Beyond Equilibrium and Efficiency

Beyond Equilibrium and Efficiency

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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.
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Product details

  • Paperback | 352 pages
  • 167.6 x 235 x 155.7mm | 510g
  • New York, United States
  • English
  • 75 figures
  • 0195150953
  • 9780195150957

Table of contents

Preface; Money and Goldstone Modes; Power Laws in Economics and Finance: Some Ideas from Physics; Scaling in Financial Prices: I. Tails and Dependence; Scaling in Financial Prices: II. Multifractals and the Star Equation; Multifractal Returns and Hierarchical Portfolio Theory; Financial Markets as Nonlinear Adaptive Evolutionary Systems; From Minority Games to Real Markets; Towards Evolutoinary Game Models of Financial Markets; Statistical Mechanics of Asset Markets with Private Information; On a Universal Mechanism for Long-Range Volatility Correlations; Empirical Properties of Asset Returns: Sylized Facts and Statistical Issues; What Good is a Volatility Model?; Correlated Adaptation of Agents in a Simple Market: A Statistical Physics Perspective; Price Fluctuations, Market Activity, and Trading Volume; High-Frequency Cross-Correlation in a Set of Stocks; A Builders Guide to Agent-Based Financial Markets; Index
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