Texts and Monographs in Physics Series Editors: R. Balian, Gif-sur-Yvette, France W. Beiglböck, Heidelberg, Germany H. Grosse, Wien, Austria W. Thirring, Wien, Austria
Johannes Voit
The Statistical Mechanics of Financial Markets Third Editon
With 99 Figures
ABC
Dr. Johannes Voit Deutscher Sparkassen-und Giroverband Charlottenstraße 47 10117 Berlin Germany E-mail:
[email protected]
Library of Congress Control Number: 2005930454 ISBN-10 3-540-26285-7 3rd ed. Springer Berlin Heidelberg New York ISBN-13 978-3-540-26285-5 3rd ed. Springer Berlin Heidelberg New York ISBN-10 3-540-00978-7 2nd ed. Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springeronline.com c Springer-Verlag Berlin Heidelberg 2005 Printed in The Netherlands The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: by the authors and TechBooks using a Springer LATEX macro package Cover design: design & production GmbH, Hei