Studies of Credit and Equity Markets with Concepts of Theoretical Physics
Financial markets are becoming increasingly complex. The financial crisis of 2008 to 2009 has demonstrated that an improved understanding of the mechanisms embedded in the market is a key requirement for the estimation of financial risk. Recently, concept
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VIEWEG+TEUBNER RESEARCH
Michael C. Münnix
Studies of Credit and Equity Markets with Concepts of Theoretical Physics With a foreword by Prof. Dr. Thomas Guhr
VIEWEG+TEUBNER RESEARCH
Bibliographic information published by the Deutsche Nationalbibliothek The Deutsche Nationalbibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data are available in the Internet at http://dnb.d-nb.de.
Dissertation Universität Duisburg-Essen, 2011
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Foreword According to a traditional, narrow definition, physics is the science exploring the laws of the non–living part of nature, while biology studies living beings. This division stems from times in which biology was still to a large extent a descriptive science whose main purpose was to order, structure and classify the observations made in the living part of nature. This changed dramatically in recent decades. Modern biology is an explaining, quantitative science employing methods which often come from chemistry and physics. Vice versa, physicists also became interested in biological questions, and the interdisciplinary field of biophysics emerged. A similar process is now taking place with physics, more precisely theoretical physics, and the social sciences, particularly economics. There are three driving forces: First, there is a strong tendency in economics towards working more quantitatively. Not surprisingly, it is especially strong in finance. Second, a wealth of empirical economic data became available during the last few decades. This is indispensable for theoretical physicists whose key competence is the construction of mathematical models based on empirical information. Third, complex systems moved in the focus of research in physics. Although the ultimate definition of complex systems is still debated, most researchers would agree to viewing the economy as a good example. The new interdisciplinary field of econophysics attracts talented individuals from different branches of physics. However, there is one thing many of them have in common: often, they have worked in experimental physics or, at least, they analyzed experimental data. This is natural a
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