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The Statistical Mechanics of Financial Markets

Johannes Voit
Springer

This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems. The author covers a broad range of both statistical mechanics and financial modeling, though on a couple of occassions concentrating too much on the statistical mechanics. In fairness, the couple of section that do deviate are presented more as extra reading.

Some basic knowledge of statistical mechanics will make the reading of the book much more enjoyable. There are comparisons made between physics and financial markets are presented both in a qualitative and quantitative content, thus, readers of different background knowledge can benefit.

It is perhaps not the best book for learning the more tradition theories of financial mathematics, such as Black-Scholes, which are the only slight critism. (These couple of chapters have been put in by the author for completeness). The inclusion of the final two chapters on current up-to-date computer simulation and theories are a bonus, also, highlighting problems face in financial modelling.

In summary, a very good book that offers more than just a qualitative comparisions of physics and finance.

Reviewed by Alessio Farhadi. Click here to buy this book at Amazon.co.uk.

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