Finitary Probabilistic Methods in Econophysics

Proposing a unified view for a dynamic probabilistic approach for graduate students and researchers in physics, economics and finance.

Ubaldo Garibaldi (Author), Enrico Scalas (Author)

9780521515597, Cambridge University Press

Hardback, published 19 August 2010

342 pages, 23 b/w illus. 34 exercises
25.3 x 17.8 x 2.1 cm, 0.83 kg

'… a book that would allow a physicist to approach recent advances in statistics which are not encountered in statistical physics for example … serves as an introduction to distributions and models that are widely used in physics.' Contemporary Physics

Econophysics applies the methodology of physics to the study of economics. However, whilst physicists have good understanding of statistical physics, they may be unfamiliar with recent advances in statistical conjectures, including Bayesian and predictive methods. Equally, economists with knowledge of probabilities do not have a background in statistical physics and agent-based models. Proposing a unified view for a dynamic probabilistic approach, this book is useful for advanced undergraduate and graduate students as well as researchers in physics, economics and finance. The book takes a finitary approach to the subject, discussing the essentials of applied probability, and covering finite Markov chain theory and its applications to real systems. Each chapter ends with a summary, suggestions for further reading, and exercises with solutions at the end of the book.

1. Introductory remarks
2. Individual and statistical descriptions
3. Probability and events
4. Finite random variables and stochastic processes
5. The Pólya process
6. Time evolution and finite Markov chains
7. The Ehrenfest–Brillouin model
8. Applications to stylized models in economics
9. Finitary characterization of the Ewens sampling formula
10. The Zipf–Simon–Yule process
Index.

Subject Areas: Physics [PH], Probability & statistics [PBT], Economic statistics [KCHS], Econometrics [KCH]