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The Physics of Finance: Collective Dynamics in a Complex World

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Selforganization in Complex Systems: The Past, Present, and Future of Synergetics

Part of the book series: Understanding Complex Systems ((UCS))

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Abstract

Exploring the dynamics of financial time-series is an exciting and interesting challenge because of the many truly complex interactions that underly the price formation process. In this contribution we describe some of the anomalous statistical features of such time-series and review models of the price dynamics both across time and across the universe of stocks. In particular we discuss a non-Gaussian statistical feedback process of stock returns which we have developed over the past years with the particular application of option pricing. We then discuss a cooperative model for the correlations of stock dynamics which has its roots in the field of synergetics. In all cases numerical simulations and comparisons with real data are presented.

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Author information

Authors and Affiliations

  1. Integral Development Corporation, 3400 Hillview Ave, Palo Alto, CA, USA

    Lisa Borland

Authors
  1. Lisa Borland
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Corresponding author

Correspondence to Lisa Borland .

Editor information

Editors and Affiliations

  1. Institut für Theoret. Physik I, Universität Stuttgart Institut für Theoret. Physik I, Stuttgart, Germany

    Günter Wunner

  2. Fachbereich Physik, Forschungszentrum OPTIMAS, Technische Universität Kaiserslautern, Kaiserslautern, Germany

    Axel Pelster

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Borland, L. (2016). The Physics of Finance: Collective Dynamics in a Complex World. In: Wunner, G., Pelster, A. (eds) Selforganization in Complex Systems: The Past, Present, and Future of Synergetics. Understanding Complex Systems. Springer, Cham. https://doi.org/10.1007/978-3-319-27635-9_6

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  • DOI: https://doi.org/10.1007/978-3-319-27635-9_6

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-27633-5

  • Online ISBN: 978-3-319-27635-9

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