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This book presents recent thought on market efficiency, using a complexsystems approach to move past equilibrium models and quantify the actualefficiency of markets. The older view that markets are perfectly efficient hascome under attack from several different directions, including studies of marketanomalies, human psychology, bounded rationality, agent-based modeling, andevolutionary game theory. This volume brings together some of the besteconomists, physicists, and biologists working on quantitative models ofcomplex, self-organized behavior relevant to measuring marketing efficiency, tostimulate new approaches to understanding financial markets.
Table of Contents
c Preface a J. Doyne Farmer and John Geanakoplos c Money and Goldstone Modes a Per Bak, Simon F. Norrelykke, and Martin Schubik c Power Laws in Economics and Finance: Some Ideas from Physics a Jean-Phillip Bouchaud c Scaling in Financial Prices: I. Tails and Dependence a Benoit Mandelbrot c Scaling in Financial Prices: II. Multifractals and the Star Equation a Benoit Mandelbrot c Multifractal Returns and Hierarchical Portfolio Theory a J.-F. Muzy, D. Sornett, J. Delour, and A. Arneodo c Financial Markets as Nonlinear Adaptive Evolutionary Systems a Cars Hommes c From Minority Games to Real Markets a Damien Challet, A. Chessa, M. Marsili, and Y-C. Zhang c Towards Evolutoinary Game Models of Financial Markets a Daniel Friedman c Statistical Mechanics of Asset Markets with Private Information a Johannes Berg, Matteo Marsili, Aldo Rustichini, and Riccardo Zecchina c On a Universal Mechanism for Long-Range Volatility Correlations a Jean-Phillipe Bouchaud, Irene Giardina, and Marc Mzard c Empirical Properties of Asset Returns: Sylized Facts and Statistical Issues a Rama Cont c What Good is a Volatility Model? a Robert Engle and Andrew J. Patton c Correlated Adaptation of Agents in a Simple Market: A Statistical Physics Perspective a Juan Garrahan, E. Moro, and D. Sherrington c Price Fluctuations, Market Activity, and Trading Volume a Vasiliki Plerou, Parameswaran Gopikrishnan, Xavier Gabaix, Lus A. Nunes Amaral, and H. Eugene Stanley c High-Frequency Cross-Correlation in a Set of Stocks a Giovanni Bonanno c A Builders Guide to Agent-Based Financial Markets a Blake LeBaron c Index