Quantitative Finance for Physicists

References

CHAPTER 1

1. J. Y. Campbell, A. W. Lo, and A. C. MacKinlay, The Econometrics of

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CHAPTER 2

1. C. Alexander, Market Models: A Guide to Financial Data Analysis,

Wiley, 2001.

2. M. M. Dacorogna, R. Gencay, U. Muller, R. B. Olsen, and O. V. Pictet,

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9. B. G. Malkiel, A Random Walk Down Wall Street, Norton, 2003.

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12. A. W. Lo and A. C. MacKinlay, A Non-Random Walk Down Wall

Street, Princeton University Press, 1999.

13. See [1.9].

14. D. Kahneman and A. Tversky (Eds.), Choices, Values and Frames,

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15. R. H. Thaler (Ed), Advances in Behavioral Finance, Russell Sage Foun-

dation, 1993.

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Under Risk,’’ Econometrica 47, 263-291 (1979). See also [14], pp. 17–43.

17. M. A. H. Dempster and C. M. Jones: ‘‘Can Technical Pattern Trading

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Working Papers, The Judge Institute of Management Studies, Univer-

sity of Cambridge, November and December, 1999.

18. A. W. Lo, H. Mamaysky, and J. Wang: ‘‘Foundations of Technical

Analysis: Computational Algorithms, Statistical Inference, and Empir-

ical Implement ation,’’ NBER Working Paper W7613, 2000.

19. B. LeBar on: ‘‘Technical Trading Profitability in Foreign Exchange

Markets in the 1990s,’’ Working Paper, Brandeis University, 2000.

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April 21, 2002.

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6. J. P. Nolan, Stable Distributions, Springer-Verlag, 2002.

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1997.

8. See [1.9].

CHAPTER 4

1. C. W. Gardiner, Handbook of Stochastic Methods for Physics, Chemis-

try, and the Natural Sciences, Springer-Verlag, 1997.

2. S. N. Neftci, An Introduction to the Mathematics of Financial Derivatives,

2

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Ed., Academic Press, 1996.

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4. E. Scalas, R. Gorenflo, and F. Mainardi, ‘‘Fractional Calculus and

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5. J. Masoliver, M. Montero, and G. H. Weiss, ‘‘A Continuous Time

Random Walk Model for Financial Distributions,’’ Physical Review

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6. W. Horsthemke and R. Lefevr, Noise-Induced Transitions. Theory and

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7. B. Oksendal: Stochastic Differential Equations, An Introduction with

Applications, Springer-Verlag, 2000.

8. I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus,

Springer-Verlag, 1997.

CHAPTER 5

1. P. H. Franses, Time Series Models for Business and Economic Forecast-

ing, Cambridge University Press, 1998.

2. J. D. Hamilton, Time Series Analysis, Princeton University Press, 1994.

References 151