.2 persistence and antipersistence
　8.3 martingales and the efficient market hypothesis
　8.4 energy dissipation in fluid turbulence
　8.5 multiaffine scaling in turbulence models
　8.6 levy distributions
　8.7 recent analyses of financial data
appendix c. continuous time markov processes
9 what is complexity?
　9.1 patterns hidden in statistics
　9.2 computable numbers and functions
　9.3 algorithmic complexity
　9.4 automata
　9.5 chaos vs randomness vs complexity
　9.6 complexity at the border of chaos
　9.7 replication and mutation
　9.8 why not econobiology?
　9.9 note added april 8, 2003
references
index

章節(jié)摘錄

版權(quán)頁(yè)：The analogy of a heat bath with finance is that large trades violate the liquidityassumption, as, for example, when Citi-Bank takes a large position in Reals, justas taking too much energy out of the system's environment violates the assumptionthat the heat bath remains approximately in equilibrium in thermodynamics.The possibility of arbitrage would correspond to a lower entropy （Zhang, 1999）,reflecting correlations in the market dynamics. This would require history dependence in the returns distribution whereas the noarbitrage condition, which is guaranteed by the "efficient market hypothesis" （EMH） is satisfied by either statisticallyindependent or Markovian retums. Our empirically based model of volatility ofreturns and option pricing is based on the assumption of a Markov process withunbounded returns. Larger entropy means greater ignorance, more disorder, butentropy has been ignored in the economics literature. The emphasis in economictheory has been placed on the nonempirically based idealizations of perfect foresight, instant information transfer and equilibrium.3

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