284
Index
J
JAVA virtual machine, 221
Johns-Hopkins University, 73
Joint probability, 200, 256
Junk bonds, 115
K
Kahneman, D., 117
King James bible, 196
Koch snowflake, 124–125, 269–271
L
Lag operator, 103
Lagrange function, 17, 157, 160, 181, 234,
254
Lagrange multiplier, 15–22, 183–184, 234
Langevin equation, 2, 32, 33, 37, 47
Laplace operator, 35–36, 45
Legendre transformation, 160, 161, 182,
184, 198, 254
Lévy-stable distributions, 130–132
LIBOR. See London Interbank Offered Rate
Linear quadratic regulator, 187–188, 190,
254
Liquidity, 9, 11, 12, 47, 114, 116
Log-normal distribution, 39, 238, 239
Log-periodic oscillations, 140–142
London Interbank Offered Rate, 9
Long position, 11, 233
M
MA. See Moving average process
Margin, 116
account, 12
call, 115
Market capitalization, 26
Market maker, 12
Market portfolio, 23, 27, 267
Markowitz, H., 15
Martingale, 52–53
measure, 53
Master equation, 33, 38, 160
Maturity, 7, 40, 51, 53–55
Mauna Loa, 91, 92, 111, 248
Merkle root, 211
Merkle tree, 211
Merton, R., 49
Metropolis-Hastings algorithm, 166, 168–
169, 253, 273–275
Missisippi bubble, 114
Money, v, 5, 8–9, 15, 193–194
Monte Carlo, 2, 37, 164–166, 170, 253
Moving average process, 94–96
Mutual information, 202, 203, 208
rate, 206
N
Nakamoto, S., 218
NAND gate, 225
Nats, 199
Net present value, 27
Nibble, 196
NOT gate, 225
Nyquist theorem, 206
O
Objective functional, 174–178, 183, 187
Occam’s razor, 88
Operator
anti-hermitian, 149, 170, 252
quantum-mechanical, 146–148, 225–
229, 253
Optimal control problem, 182
Optimism, 117
Option
American, 7
barrier, 151
call. See Call option
derivative. See Derivative
down-and-out, 151
European, 7
in exercise, 239, 242
put. See Put option
OTC. See over-the-counter
Out of the money, 53
Output elasticity, 172
Over-the-counter, 6
P
PACF. See Partial autocorrelation function
Pareto’s 80/20 law, 136
Pareto, V., 120, 135
Parsimony, 88–89
Partial autocorrelation function, 99–101,
111, 248
Partition function, 198
Path integral
in finance, 160–164
in quantum mechanics, 156–160
numerical, 167–169
Point-spread function, 45
Policy. See Control law
Index
J
JAVA virtual machine, 221
Johns-Hopkins University, 73
Joint probability, 200, 256
Junk bonds, 115
K
Kahneman, D., 117
King James bible, 196
Koch snowflake, 124–125, 269–271
L
Lag operator, 103
Lagrange function, 17, 157, 160, 181, 234,
254
Lagrange multiplier, 15–22, 183–184, 234
Langevin equation, 2, 32, 33, 37, 47
Laplace operator, 35–36, 45
Legendre transformation, 160, 161, 182,
184, 198, 254
Lévy-stable distributions, 130–132
LIBOR. See London Interbank Offered Rate
Linear quadratic regulator, 187–188, 190,
254
Liquidity, 9, 11, 12, 47, 114, 116
Log-normal distribution, 39, 238, 239
Log-periodic oscillations, 140–142
London Interbank Offered Rate, 9
Long position, 11, 233
M
MA. See Moving average process
Margin, 116
account, 12
call, 115
Market capitalization, 26
Market maker, 12
Market portfolio, 23, 27, 267
Markowitz, H., 15
Martingale, 52–53
measure, 53
Master equation, 33, 38, 160
Maturity, 7, 40, 51, 53–55
Mauna Loa, 91, 92, 111, 248
Merkle root, 211
Merkle tree, 211
Merton, R., 49
Metropolis-Hastings algorithm, 166, 168–
169, 253, 273–275
Missisippi bubble, 114
Money, v, 5, 8–9, 15, 193–194
Monte Carlo, 2, 37, 164–166, 170, 253
Moving average process, 94–96
Mutual information, 202, 203, 208
rate, 206
N
Nakamoto, S., 218
NAND gate, 225
Nats, 199
Net present value, 27
Nibble, 196
NOT gate, 225
Nyquist theorem, 206
O
Objective functional, 174–178, 183, 187
Occam’s razor, 88
Operator
anti-hermitian, 149, 170, 252
quantum-mechanical, 146–148, 225–
229, 253
Optimal control problem, 182
Optimism, 117
Option
American, 7
barrier, 151
call. See Call option
derivative. See Derivative
down-and-out, 151
European, 7
in exercise, 239, 242
put. See Put option
OTC. See over-the-counter
Out of the money, 53
Output elasticity, 172
Over-the-counter, 6
P
PACF. See Partial autocorrelation function
Pareto’s 80/20 law, 136
Pareto, V., 120, 135
Parsimony, 88–89
Partial autocorrelation function, 99–101,
111, 248
Partition function, 198
Path integral
in finance, 160–164
in quantum mechanics, 156–160
numerical, 167–169
Point-spread function, 45
Policy. See Control law