The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics) 3rd Edition by Johannes Voit (PDF)

Description

The present third edition of The Statistical Mechanics of Financial Markets is published only four years after the ?rst edition. The success of the book highlights the interest in a summary of the broad research activities on the application of statistical physics to ?nancial markets. I am very grateful to readers and reviewers for their positive reception and comments. Why then prepare a new edition instead of only reprinting and correcting the second edition? The new edition has been signi?cantly expanded, giving it a more pr- tical twist towards banking. The most important extensions are due to my practical experience as a risk manager in the German Savings Banks’ As- ciation (DSGV): Two new chapters on risk management and on the closely related topic of economic and regulatory capital for ?nancial institutions, – spectively, have been added. The chapter on risk management contains both the basics as well as advanced topics, e. g. coherent risk measures, which have not yet reached the statistical physics community interested in ?nancial m- kets. Similarly, it is surprising how little research by academic physicists has appeared on topics relating to Basel II. Basel II is the new capital adequacy framework which will set the standards in risk management in many co- tries for the years to come. Basel II is responsible for many job openings in banks for which physicists are extemely well quali?ed. For these reasons, an outline of Basel II takes a major part of the chapter on capital.

User’s Reviews

Editorial Reviews: Review From the reviews of the third edition:”An excellent job of integrating many of the most important themes from econophysics in a relatively small volume. … The book serves its purpose, as a textbook on econophysics, superbly and one can tell that it developed from a course of lectures. The book is written with extreme clarity and an excellent pedagogical style. For philosophers who wish to acquaint themselves with the field of econophysics (beyond a superficial level), this is the book to invest in.” (Dean Rickles, Studies in History and Philosophy of Modern Physics, Vol. 38, 2007) From the Back Cover This highly praised introductory treatment describes the parallels between statistical physics and finance – both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets.The random-walk technique, well known in physics, is also the basic model in finance, upon which are built, for example, the Black-Scholes theory of option pricing and hedging, plus methods of portfolio optimization. Here the underlying assumptions are assessed critically. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. With this approach, novel methods for derivative pricing and risk management can be formulated. Computer simulations of interacting-agent models provide insight into the mechanisms underlying unconventional price dynamics. It is shown that stock exchange crashes can be modelled in ways analogous to phase transitions and earthquakes, and sometimes have even been predicted successfully.This third edition of The Statistical Mechanics of Financial Markets especially stands apart from other treatments because it offers new chapters containing a practitioner’s treatment of two important current topics in banking: the basic notions and tools of risk management and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come.

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐The author, Johannes Voit, has taught at the University of Bayreuth and University of Freiburg and has experience as a risk manager in the German Savings Banks’ Association.An adequate summary of the material discussed in the book appears on the back cover of the book. I have nothing to add to those comments except that I found that his presentation brought cohesion to a subject matter which, seems to me to be, fragmented and plagued by assumptions.

⭐Item came as described, and in just a few days – all the way from UK!

⭐Unfortunately, the cover is the only thing that is right about the book I received. The actual contents are from a completely different book about semiconductors. Basically completely wrong item.

⭐Good Book.Excellente conditions and embalajeExactitud en la entregaBuen embalajeCondiciones perfectasPasat y hojas en buen estado

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⭐I am a physics grad student thinking about switching to finance. This book is a good start on that path.

⭐This text is extremely good at presenting an overview of using statistical analysis on the financial markets. The text is in-depth and relatively complete. It also does a nice job of linking the techniques used to physical analyses common in the natural sciences to help the techniques make intuitive sense. He also does a good job of analyzing real financial data. While the math is not trivial, Voit does a good job of explaining the basic equations without going through long, tedious proofs. However, if you do not have a background in the physical sciences, I think it could be a tough read. On the flip side, if you do have such a background, I think it reads very easily given the mathematical nature of the topic.

⭐There is a great review online titled, “Statistical Phynance” by another author. It’s on the American Scientist website. That is a great review.I am an investment consultant but my undergrad work was physics and math (I also have a finance mba and have passed a few actuarial exams). I will admit I was a top student in both disciplines (math and physics) at very selective school, and Voit’s exploration is not for the easily deterred. I’m sure most people who read this book are much smarter than me–after all, it’s a physics text–but I make these comments to be helpful to those wandering over from other disciplines. I only wish I had the time to delve deeply into the subject matter, because that is what this text deserves. As it is, I can read it as an essay and rely on my background in statistics/physics/probability/finance for the intuition required to understand the author’s analysis and conclusions–to an extent.This book has me excited about the possible practical applications in my work; to be frank, I think it’s revolutionary. But that’s just me coming from my little corner of the world.

⭐De todas las veces que me he pedido springer solo una vez me han mandado un libro que vale arriba de mil pesos y que fué mi primera compra. Generalmente no me quejo porque en su mayoría los compro en descuento, este, por otro lado, lo compré a precio completo, más de mil trescientos pesos, para mi mala fortuna fue un pedido que no revisé hasta tiempo después cuando lo iba a ocupar, confiado de una compra previa de excelente calidad que tuve, para mi mala fortuna ya no estaba en los tiempos para retorno, un robo, hojas de mala calidad, pegadas con pegamento corriente que parece que en cualquier momento se va a romper.

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⭐Von einem Physiker für Physiker geschrieben. Wenn man als Physiker die Finanztheorie verstehen will und Motivation aus bekannten Phänomenen wie Ising-Model usw. sucht, genau das richtige Buch.

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