Customer Reviews

The Statistical Mechanics of Financial Markets (Theoretical and Mathematical Physics)

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Very useful book, particularly in what concerns alternative L-Stable distributions. True, not too versed in financial theory but I'd rather see the author erring on the side of more physics than mathematical economics. As an author I don't ask much from books, just to deliver what they indend. This one does.

Clear historical description of Einstein/Bachelier. Hopefully one day we will call derivatives pricing the Bachelier valuation.

The book in short provides an excellent perspective on the statistical approach to asset price dynamics. Very clear and to the point.

Nassim Nicholas Taleb

This book was my first thorough introduction to this field and I have found it thoroughly enjoyable. The comparisions between the tools of Physics and Finance along with the presentation of empirical data was highly stimulating. The economic terms were presented with lucidity and conciseness and the use of relevant examples in both Physics and Finance made it an easy read. Also of great value was it comparisons of standard economic theory with various tools within Physics.

This book also provides a very complete Bibliography where one can find classical and neoclassical economic texts and further references and directions in this relatively new field. I highly reccomend it to any Physicist looking to go into Finance or just as a good read and also to (neo) classical econonomists and financial engineers alike.

I also deeply appreciated the respect it showed to economists and its straightforward, non preachy manner that many Physicists are often guilty of!

Thanks

There is a great review online titled, "Statistical Phynance" by another author. It's on the American Scientist website. That is a great review.

I am an investment consultant but my undergrad work was physics and math (I also have a finance mba and have passed a few actuarial exams). I will admit I was a top student in both disciplines (math and physics) at very selective school, and Voit's exploration is not for the easily deterred. I'm sure most people who read this book are much smarter than me--after all, it's a physics text--but I make these comments to be helpful to those wandering over from other disciplines. I only wish I had the time to delve deeply into the subject matter, because that is what this text deserves. As it is, I can read it as an essay and rely on my background in statistics/physics/probability/finance for the intuition required to understand the author's analysis and conclusions--to an extent.

This book has me excited about the possible practical applications in my work; to be frank, I think it's revolutionary. But that's just me coming from my little corner of the world.

This text is extremely good at presenting an overview of using statistical analysis on the financial markets. The text is in-depth and relatively complete. It also does a nice job of linking the techniques used to physical analyses common in the natural sciences to help the techniques make intuitive sense. He also does a good job of analyzing real financial data. While the math is not trivial, Voit does a good job of explaining the basic equations without going through long, tedious proofs. However, if you do not have a background in the physical sciences, I think it could be a tough read. On the flip side, if you do have such a background, I think it reads very easily given the mathematical nature of the topic.

The author, Johannes Voit, has taught at the University of Bayreuth and University of Freiburg and has experience as a risk manager in the German Savings Banks' Association.

An adequate summary of the material discussed in the book appears on the back cover of the book. I have nothing to add to those comments except that I found that his presentation brought cohesion to a subject matter which, seems to me to be, fragmented and plagued by assumptions.

I am a physics grad student thinking about switching to finance. This book is a good start on that path.