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A recent paper by Doyne Farmer (Prediction Company) giving an overview of
the ideas that physicists are bringing to the analysis of different
markets can be downloaded from this site:
http://www.santafe.edu/cgi-bin/AT-completesearch.cgi
scroll down to find
Physicists Attempt to Scale the Ivory Towers of Finance
Summary: 99-10-073. Abstract:. Physicists Attempt to Scale the Ivory
Towers of Finance. [gzipped postscript] [postscript] [pdf]. J. Doyne
Farmer.
abstract
Physicists have recently begun doing research in finance, and even though
this movement is less than five years old, interesting and useful
contributions have already emerged. This article reviews these
developments in four areas, including empirical statistical properties of
prices, random-process models for price dynamics, agent-based modeling,
and practical applications.
Ron McEwan
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