Econophysics and capital asset pricing : splitting the atom of systematic risk / James Ming Chen.
2017
HB137
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Details
Title
Econophysics and capital asset pricing : splitting the atom of systematic risk / James Ming Chen.
Author
Chen, Jim, 1966-
ISBN
9783319634654 (electronic book)
3319634658 (electronic book)
9783319634647
331963464X
3319634658 (electronic book)
9783319634647
331963464X
Publication Details
Cham, Switzerland : Palgrave Macmillan, 2017.
Language
English
Description
1 online resource.
Item Number
10.1007/978-3-319-63465-4 doi
Call Number
HB137
Dewey Decimal Classification
330.015195
Summary
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.-- Provided by publisher.
Note
Includes index.
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Digital File Characteristics
text file PDF
Source of Description
Description based on print version record.
Series
Quantitative perspectives on behavioral economics and finance.
Available in Other Form
Print version: 331963464X
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