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A Guided Walk Down Wall Street: an Introduction to Econophysics

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  • Giovani L. Vasconcelos

Abstract

This article contains the lecture notes for the short course ``Introduction to Econophysics,'' delivered at the II Brazilian School on Statistical Mechanics, held in Sao Carlos, Brazil, in February 2004. The main goal of the present notes is twofold: i) to provide a brief introduction to the problem of pricing financial derivatives in continuous time; and ii) to review some of the related problems to which physicists have made relevant contributions in recent years.

Suggested Citation

  • Giovani L. Vasconcelos, 2004. "A Guided Walk Down Wall Street: an Introduction to Econophysics," Papers cond-mat/0408143, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0408143
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    1. Li, Jiangcheng & Zhang, Chunmin & Liu, Jifa & Li, Zhen & Yang, Xuan, 2018. "An application of Mean Escape Time and metapopulation on forestry catastrophe insurance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 312-323.
    2. Florin Turcaș & Florin Cornel Dumiter & Marius Boiță, 2022. "Econophysics Techniques and Their Applications on the Stock Market," Mathematics, MDPI, vol. 10(6), pages 1-25, March.
    3. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    4. Andreev, Vsevolod V., 2015. "Will there be a revolution in Russia in 2017?," Journal of Policy Modeling, Elsevier, vol. 37(5), pages 782-788.
    5. Domino, Krzysztof, 2012. "The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 156-169.
    6. Saha, Pritam & Mondal, Bapin & Ghosh, Uttam, 2023. "Dynamical behaviors of an epidemic model with partial immunity having nonlinear incidence and saturated treatment in deterministic and stochastic environments," Chaos, Solitons & Fractals, Elsevier, vol. 174(C).
    7. Krzysztof Domino, 2016. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Papers 1605.09181, arXiv.org, revised Aug 2016.
    8. Sosa-Correa, William O. & Ramos, Antônio M.T. & Vasconcelos, Giovani L., 2018. "Investigation of non-Gaussian effects in the Brazilian option market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 525-539.
    9. Domino, Krzysztof, 2017. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 267-276.
    10. Domino, Krzysztof & Błachowicz, Tomasz, 2015. "The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 142-151.
    11. Domino, Krzysztof, 2011. "The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(1), pages 98-109.
    12. Ramos, Antônio M.T. & Carvalho, J.A. & Vasconcelos, G.L., 2016. "Exponential model for option prices: Application to the Brazilian market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 161-168.
    13. Bentes, Sónia R., 2022. "On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    14. Arias-Calluari, Karina & Najafi, Morteza. N. & Harré, Michael S. & Tang, Yaoyue & Alonso-Marroquin, Fernando, 2022. "Testing stationarity of the detrended price return in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    15. Domino, Krzysztof & Błachowicz, Tomasz, 2014. "The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 77-85.

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