¾­¼ÃÎïÀíѧµ¼ÂÛ-½ðÈÚÖеĹØÁªÐԺ͸´ÔÓÐÔ-(Ó°Ó¡°æ)

Preface1 Introduction1£®1 Motivation1£®2 Pioneering approaches1£®3 The chaos approach1£®4 The present focus2 Efficient market hypothesis2£®1 Concepts£¬ paradigms£¬ and variables2£®2 Arbitrage2£®3 Efficient market hypothesis2£®4 Algorithmic complexity theory2£®5 Amount ofinformation in a financial time series2£®6 Idealized systems in physics and finance3 Random walk3£®1 One-dimensional discrete case3£®2 The continuous limit3£®3 Central limit theorem3£®4 The speed of convergence3£®4£®1 Berry-Esseen Theorem 13£®4£®2 Berry-Esseen Theorem 23£®5 Basin of attraction4 Levy stochastic processes and limit theorems4£®1 Stable distributions4£®2 Scaling and self-similarity4£®3 Limit theorem for stable distributions4£®4 Power-law distributions4£®4£®1 The St Petersburg paradox4£®4£®2 Power laws in finite systems4£®5 Price change statistics4£®6 Infinitely divisible random processes4£®6£®1 Stable processes4£®6£®2 Poisson process4£®6£®3 Gamma distributed random variables4£®6£®4 Uniformly distributed random variables4£®7 Summary5 Scales in financial data5£®1 Price scales in financial markets5£®2 Time scales in financial markets5£®3 Summary6 Stationarity and time correlation6£®1 Stationary stochastic processes6£®2 Correlation6£®3 Short-range correlated random processes6£®4 Long-range correlated random processes6£®5 Short-range compared with long-range correlated noise7 Time correlation in financial time series7£®1 Autocorrelation function and spectral density7£®2 Higher-order correlations£º The volatility7£®3 Stationarity of price changes7£®4 Summary8 Stochastic models of price dynamics8£®1 Levy stable non-Gaussian model8£®2 Student's t-distribution8£®3 Mixture of Gaussian distributions8£®4 Truncated Levy fiight9 Scaling and its breakdown9£®1 Empirical analysis of the S&P 500 index9£®2 Comparison with the TLF distribution9£®3 Statistical properties of rare events10 ARCH and GARCH processes10£®1 ARCH processes10£®2 GARCH processes10£®3 Statistical properties of ARCH£¯GARCH processes10£®4 The GARCH£¨1£¬1£© and empirical observatins10£®5 Summary11 Financial markets and turbulence11£®1 Turbulence11£®2 Parallel analysis of price dynamics and fiuld velocity11£®3 Scaling in turbulence and in financial markets11£®4 Discussion12 Correlation and anticorrelation between stocks12£®1 Simultaneous dynamics of pairs of stocks12£®1£®1 Dow-Jones Industrial Average portfolio12£®1£®2 S&P 500 portfolio12£®2 Statistical properties of correlation matrices12£®3 Discussion13 Taxonomy of a stock portfolio13£®1 Distance between stocks13£®2 Ultrametric spaces13£®3 Subdominant ultrametric space of a portfolio of stocks13£®4 Summary14 Options in idealized markets14£®1 Forward contracts14£®2 Futures14£®3 Options14£®4 Speculating and hedging14£®4£®1 Speculation£º An example14£®4£®2 Hedging£º A form ofinsurance14£®4£®3 Hedging£º The concept of a riskless portfolio14£®5 Option pricing in idealized markets14£®6 The Black & Scholes formula14£®7 The complex structure of financial markets14£®8 Another option-pricing approach14£®9 Discussion15 Options in real markets15£®1 Discontinuous stock returns15£®2 Volatility in real markets15£®2£®1 Historical volatility15£®2£®2 Implied volatility15£®3 Hedging in real markets15£®4 Extension of the Black & Scholes model15£®5 SummaryAppendix A£º Notation guideAppendix B£º MartingalesReferencesIndex