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Econophysics and capital asset prici...

Chen, James Ming.

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Econophysics and capital asset pricing = splitting the atom of systematic risk /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Econophysics and capital asset pricing/ by James Ming Chen.
其他題名:	splitting the atom of systematic risk /
作者:	Chen, James Ming.
出版者:	Cham :Springer International Publishing : : 2017.,
面頁冊數:	xvi, 287 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Econophysics. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-63465-4
ISBN:	9783319634654

Econophysics and capital asset pricing = splitting the atom of systematic risk /
Chen, James Ming.

Econophysics and capital asset pricingsplitting the atom of systematic risk /[electronic resource] :by James Ming Chen. - Cham :Springer International Publishing :2017. - xvi, 287 p. :ill., digital ;24 cm. - Quantitative perspectives on behavioral economics and finance. - Quantitative perspectives on behavioral economics and finance..

This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.

ISBN: 9783319634654

Standard No.: 10.1007/978-3-319-63465-4doiSubjects--Topical Terms:

2070258
Econophysics.

LC Class. No.: HB137 / .C44 2017

Dewey Class. No.: 330.015195

Econophysics and capital asset pricing = splitting the atom of systematic risk /
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