Books by Joseph L. (University of Houston) McCauley

Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice.

An advanced 1997 text for first-year graduate students in physics and engineering taking a standard classical mechanics course.

This book develops deterministic chaos and fractals from the standpoint of iterated maps, but the emphasis makes it very different from all other books in the field. It provides the reader with an introduction to more recent developments, such as weak universality, multifractals, and shadowing, as well as to older subjects like universal critical exponents, devil's staircases and the Farey tree. The author uses a fully discrete method, a 'theoretical computer arithmetic', because finite (but not fixed) precision cannot be avoided in computation or experiment. This leads to a more general formulation in terms of symbolic dynamics and to the idea of weak universality. The connection is made with Turing's ideas of computable numbers and it is explained why the continuum approach leads to predictions that are not necessarily realized in computation or in nature, whereas the discrete approach yields all possible histograms that can be observed or computed.

This second edition presents the advances made in finance market analysis since 2005, and explains the history leading up to the biggest economic disaster of the 21st century. It will lead finance theorists, traders, economists, physicists and engineers to the frontier of research in time series analysis.