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Econophysics and capital asset prici...

Chen, James Ming.

Econophysics and capital asset pricingsplitting the atom of systematic risk /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Econophysics and capital asset pricingby James Ming Chen.
Reminder of title:	splitting the atom of systematic risk /
Author:	Chen, James Ming.
Published:	Cham :Springer International Publishing :2017.
Description:	xvi, 287 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Econophysics.
Online resource:	http://dx.doi.org/10.1007/978-3-319-63465-4
ISBN:	9783319634654$q(electronic bk.)

Econophysics and capital asset pricingsplitting 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$q(electronic bk.)

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

496905
Econophysics.

LC Class. No.: HB137 / .C44 2017

Dewey Class. No.: 330.015195

Econophysics and capital asset pricingsplitting the atom of systematic risk /
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245 1 0 $a Econophysics and capital asset pricing $h [electronic resource] : $b splitting the atom of systematic risk / $c by James Ming Chen.
260 $a Cham : $b Springer International Publishing : $b Imprint: Palgrave Macmillan, $c 2017.
300 $a xvi, 287 p. : $b ill., digital ; $c 24 cm.
490 1 $a Quantitative perspectives on behavioral economics and finance
520 $a 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.
650 0 $a Econophysics. $3 496905
650 0 $a Capital assets pricing model. $3 187119
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650 2 4 $a Behavioral Finance. $3 794582
650 2 4 $a Behavioral/Experimental Economics. $3 737421
650 2 4 $a Economic Theory/Quantitative Economics/Mathematical Methods. $3 731081
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