Special Issue: Perspectives in Quantum Field Theory, Statistical Mechanics and Stochastics — Festschrift Dedicated to Prof. Francesco Guerra on the Occasion of His 60th BirthdayNo Access

ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE

MARIA I. LOFFREDO

MARIA I. LOFFREDO

Dipartimento di Scienze Matematiche ed Informatiche, Università di Siena, via del Capitano 15, 53100 Siena, Italy

INFM, Unità di Siena, Italy

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https://doi.org/10.1142/S021797920402432XCited by:8 (Source: Crossref)

Abstract

A short review is given of some research topics recently developed in the framework of quantitative finance and which can be referred to the effort of adapting methods and technologies of statistical physics to the analysis of economic systems. In particular we emphasize the role of a different, new perspective, in approaching financial problems, originated within the theory of complex systems and based on concepts like universality, scaling and correlation properties. Once applied to the time evolution of prices and volatility, this approach allows for the recognition of long-range and nonlinear effects in financial time series.

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