The Statistical Mechanics of Financial Markets
From the reviews of the first edition - "Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as shorts, limit orders, puts, calls,
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Springer-Verlag Berlin Heidelberg GmbH
Physics and Astronomy
ONLINE LIBRARY
http://www.springer.de/phys/
Johannes Voit
The Statistical Mechanics of Financial Markets With 92 Figures and 6 Tables
Springer
Johannes Voit Deutscher Sparkassen- und Giroverband Simrockstrasse 4 53113 Bonn, Germany
Cataloging-in-Publication Data applied for. Bibliographic information published by Die Deutsche Bibliothek Die Deutsche Bibliothek lists this publication in the Deutsche Nationalbibliografie; detailed bibliographic data is available in the Internet at .
ISSN 0172-5998 ISBN 978-3-540-00978-8 ISBN 978-3-662-05125-2 (eBook) DOI 10.1007/978-3-662-05125-2
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One must act on what has not happened yet. Lao Zi
Preface to the Second Edition
I would like to thank the public for its warm response to the publication of this book's first edition. The present second edition has been improved and updated in several respects. During the lifetime of the first edition, the stock markets have endured unprecedented decreases, in some cases comparable only to the Great Depression of 1929/1930. The Dax German blue chip index hit seven-year lows at the the time of writing this preface, the Nikkei is quoted at a twenty-year low, etc. The US indices are apparently slightly better off. While preparing the second edition of this book in fall 2002, I updated the most important charts to include this new development, and made utterly optimistic comments in the first edition, more cautious in some (though not systematically all) instances in the second edition. Although from today's perspective this long-term slump is consistent with the models used to describe financial markets, the parameters derived from the historical data are nonetheless affected and, even more so, the interpretations we attach to them. Unlike most experiments in a physics laboratory, there is no certainty that financial markets are stationar
