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An introduction to statistical finance

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  • Bouchaud, Jean-Philippe
Abstract
We summarize recent research in a rapid growing field, that of statistical finance, also called ‘econophysics’. There are three main themes in this activity: (i) empirical studies and the discovery of interesting universal features in the statistical texture of financial time series, (ii) the use of these empirical results to devise better models of risk and derivative pricing, of direct interest for the financial industry, and (iii) the study of ‘agent-based models’ in order to unveil the basic mechanisms that are responsible for the statistical ‘anomalies’ observed in financial time series. We give a brief overview of some of the results in these three directions.

Suggested Citation

  • Bouchaud, Jean-Philippe, 2002. "An introduction to statistical finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(1), pages 238-251.
    • Handle: RePEc:eee:phsmap:v:313:y:2002:i:1:p:238-251
    DOI: 10.1016/S0378-4371(02)01039-7
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    References listed on IDEAS

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    1. J. Doyne Farmer, 2000. "Physicists Attempt To Scale The Ivory Towers Of Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 311-333.
    2. Fabrizio Lillo & Rosario N. Mantegna, 2000. "Variety and Volatility in Financial Markets," Papers cond-mat/0006065, arXiv.org.
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    4. Jean-Philippe Bouchaud & Andrew Matacz & Marc Potters, 2001. "The leverage effect in financial markets: retarded volatility and market panic," Science & Finance (CFM) working paper archive 0101120, Science & Finance, Capital Fund Management.
    5. Pierre Cizeau & Marc Potters & Jean-Philippe Bouchaud, 2000. "Correlation structure of extreme stock returns," Papers cond-mat/0006034, arXiv.org, revised Jan 2001.
    6. P. Cizeau & M. Potters & J-P. Bouchaud, 2001. "Correlation structure of extreme stock returns," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 217-222.
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