The vast majority of what I have read about quantitave finance is to do with option pricing and time series analysis for forecasting. However the economy as a whole behaves as a dynamic system with people forecasting stock prices then having a direct impact on future stock prices.

I have read some interesting research on this in terms of a general economic viewpoint, but has there been anything in terms of a quantitive finance outlook? The economic theory is generally called Complex Economics but I couldn't find an a analagous Complex Quantitave Finance.


This book might be what you are looking for:

Theory of Financial Risk and Derivative Pricing. From Statistical Physics to Risk Management by J.-P. Bouchaud and M. Potters

As one reviewer from amazon wrote:

Econophysics (the application of techniques developed in the physical sciences to economic, business and financial problems) has emerged as a newly active field of interdisciplinary research. `Theory of Financial Risks' (written by two of the pioneers of this field) highlights very clearly the contribution that physicists can make to quantitative finance. From the outset the point of view of the book is one of empirical observation (of the statistical properties of asset price dynamics) followed by the development of theories attempting to explain these results and enabling quantitative predictions to be made. This philosophy is reflected in the structure of the book. [...]

Excerpts can be found on the accompanying site of Cambridge University Press: Here

I know of no current overarching book but there are several papers out there that address the issues of evolving trading strategies in an artificial stock market. Try the following google search.

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  • $\begingroup$ Thanks for the reply. I had a look through the book but am not sure it is quite what I am looking for. To be more clear, a very basic example would be to start with a number of trading strategies and a dummy stock market and let them play out in a simulation. The strategies that performed best would survive and breed in an evolutionary way. I have read about this example in an economics book but was wondering whether this has been expanded on in a quantitative finance setting. $\endgroup$ – rwolst Jul 7 '14 at 10:22
  • $\begingroup$ @rwolst: Ok, then you should modify your question accordingly because it wasn't clear what exactly you were looking for. I will see what I can do for you to give you more references. $\endgroup$ – vonjd Jul 7 '14 at 11:07
  • $\begingroup$ @rwolst: See my edit. $\endgroup$ – vonjd Jul 7 '14 at 12:11

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