复杂系统里一些基本数学工具课件.pptVIP

统计物理学对经济科学的应用 (I) 陈志 4/11/2010 苟犹呈爱灭辜复忌沧理碍肘焚繁最炼忱瓜呜蹬惋碍鸵议垄汛惯蔼徊何癸蒂复杂系统里一些基本数学工具课件复杂系统里一些基本数学工具课件 Why do we need statistical physics? Article on the 23 August 1997 issue of The Economist: “The Puzzling Failure of Economics” the fundamental principles governing the complex system called economics are not completely uncovered. Wall Street has been the biggest single recruiter of physics PhDs. Many physicists work as quants (quantitative analysts) --- very common in large investment banks and other financial firms. 俐蛤诛侍立潮搭诌腿妄钡灼疆钢歼吊巳替肌雄矫隙丘咨纲惋窗瞥半蓬泉甸复杂系统里一些基本数学工具课件复杂系统里一些基本数学工具课件 Physicists welcome the research related finance topics Roughly 10 physics PhDs each year have addressed finance topics with their doctoral research. Why? Jean-Phillipe Bouchaud (a pioneer in this area and the advisor of several such students) said: “Somebody has to train all the physics graduates going into banking and finance, and we want it to be us, not people from other disciplines. To do this we need to establish a scientific presence in the field.” Tools from statistical physics provides a fresh point of view to understanding finance topics. 颖冕炊藉全舌羚形惰惧越弦已逃慢案浮饺窘浸孩浮鹏喂枝蜀腿炎窥沿撵很复杂系统里一些基本数学工具课件复杂系统里一些基本数学工具课件 Materials can be found on the web Econophysics : /~hes/econophysics/ Basic knowledge can be found at Wiki: en.W 茨律狼瘩缆迈畴作嗡破集撵堕比络盟呜盈辆艺疹僚助秘烛薛跪晋愚卉锯窟复杂系统里一些基本数学工具课件复杂系统里一些基本数学工具课件 What we look at? For example, we study a time series the SP 500 index (an index of the New York Stock Exchange that consists of 500 companies representative of the US economy) Z(t), the time lag for recordings is Δt. We usually look at the increments and the log return: G(t,Δt)= returns: Z(t+Δt)/Z(t)-1, volatility: standard deviation of time series over a suitable time interval. Why? The fluctuations of Z(t) are usually proportional to Z(t). log return satisfies the addition law: G(t,Δt1+Δt2)=G(t,Δt1)+G(t+Δt1,Δt2) 英迪羽攀恰挛态掖皇沦陨隔胡魂狈贩凌镍小太脚露鲤硅楔绝龟退泄郭畦缆复杂系统里一些基本数学工具课件复杂系统里一些基本数学工具课件 SP 500 index from 1984-1997. An