7 ‘ v i a | | Pe a. Pee ER A Saves sic ¢ o> LAGE AFH ALPULLS SSRN RA HARA REFRS WA (70501011) BGhUbe teh & He wa BreUBKE KMThis informative introductory book is written by Dr. Zhou, who started the experience in econophysics when this field was just born, working with Didier Sornette’s group, one of the main econophysics groups in the world, Dr. Zhou con- tributed important papers on the interesting question whether housing market data in the U. S. show evidence for a bubble, predictability of financial crashes and systematically analyzing financial fluctuations. In fact in the bestseller of Didier Sor- nette entitled Why Stock Markets Crash, there are many ideas that Sornette credited to collaboration with Dr. Zhou. The new ideas surveyed in this book are important because main stream Economics tried but did not adequately incorporates finance. As Per Bak said, mainstream economics is about equilibrium and the best example of equilibrium is a glass of water at rest: nothing happens. Instead, real markets fluctuate wildly, are far from equilibrium, and are not described at all by the tradi- tional methods of econometrics, which always assume stationa- Ty processes at some point or another. It’s not so much that the standard economic theory is wrong, as it is irrelevant. In his perceptive book The Alchemy of Finance, George Soros said, “+++the fact that I can get by without even knowing the current theory speaks for itself---”2 Bib RE However, whereas many famous traders can get by with theory, the financial markets have undergone tremendous changes, more and more sophisticated trading instruments are introduced, profit pockets are harder and harder to be found, and the frequency of trading (hence data) is higher and higher. All this new trend calls for a renewed look at theoretical issues raised in the real markets, and a book that is clearly formulated with thorough analysis and ready to be compared to real mar- kets, is badly needed. In this vacuum steps in Dr. Zhou’s new book, he chooses to first publish in Chinese market, as I be- lieve there would be many translations into other languages, including English. This important volume also coincides with the growing importance of China’s own financial markets, such like Shanghai and Shenzhen. I believe after its publication the international readership would clamor for this book’ transla- tion, . This book is based on many interesting recent papers and covers a wide range of topics of current interest. Included are random dynamical systems like fractional Brownian motion, an example of self-affine scaling with strong increment autocorre- lations, and the related method of R/S analysis, a method that was designed to detect strong correlations in random time se- ries. The Weierstrass function is given as a mathematical ex- ample of a series scaling with Hurst exponent H. The f(a) formalism of Halsey et al is discussed rather thoroughly. This formalism describes deterministic nonlinear dynamical systems on multifractal Cantor sets, the so-called ‘strange attractors’. The log-periodic model of stock bubbles, upon which Zhou is a main player, is thoroughly discussed. Zhou then moves on to agent based trading models, beginning with the Bak-Pacuski-ew 3 Shubik model, from which fat tails are derived from the behav- ior of noise traders, The discussion ends with a nice presenta- tion of the minority Game, which has been thoroughly solved by the Fribourg Group and collaborators from the standpoint of statistical physics, All in all, this is a nice introductory book that takes on to research frontiers in several fields in finance, and is highly recommended to the reader. Dr. Zhou is a new kind of scientist, who can combine ex- pertise from many different fields to put the insight into this book. I believe we can expect much important work from his hands in the future. 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