• NSMIT (MyNSM)

Tenured/Tenure-Track

Faculty Biography For:

Joseph McCauley
Professor

Physics Department
University of Houston
Houston, Texas 77204-5005

Office: SR1-619E
Phone: (713) 743-3528
jmccauley@uh.edu

Econophysics and complexity: economics and finance
Empirically based modeling of normal, liquid finance markets. Description of market crashes based on the history of globalization of the Dollar during the twentieth century, especially through the credit explosion and corresponding growing trade imbalance of 1971-2008 to the derivatives-based crash of 2007-2008.
Fluid Dynamics
Hydrodynamics of high speed planning hulls and surfacing propellers.

Books
- Dynamics of Markets: the new financial economics (2009)
- Dynamics of Markets, Cambridge (2004)
- Classical Mechanics, Cambridge (1997)
- Chaos, Dynamics and Fractals (1993)

Integration I(d) of nonstationary Time Series: stationary and nonstationary increments, with Bassler and Gunaratne, International Review of Financial Analysis 18 (2009) 101-108.

Time vs. Ensemble Averages for Nonstationary Time Series, Physica A387, 5188,2008.

Nonstationarity of Efficient Finance Markets: FX Market Evolution from Stability to Instability, Joseph L. McCauley, Int. Rev. Fin. An. 17, 820, 2008.

Martingales, Detrending Data, and the Efficient Market Hypothesis, with Bassler and Gunaratne, Physica A37 (2008) 202.

Nonstationary Increments, Scaling Distributions, and VariableDiffusion Processes in Financial Markets, K.E. Bassler, J.L. McCauley, & G.H. Gunaratne, PNAS 104, 17297, 23 Oct. 2007.

Empirically Based Modeling in Finance and Beyond And Spurious Stylized Facts, 2007, Kevin E. Bassler, Gemunu H. Gunaratne, and Joseph L. McCauley, Int. Rev. Fin. An. 17, 769, 2008.

Martingales, Nonstationary Increments, and the Efficient Market Hypothesis, J.L. McCauley, K.E. Bassler, and G.H. Gunaratne, Physica 387A, 302, 2007.

Response to Worrying Trends in Econophysics, Physica A 369,343 2006.

Hurst Exponents, Markov Processes, and Nonlinear Diffusion Equations, with K. Bassler & G.Gunaratne, Physica A369, 343, 2006.

How to make Mathematical Modelling Effective in Economics,Physica 355A,1, 2005.

Economic System Dynamics, with Cornelia K├╝ffner, Discrete Dynamical Systems in Nature and Society 2004, 1, 213, 2004.

Newtonian Cosmology and Mach's Principle, Physica Scripta 63, 15, 2002.

The galaxy distribution : homogenous, fractal or neither, Fractals 6, 109(1998)

"Chaotic Dynamical Systems as Automata," Zeitschrift fur Naturforschung 42A,547(1987).