An introduction to statistical finance

Jean-Philippe Bouchaud
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Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management

No 313238, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

Abstract: We summarize recent research in a rapid growing field, that of statistical finance, also called `econophysics'. There are three main themes in this activity: (i) empirical studies and the discovery of interesting universal features in the statistical texture of financial time series, (ii) the use of these empirical results to devise better models of risk and derivative pricing, of direct interest for the financial industry, and (iii) the study of `agent-based models' in order to unveil the basic mechanisms that are responsible for the statistical `anomalies' observed in financial time series. We give a brief overview of some of the results in these three directions.

JEL-codes: G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-ets, nep-fin and nep-rmg
Date: 2002-01
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Published in Physica A 313 (1-2) (2002) pp. 238-251

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Persistent link: http://EconPapers.repec.org/RePEc:sfi:sfiwpa:313238

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