The aim of the course is to provide an overview of the subject of Econophysics, presented as an active research field with many open questions, rather than an established discipline with settled results. Economic and financial systems are regarded as stochastic complex systems with many interacting and networked units. Extensive empirical results and theoretical tools, including probability theory, random matrix theory and graph theory, are introduced.
Introduction to Econophysics
Preliminaries: probability theory
Single financial time series: stylised facts
Multiple financial time series: cross-correlations
Random Matrix Theory
Economic networks: empirical results and graph models
Economic processes on networks
Main lectures + tutorials and homework
“Econophysics: An Introduction” by S. Sinha, A. Chatterjee, A. Chakraborti, B.K. Chakrabarti (Publisher: Wiley-VCH, 2010; ISBN: 978-3-527-40815-3)
Homework assignments and written exam.
During the course, 3 homework assignments should be handed in. The final grade of the course is the (rounded) maximum of the grade of the written exam and the average between the written exam (50%) and the 3 assignments (50%).
Statistische Fysica 1
Statistische Fysica 2 is recommended.
Contact details lecturer: Dr. D. Garlaschelli
Use of the Blackboard system is required for the communication between the Instructor and the students, the distribution of the course material, the solution of exercises and the publication of all grades.