Econophysics and capital asset pricing : splitting the atom of systematic risk /

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Bibliographic Details
Author / Creator:Chen, Jim, 1966-
Imprint:Cham, Switzerland : Palgrave Macmillan, 2017.
Description:1 online resource
Language:English
Series:Quantitative perspectives on behavioral economics and finance
Quantitative perspectives on behavioral economics and finance.
Subject:Econophysics.
Capital assets pricing model.
BUSINESS & ECONOMICS -- Economics -- General.
BUSINESS & ECONOMICS -- Reference.
Capital assets pricing model.
Econophysics.
Electronic books.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11384477
Hidden Bibliographic Details
ISBN:9783319634654
3319634658
9783319634647
331963464X
Digital file characteristics:text file PDF
Notes:Includes index.
Print version record.
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.--
Other form:Print version: Chen, Jim, 1966- Econophysics and capital asset pricing. Cham, Switzerland : Palgrave Macmillan, 2017 9783319634647 331963464X
Standard no.:10.1007/978-3-319-63465-4