Index
283
gas, 221
MetaMask wallet, 280
Remix development environment, 280
smart contract, 221
solidity, 222
tokens, 223
virtual machine, 221
Euler-Lagrange equation, 16, 17, 157, 181,
182
Euler’s totient theorem, 213
European option, 7
EWMA. See Exponentially weighted moving average
Expectation value, 44–45, 51–53, 57, 80,
103–138, 170
of entropy, 196
of utility, 177
Explained sum of squares, 76
Exponentially weighted moving average, 95,
109–111, 249
Extreme-value theory, 132–138, 251
F
Fat-tailed distribution, 119–120, 130, 142
Feistel function, 209
Fermat’s little theorem, 216
Feynman, R., 156
Fiat-money, 8
Finite-impulse response filter, 94, 110
Finite-time divergence, 138–139, 252
FIR. See Finite-impulse response filter
Fokker-Planck equation, v, 2, 37–39, 142
Forecasting, 103–106
Forward contract, 6, 8, 58, 244
Fourier transform, 34, 127–131, 226
Fractal, 123–126, 142
Fréchet distribution, 137
F-test, 85–88, 246
Future contract, 7, 8, 11, 37
G
Gamma function, 78
incomplete, 78
GARCH. See Generalized autoregressive
conditional heteroscedasticity
Generalized autoregressive conditional heteroscedasticity, 110
Generating function, 128, 249
Great crash of 1929, 115, 139, 142
Greeks, 59–62
Delta, 48, 53–55, 60, 244—245
Gamma, 60, 244
Rho, 61
Theta, 61
Vega, 61
Green’s function, 33–36, 45, 50, 156, 236,
237, 253
Greenspan, A., 116
Gumbel distribution, 137
H
Half-adder, 225
Hamilton function, 145, 181, 182, 254
Hamilton’s equations, 181–184, 255
Hamming codes, 204
Hansen’s model, 177
Harmonic oscillator, 45, 74, 170, 252
Hartley, R., 195
Hash, 210–211
ethash, 211
Keccak256, 221
MD5, 210
SHA-2 family, 210
SHA-3, 221
Haussdorff dimension, 123, 251
Hedger, 11
Hedging, 6, 26, 49, 53–55, 268–269
Hellman, M., 211
Heteroscedastic, 71, 110
Homoscedastic, 71
Housing crash, 116
Huffman codes, 197
Huygen’s principle, 44, 241
Hypothesis testing, 84–85
I
IIR. See Infinite-impulse response filter
Image charges, 156
Importance sampling, 165–166
Inclined plane, 16
Income distribution, 121
Independent identically distributed (iid), 127
Infinite-impulse response filter, 95, 110
Information theory, 195–207
and thermodynamics, 198
continuous channel, 204
discrete channel, 199
entropy, 195
In the money, 53
Ito calculus, 36
Ito’s lemma, 36–37
283
gas, 221
MetaMask wallet, 280
Remix development environment, 280
smart contract, 221
solidity, 222
tokens, 223
virtual machine, 221
Euler-Lagrange equation, 16, 17, 157, 181,
182
Euler’s totient theorem, 213
European option, 7
EWMA. See Exponentially weighted moving average
Expectation value, 44–45, 51–53, 57, 80,
103–138, 170
of entropy, 196
of utility, 177
Explained sum of squares, 76
Exponentially weighted moving average, 95,
109–111, 249
Extreme-value theory, 132–138, 251
F
Fat-tailed distribution, 119–120, 130, 142
Feistel function, 209
Fermat’s little theorem, 216
Feynman, R., 156
Fiat-money, 8
Finite-impulse response filter, 94, 110
Finite-time divergence, 138–139, 252
FIR. See Finite-impulse response filter
Fokker-Planck equation, v, 2, 37–39, 142
Forecasting, 103–106
Forward contract, 6, 8, 58, 244
Fourier transform, 34, 127–131, 226
Fractal, 123–126, 142
Fréchet distribution, 137
F-test, 85–88, 246
Future contract, 7, 8, 11, 37
G
Gamma function, 78
incomplete, 78
GARCH. See Generalized autoregressive
conditional heteroscedasticity
Generalized autoregressive conditional heteroscedasticity, 110
Generating function, 128, 249
Great crash of 1929, 115, 139, 142
Greeks, 59–62
Delta, 48, 53–55, 60, 244—245
Gamma, 60, 244
Rho, 61
Theta, 61
Vega, 61
Green’s function, 33–36, 45, 50, 156, 236,
237, 253
Greenspan, A., 116
Gumbel distribution, 137
H
Half-adder, 225
Hamilton function, 145, 181, 182, 254
Hamilton’s equations, 181–184, 255
Hamming codes, 204
Hansen’s model, 177
Harmonic oscillator, 45, 74, 170, 252
Hartley, R., 195
Hash, 210–211
ethash, 211
Keccak256, 221
MD5, 210
SHA-2 family, 210
SHA-3, 221
Haussdorff dimension, 123, 251
Hedger, 11
Hedging, 6, 26, 49, 53–55, 268–269
Hellman, M., 211
Heteroscedastic, 71, 110
Homoscedastic, 71
Housing crash, 116
Huffman codes, 197
Huygen’s principle, 44, 241
Hypothesis testing, 84–85
I
IIR. See Infinite-impulse response filter
Image charges, 156
Importance sampling, 165–166
Inclined plane, 16
Income distribution, 121
Independent identically distributed (iid), 127
Infinite-impulse response filter, 95, 110
Information theory, 195–207
and thermodynamics, 198
continuous channel, 204
discrete channel, 199
entropy, 195
In the money, 53
Ito calculus, 36
Ito’s lemma, 36–37