PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE

J. Farmer

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 311-333

Abstract: Physicists have recently begun doing research in finance, and even though this movement is less than five years old, interesting and useful contributions have already emerged. This article reviews these developments in four areas, including empirical statistical properties of prices, random-process models for price dynamics, agent-based modeling, and practical applications.

Date: 2000
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Working Paper: Physicists Attempt to Scale the Ivory Towers of Finance (1999)
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DOI: 10.1142/S0219024900000164

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