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Applications of physics to economics...

Dragulescu, Adrian Antoniu.

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Applications of physics to economics and finance: Money, income, wealth, and the stock market.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Applications of physics to economics and finance: Money, income, wealth, and the stock market./
作者:	Dragulescu, Adrian Antoniu.
面頁冊數:	94 p.
附註:	Adviser: Victor M. Yakovenko.
Contained By:	Dissertation Abstracts International64-01B.
標題:	Physics, General. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3078303
ISBN:	049398884X

Applications of physics to economics and finance: Money, income, wealth, and the stock market.
Dragulescu, Adrian Antoniu.

Applications of physics to economics and finance: Money, income, wealth, and the stock market. - 94 p.

Adviser: Victor M. Yakovenko.

Thesis (Ph.D.)--University of Maryland College Park, 2002.

Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. The dissertation is organized as follows:

ISBN: 049398884XSubjects--Topical Terms:

1018488
Physics, General.

Applications of physics to economics and finance: Money, income, wealth, and the stock market.
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100 1 $a Dragulescu, Adrian Antoniu. $3 1255233
245 1 0 $a Applications of physics to economics and finance: Money, income, wealth, and the stock market.
300 $a 94 p.
500 $a Adviser: Victor M. Yakovenko.
500 $a Source: Dissertation Abstracts International, Volume: 64-01, Section: B, page: 0245.
502 $a Thesis (Ph.D.)--University of Maryland College Park, 2002.
520 $a Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. The dissertation is organized as follows:
520 $a In the first chapter it is argued that in a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Boltzmann-Gibbs law characterized by an effective temperature equal to the average amount of money per economic agent. The emergence of Boltzmann-Gibbs distribution is demonstrated through computer simulations of economic models. A thermal machine which extracts a monetary profit can be constructed between two economic systems with different temperatures. The role of debt and models with broken time-reversal symmetry for which the Boltzmann-Gibbs law does not hold, are discussed.
520 $a In the second chapter, using data from several sources, it is found that the distribution of income is described for the great majority of population by an exponential distribution, whereas the high-end tail follows a power law. From the individual income distribution, the probability distribution of income for families with two earners is derived and it is shown that it also agrees well with the data. Data on wealth is presented and it is found that the distribution of wealth has a structure similar to the distribution of income. The Lorenz curve and Gini coefficient were calculated and are shown to be in good agreement with both income and wealth data sets.
520 $a In the third chapter, the stock-market fluctuations at different time scales are investigated. A model where stock-price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance is proposed. The corresponding Fokker-Planck equation can be solved exactly. Integrating out the variance, an analytic formula for the time-dependent probability distribution of stock price changes (returns) is found. The formula is in excellent agreement with the Dow-Jones index for the time lags from 1 to 250 trading days. For time lags longer than the relaxation time of variance, the probability distribution can be expressed in a scaling form using a Bessel function. The Dow-Jones data follow the scaling function for seven orders of magnitude.
590 $a School code: 0117.
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710 2 0 $a University of Maryland College Park. $3 1249734
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790 $a 0117
790 1 0 $a Yakovenko, Victor M., $e advisor
791 $a Ph.D.
792 $a 2002
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