http://bactra.org/notebooks Cosma's Notebooks en http://bactra.org/notebooks/2008/12/27#finance <P>This is a place-holder. It ought to say something about how a <a href="socialism.html">socialist</a> with no formal training in economics came to write for <cite><a href="http://www.iop.org/Journals/Quant">Quantitative Finance</a>,</cite> but another time. <P>See also: <a href="corporations.html">Corporations and Corporate Finance</a>; <a href="economics.html">Economics</a>; <a href="globalization.html">Globalization</a>; <a href="time-series.html">Time Series</a> <ul>Recommended: <li>Bernstein, <cite>Capital Ideas</cite> <li>J. Bradford DeLong <ul> <li><a href="http://delong.typepad.com/sdj/2006/03/20060302_stocks.html">Lecture Notes on the Equity Premium Puzzle, Part I</a> <li>"Under What Circumstances Can a Financial Market Learn to Distinguish Good Opinions from Bad Ones?" [<a href="http://www.j-bradford-delong.net/movable_type/pdf/Noise_Trader_2005.pdf">PDF</a>. See also <a href="http://delong.typepad.com/sdj/2005/06/the_economic_so.html">here</a>.] </ul> <li>J. Bradford DeLong and Konstantin Magin, "The U.S. Equity Return Premium: Past, Present, and Future" [<a href="http://delong.typepad.com/pdf/20070412_JEP_EP.pdf">PDF of preliminary draft</a>] <li>Alan Blinder, <cite>Central Banking in Theory and Practice</cite> <li>Marcus G. Daniels, J. Doyne Farmer, Laszlo Gillemot, Giulia Iori, and Eric Smith, "A quantitative model of trading and price formation in financial markets", <a href="http://arxiv.org/abs/cond-mat/0112422">cond-mat/0112422</a> = "Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process", <a href="http://dx.doi.org/10.1103/PhysRevLett.90.108102"><cite>Physical Review Letters</cite> <strong>90</strong> (2003): 108102</a> <li>Barry Eichengreen, <cite>Globalizing Capital: A History of the International Monetary System</cite> [<a href="../reviews/globalizing-capital/">Review: Turning the Wheels</a>] <li>Eric Falkenstein, "Value-at-Risk and Derivatives Risk" ["An optimal risk manangement process should work more at getting relevant risks on the radar screen than measuring what appears on the screen more precisely." <a href="http://www.efalken.com/papers/VaR.PDF">PDF</a>] <li>John Kenneth Galbraith <ul> <li><cite>1929: The Great Crash</cite> <li><cite>A Brief History of Financial Euphoria</cite> <li><cite>Money: Whence It Came, Where It Went</cite> </ul> <li>Doug Henwood, <cite>Wall Street: How It Works and for Whom</cite> [<a href="http://www.wallstreetthebook.com/">Free online!</a>] <li>Kirill Ilinsky, <cite>Physics of Finance</cite> [<a href="../reviews/physics-of-finance/">Review: Gauge Connections for Fun and (More Importantly) Profit</a>] <li>Michael Lewis <ul> <li><cite>Liar's Poker</cite> <li><cite>The Money Culture</cite> </ul> <li>Roger Lowenstein <ul> <li><cite>When Genius Failed: The Rise and Fall of Long-Term Capital Management</cite> <li><cite>Origins of the Crash: The Great Bubble and Its Undoing</cite> [This refers to the crash of 2002 or so, not the crash of 2008 or so. It's hard to keep up.] </ul> <li><a href="http://www.sps.ed.ac.uk/staff/sociology/mackenzie_donald">Donald MacKenzie</a> <ul> <li><cite>An Engine, Not a Camera: How Financial Models Shape Markets</citE> [<a href="http://mitpress.mit.edu/0-262-13460-8">Blurb</a>. <a href="../weblog/algae-2007-10.html#engine">My comments</a>.] <li>"End-of-the-World Trade", <cite>London Review of Books</citE> <strong>30:9</strong> (8 May 2008) [<a href="http://www.lrb.co.uk/v30/n09/mack01_.html">Online</a>. Nice sociological/popular-scientific piece about credit derivatives, and broader issues in risk assesment and the <a href="institutional.html">institutional</a> infrastructure of the financial markets.] </ul> <li>Magdoff and Sweezy <ul> <li><cite>The Irreversible Crisis</cite> <li><cite>Stagnation and the Financial Explosion</cite> </ul> <li>Mantegna and Stanley, <cite>An Introduction to Econophysics</cite> [<a href="../reviews/intro-to-econophysics/">Review: Not <em>Exactly</em> Rocket Science</a>] <li>Thomas Mikosch, "Copulas: Tales and Facts" [<a href="http://www.math.ku.dk/~mikosch/maphysto_extremes_2005/s.pdf">PDF preprint</a>] <li>Moody's Global Risk Analysis Group, "Archaeology of the Crisis" [January 2008; <a href="http://www.moodys.com/moodys/cust/research/mdcdocs/06/2007000000466324.pdf">link to free PDF</a>, registration required; some <a href="http://www.salon.com/tech/htww/2008/01/09/moodys_lament/index.html">commentary</a> by Andrew Leonard] <li>Heinz Pagels, <a href="../Pagels/Quick/">"The Quick Buck Becomes Quicker"</a> <li>Karl Polanyi, <cite>The Great Transformation</cite> <li>John Roemer, <cite>A Future for Socialism</citE> [Why the Revolution needs a stock market. <a href="../reviews/future-for-socialism/">Review: The Red Monday Efficient Allocation Blues</a>] <li>Robert J. Shiller, <cite>Irrational Exuberance</cite> <li>A. N. Shiryaev, <cite>Essentials of Stochastic Finance</cite> [<a href="../reviews/shiryaev-finance/">Review</a>] <li>David Skeel and Frank Partnoy, "The Promise and Perils of Credit Derivatives", 2008 [<a href="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=929747">SSRN</a>] </ul> <ul>Not altogether recommended: <li>Richard Bookstaber, <cite>A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation</cite> <li>Andrew Lo, <cite>Hedge Funds: An Analytic Perspective</cite> [Really a not-especially-well-integrated selection of Lo's recent papers. Some interesting material but definitely for specialists only (who may well have read the papers already).] </ul> <ul>To read: <li>Roy E. Bailey, <cite>The Economics of Financial Markets</cite> <li>George P. Baker and George David Smith, <cite>The New Financial Capitalists: Kohlberg Kravis Roberts and the Creation of Corporate Value</cite> [<a href="http://www.cup.org/Titles/64/0521642604.html">Blurb</a>] <li>Ole E. Barndorff-Nielsen and Neil Shephard, "Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics" [<a href="http://d.repec.org/n?u=RePEc:sbs:wpsefe:2002fe03&r=ets">PDf</a>] <li>Kevin E. Bassler, Joseph L. McCauley, Gemunu H. Gunaratne, "Nonstationary Increments, Scaling Distributions, and Variable Diffusion Processes in Financial Markets", <a href="http://arxiv.org/abs/physics/0609198">physics/0609198</a> <li>Erhan Bayraktar, Ulrich Horst and Ronnie Sircar <ul> <li>"Queueing Theoretic Approaches to Financial Price Fluctuations", <a href="http://arxiv.org/abs/math.PR/0703832">math.PR/0703832</a> <li>"A Limit Theorem for Financial Markets with Inert Investors", <a href="http://arxiv.org/abs/math.PR/0703831">math.PR/0703831</a> </ul> <li>Ricardo Bebczuk, <cite>Asymmetric Information in Financial Markets: Introduction and Applications</cite> [<a href="http://cambridge.org/0521793424">Blurb</a>] <li>William T. Bernhard and David Leblang, <cite>Democratic Processes and Financial Markets: Pricing Politics</cite> [<a href="http://cambridge.org/0521678382">Blurb</a>] <li>Lucy Bernholz, <cite>Creating Phlanthropic Capital Markets: The Deliberate Evolution</cite> [<a href="http://www.blueprintrd.com/book.htm">Author's book site</a>] <li>Hendrik J. Blok, <cite>On the Nature of the Stock Market: Simulations and Experiments,</cite> <a href="http://arxiv.org/abs/cond-mat/0010211">cond-mat/0010211</a> [Ph.D. thesis, University of British Columbia, 2000] <li>Paul Blustein, <cite>And the Money Kept Rolling in (and Out): Wall Street, the IMF, and the Bankrupting of Argentina</cite> <li>Jean-Philippe Bouchaud <ul> <li>"An introduction to statistical finance," <citE>Physica A</cite> <strong>313</strong> (2002): 238--251 [<a href="http://d.repec.org/n?u=RePEc:sfi:sfiwpa:313238&r=ets">PDF</a>] <li>"The subtle nature of financial random walks", <a href="http://dx.doi.org/10.1063/1.1889265"><cite>Chaos</cite> <strong>15</strong> (2005): 026104</a> </ul> <li>Reuven Brenner, <cite>Force of Finance: Triumph of the Capital Markets</cite> <li>Edward Chancellor, <cite>Devil Take the Hindmost: A History of Financial Speculation</cite> <li>Carl Chiarella and Giulia Iori <ul> <li>"The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows" [<a href="http://www.mth.kcl.ac.uk/research/finmath/papers/iori.pdf">PDF</a>] <li>"A simulation analysis of the microstructure of double auction markets", <a href="http://dx.doi.org/10.1088/1469-7688/2/5/303"><cite>Quantitative Finance</cite> <strong>2</strong> (2002): 346--353</a> </ul> <li>George Cooper, <cite>The Origin of Financial Crises: Central Banks, Credit Bubbles and the Efficient Market Fallacy</cite> <li>Michel M. Dacorogna, Ramazan Gencay, Ulrich A. M&uuml;ller, Richard B. Olsen and Olivier V. Pictet, <cite>An Introduction to High-Frequency Finance</cite> <li>E. Philip Davis and Benn Steil, <cite>Institutional Investors</cite> [<a href="http://mitpress.mit.edu/0-262-04192-8">Blurb</a>] <li>Davis, Duffie, Fleming and Shreve (eds.), <cite>Mathematical Finance</cite> <li>Paul De Grauwe and Marianna Grimaldi, <cite>The Exchange Rate in a Behavioral Finance Framework</cite> [<a href="http://pup.princeton.edu/titles/8172.html">Blurb, ch. 1</a>] <li>J. Bradford DeLong, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann <ul> <li>"Noise Trader Risk in Financial Markets", <cite>Journal of Political Economy</cite> <strong>98</strong> (1990): 703--738 [<a href="http://www.j-bradford-delong.net/pdf_files/Noise_Traders_Main.pdf">PDF preprint</a>] <li>"The Survival of Noise Traders in Financial Markets", <cite>Journal of Business</cite> <strong>64</strong> (1991): 1--20 [<a href="http://www.j-bradford-delong.net/pdf_files/Survival_Noise_Traders.pdf">PDF preprint</a>] </ul> <li>Emanuel Derman <ul> <li>"The Perception of Time, Risk and Return During Periods of Speculation," <a href="http://arxiv.org/abs/cond-mat/0201345">cond-mat/0201345</a> <li><citE>My Life as a Quant</cite> </ul> <li>Gerard Dumenil and Dominique Levy, <cite>Capital Resurgent: Roots of the Neoliberal Revolution</citE> [<a href="http://www.hup.harvard.edu/catalog/DUMCAP.html">Blurb</a>] <li>John Eatwell and Lance Taylor, <cite>Global Finance at Risk: The Case for International Regulation</cite> <li>Barry Eichengreen <ul> <li><cite>Capital Flows and Crises</cite> <li><cite>Toward a New International Financial Architecture: A Practical Post-Asia Agenda</cite> </ul> <li>Cheoljun Eom, Gabjin Oh, Woo-Sung Jung, "Relationship between degree of efficiency and prediction in stock price changes", <a href="http://arxiv.org/abs/0708.4178">arxiv:0708.4178</a> [I should read this before dismissing it, but it seems from the abstract that they're almost missing the point...] <li>Justin fox, <cite>The Myth of the Rational Market: Wall Street's Impossible Quest for Predictable Markets</cite> <li>Philip Hans Franses and Dick Van Dijk, <cite>Non-Linear Time Series Models in Empirical Finance</cite> <li>Xavier Gabaix, Parameswaran Gopikrishnan, Vasiliki Plerou and H. Eugene Stanley, "A theory of power-law distributions in financial market fluctuations", <a href="http://dx.doi.org/10.1038/nature01624"><cite>Nature</cite> <strong>423</strong> (2003): 267--270</a> <li>Ramazan Gencay, Faruk Selcuk and Brandon Whitcher, <cite>An Introduction to Wavlets and Other Filtering Methods in Finance and Economics</cite> <li>Anne Goldgar, <cite>Tulipmania: Money, Honor, and Knowledge in the Dutch Golden Age</cite> <li>Vygintas Gontis and Bronislovas Kaulakys <ul> <li>"Multiplicative point process as a model of trading activity", <a href="http://dx.doi.org/10.1016/j.physa.2004.05.080"><cite>Physica A</cite> <strong>343</strong> (2004): 505--514</a> = <a href="http://arxiv.org/abs/cond-mat/0303089">cond-mat/0303089</a> [Despite the journal, the abstract actually sounds interesting and possibly-not-insane.] <li>"Long-range memory model of trading activity and volatility", <a href="http://arxiv.org/abs/physics/0606115">physics/0606115</a> </ul> <li>Christian Gourieroux and Joann Jasiak, <cite>The Econometrics of Individual Risk: Credit, Insurance, and Marketing</cite> [<a href="http://press.princeton.edu/titles/8433.html">Blurb, ch. 1</a>] <li>Larry Harris, <cite>Trading and Exchanges: Market Microstructure for Practitioners</citE> <li>Christopher Hoag, "The Atlantic Telegraph Cable and Capital Market Information Flows", <a href="http://dx.doi.org/10.1017/S0022050706000143"><cite>The Journal of Economic History</cite> <strong>66</strong> (2006): 342--353</a> ["an event study on the introduction of the Atlantic Cable in July 1866. Using daily data on one security with a dual listing on the New York and London stock exchanges ... the information lag between the two markets shortened from ten days to zero days. Cointegration analysis confirms the result. Historical markets priced securities so well that transatlantic steamship crossing times can be recovered from stock prices."] <li>Jacques Janssen, <citE>Semi-Markov Risk Models for Finance, Insuance and Reliability</cite> <li>Eric Jondeau, Ser-Huang Poon and Michael Rockinger, <cite>Financial Modeling Under Non-Gaussian Distributions</cite> <li>Taisei Kaizoji, "Power laws and market crashes", <a href="http://arxiv.org/abs/physics/0603138">physics/0603138</a> <li>Ethan B. Kapstein, <cite>Governing the Global Economy: International Finance and the State</cite> <li>Charles P. Kindleberger, <cite>Manias, Panics and Crashes: A History of Financial Crises</cite> <li>Dan Krier, <cite>Speculative Management: Stock Market Power and Corporate Change</cite> <li>Edward LiPuma and Benjamin Lee, <cite>Financial Derivatives and the Globalization of Risk</cite> [<a href="http://www.dukeupress.edu/cgibin/forwardsql/search.cgi?template0=nomatch.htm&template2=books/book_detail_page.htm&user_id=31582129687&Bmain.Btitle_option=1&Bmain.Btitle_=&Bmain.Btitle_option=1&Bmain.Btitle=Financial+Derivatives+and+the+Globalization+of+Risk&Bmain.Subtitle_option=1&Bmain.Subtitle_=&Bmain.Subtitle_option=1&Bmain.Subtitle=&distinct=Bmain.subject_BIP1&Bmain.subject_BIP1=&distinct=Bmain.subject_BIP2&Bmain.subject_BIP2=&distinct=Bmain.subject_BIP3&Bmain.subject_BIP3=">Blurb</a>] <li>James Macdonald, <cite>A Free Nation Deep in Debt: The Financial Roots of Democracy</cite> [<a href="http://pup.princeton.edu/titles/8228.html">Blurb, intro</a>] <li>Randy Martin, <cite>Financialization of Daily Life</cite> <li>Hilton McCann, <cite>Offshore Finance</cite> [<a href="http://cambridge.org/9780521862332">blurb</a>] <li>Ross M. Miller, "Don't Let Your Robots Grow Up To Be Traders: Artificial Intelligence, Human Intelligence, and Asset-Market Bubbles" [<a href="http://d.repec.org/n?u=RePEc:wpa:wuwpex:0306001&r=exp">PDF</a>] <li>J. F. Muzy, E. Bacry and A. Kozhemyak, "Extreme values and fat tails of multifractal fluctuations", <a href="http://dx.doi.org/"><cite>Physical Review E</cite> <strong>73</strong> (2006): 066114</a> = <a href="http://arxiv.org/abs/cond-mat/0509357">cond-mat/0509357</a> [Abstract promises financial applications] <li>Frank Partnoy, <cite>F.I.A.S.C.O.</cite> <li>Heikki Patomaki, <cite>Democratizing Globalization: The Leverage of the Tobin Tax</cite> <li>Louis M. Pauly, <cite>Who Elected the Bankers? Surveillance and Control in the World Economy</citE> <li>Huyen Pham, "Some applications and methods of large deviations in finance and insurance",<a href="http://arxiv.org/abs/math.PR/0702473">math.PR/0702473</a> <li>Jocelyn Pixley, <cite>Emotions in Finance: Distrust and Uncertainty in Global Markets</cite> [<a href="http://cambridge.org/0521535085">Blurb</a>] <li>Riccardo Rebonato, <cite>Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently</cite> [<a href="http://press.princeton.edu/titles/8474.html">Blurb, ch. 1</a>] <li>Carmen M. Reinhart and <a href="http://www.economics.harvard.edu/faculty/rogoff/">Kenneth S. Rogoff</a>, <cite>This Time Is Different: Six Centuries of Financial Folly</cite> [Forthcoming (as of early 2008) book. <a href="http://www.economics.harvard.edu/faculty/rogoff/files/Is_The_US_Subprime_Crisis_So_Different.pdf">This paper</a> on the now-contemporary US financial crisis is a bit of a preview, apparently.] <li>Mark J. Roe, <cite>Strong Managers, Weak Owners: The Political Roots of American Corporate Finance</cite> <li>Bertrand M. Roehner, <cite>Patterns of Speculation: A Study in Observational Econophysics</cite> [<a href="http://cambridge.org/0521675731">Blurb</a>] <li>Hilary Rosenberg, <cite>The Vulture Investors</cite> <li>Frank Schwed, <cite>Where Are the Customers' Yachts? or a Good Hard Look at Wall Street</cite> <li>G. Shafer and V. Vovk, <cite>Probability and Finance: It's Only a Game!</cite> <li>Robert J. Shiller <ul> <li><a href="http://cowles.econ.yale.edu/P/au/d_shiller.htm">Cowles Foundation</a> working papers <li><cite>Macro Markets</cite> <li><cite>Market Volatility</cite> <li><cite>The New Financial Order: Risk in the Twenty-First Century</cite> </ul> <li>Timothy J. Sinclair, <cite>The New Masters of Capital: American Bond Rating Agencies and the Politics of Creditworthiness</cite> [<a href="http://www.cornellpress.cornell.edu/cup_detail.taf?ti_id=4280">Blurb</a>] <li>Kenneth J. Singleton, <cite>Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment</cite> [<a href="http://pup.princeton.edu/titles/8171.html">Blurb</a>, with links to PDFs of first three chapters] <li>Eric Smith, J. Doyne Farmer, Laszlo Gillemot, and Supriya Krishnamurthy, "Statistical theory of the continuous double auction", <a href="http://arxiv.org/abs/cond-mat/0210475">cond-mat/0210475</a> = <a href="http://dx.doi.org/10.1088/1469-7688/3/6/307"><cite>Quantitative Finance</cite> <strong>3</strong> (2003): 481--514</a> <li>Elinor Harris Solomon, <cite>Virtual Money: Understanding the Power and Risks of Money's High-Speed Journey into Electronic Space</cite> <li>D. Sornette, "Critical Market Crashes," <a href="http://arxiv.org/abs/cond-mat/0301543">cond-mat/0301543</a> [90 page summary of his book <cite>Why Stock Markets Crash,</citE> and innumerable papers] <li>James B. Stewart, <cite>Den of Thieves</cite> <li>Susan Strange, <cite>Mad Money: When Markets Outgrow Governments</cite> <li>Torsten Strulik and Helmut Willke (eds.), <cite>Towards a Cognitive Mode in Global Finance?: The Governance of a Knowledge-Based Financial System</cite> [<a href="http://www.press.uchicago.edu/cgi-bin/hfs.cgi/00/212635.ctl">Blurb</a>] <li>Stephen J. Taylor, <cite>Asset Price Dynamics, Volatility, and Prediction</cite> [<a href="http://pup.princeton.edu/titles/8055.html">Blurb, introduction</a>; <a href="http://www.lancs.ac.uk/staff/afasjt/assetpricedynamics.html">author's book-site</a>] <li>R. Vilela Mendes, R. Lima and T. Araujo, "A Process-Reconstruction Analysis of Market Fluctuations," <a href="http://arxiv.org/abs/cond-mat/0102301">cond-mat/0102301</a> <li>Xavier Vives, <cite>Information and Learning in Markets: The Impact of Market Microstructure</cite> [<a href="http://press.princeton.edu/titles/8655.html">Blurb, ch. 1, ch. 7, lecture slides</a>] <li>David Weiss, <cite>After the Trade Is Made: Processing Securities Transactions</cite> <li>Biao Wu, "Interacting Agent Feedback Finance Model", <a href="http://arxiv.org/abs/math.PR/0703827">math.PR/0703827</a> </ul>