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Statistical finance,〔J-P Bouchaud, An introduction to Statistical Finance, Physica A 313 (2002) 238–251〕 is the application of econophysics〔V. Perou, E. Gopikrishnan, L A Amaral, M. Meyer, H. E. Stanley, Phys. Rev. E 60 6519 (1999)〕 to financial markets. Instead of the normative roots of much of the field of finance, it uses a positivist framework including exemplars from statistical physics with an emphasis on emergent or collective properties of financial markets. The starting point for this approach to understanding financial markets are the empirically observed stylized facts. ==Stylized facts == # Stock markets are characterised by bursts of price volatility. # Price changes are less volatile in bull markets and more volatile in bear markets. # Price change correlations are stronger with higher volatility, and their auto-correlations die out quickly. # Almost all real data have more extreme events than suspected. # Volatility correlations decay slowly. # Trading volumes have memory the same way that volatilities do. # Past price changes are negatively correlated with future volatilities. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Statistical finance」の詳細全文を読む スポンサード リンク
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