Econophysics and Capital Asset Pricing

Splitting the Atom of Systematic Risk

Business & Finance, Human Resources & Personnel Management, Organizational Behavior, Finance & Investing, Finance
Cover of the book Econophysics and Capital Asset Pricing by James Ming Chen, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: James Ming Chen ISBN: 9783319634654
Publisher: Springer International Publishing Publication: October 4, 2017
Imprint: Palgrave Macmillan Language: English
Author: James Ming Chen
ISBN: 9783319634654
Publisher: Springer International Publishing
Publication: October 4, 2017
Imprint: Palgrave Macmillan
Language: English

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. 

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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. 

More books from Springer International Publishing

Cover of the book Trajectory of Land Reform in Post-Colonial African States by James Ming Chen
Cover of the book Nutrition Physiology and Metabolism in Spaceflight and Analog Studies by James Ming Chen
Cover of the book Hybrid Approaches to Machine Translation by James Ming Chen
Cover of the book J. Michael Dunn on Information Based Logics by James Ming Chen
Cover of the book Theory of Gravitational Interactions by James Ming Chen
Cover of the book On Being Reformed by James Ming Chen
Cover of the book Laparoscopic Surgery by James Ming Chen
Cover of the book Machine Learning Control – Taming Nonlinear Dynamics and Turbulence by James Ming Chen
Cover of the book Artificial Intelligence and Algorithms in Intelligent Systems by James Ming Chen
Cover of the book Recent Advances in Multi-state Systems Reliability by James Ming Chen
Cover of the book Studies on Experimental Toxicology and Pharmacology by James Ming Chen
Cover of the book Internet of Things. IoT Infrastructures by James Ming Chen
Cover of the book Do Colors Exist? by James Ming Chen
Cover of the book OCT in Central Nervous System Diseases by James Ming Chen
Cover of the book Progress in Science, Progress in Society by James Ming Chen
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy