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Physicists attempt to scale the ivory towers of finance

Abstract:
Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random-process models for price dynamics, agent-based modeling, and practical applications.

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Journal:
Computing in Science and Engineering, Nov. - Dec. 1999 (IEEE)
Publication date:
1999-12-10
Source identifiers:
387651
Keywords:
Pubs id:
pubs:387651
UUID:
uuid:5c0c9c1b-1049-4bef-8b7a-44c792141caf
Local pid:
pubs:387651
Deposit date:
2013-11-16

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