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 Transnational Histories of the 'Royal Nation' by James Ming Chen
Cover of the book Quantization, Geometry and Noncommutative Structures in Mathematics and Physics by James Ming Chen
Cover of the book Subalternity vs. Hegemony, Cuba's Outstanding Achievements in Science and Biotechnology, 1959-2014 by James Ming Chen
Cover of the book Understanding Construction Contracts by James Ming Chen
Cover of the book Biological Adhesives by James Ming Chen
Cover of the book Coordinating Global Health Policy Responses by James Ming Chen
Cover of the book Thermo-Magnetic Systems for Space Nuclear Reactors by James Ming Chen
Cover of the book Robotic Donor Nephrectomy by James Ming Chen
Cover of the book Probability with Applications in Engineering, Science, and Technology by James Ming Chen
Cover of the book Extrasolar Planets and Their Host Stars by James Ming Chen
Cover of the book A Survey of Fractal Dimensions of Networks by James Ming Chen
Cover of the book Communicable Diseases of the Developing World by James Ming Chen
Cover of the book The Legal Regime Applicable to Private Military and Security Company Personnel in Armed Conflicts by James Ming Chen
Cover of the book Modelling Public Transport Passenger Flows in the Era of Intelligent Transport Systems by James Ming Chen
Cover of the book Novel Biomarkers in the Continuum of Breast Cancer 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