Prospectus

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Econophysics

Course 2015-2016

Admission Requirements

Successfully completing the “Statistische Fysica 1” course (or equivalent if coming from a different university).

Description

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.

Topics:
• 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

Course objectives

  • understanding what types of scientific problems the field of Econophysics deals with; – understanding the evolution of the research questions in the field; – acquiring a sufficient knowledge of probability theory to be applicable to Econophysics problems; – acquiring a scientific perspective giving priority to reconciling models with empirical data, rather than opting for mathematical tractability.

Timetable

Rooster

Mode of instruction

Classroom lectures (combination of slides and blackboard), classroom tutorials, homework assignments and independent study.

Assessment method

Homework assignments and written exam (short questions). During the course, 3 homework assignments should be handed in. If the written exam is above 5.5, then the final grade of the course is the (rounded) maximum of the grade of the written exam and the weighted average between the written exam (50%) and the 3 assignments (50%). If the final grade is not successful (below 6/10), or if the written exam is not successful (below 5.5), students can take a written retake exam and the final grade will be recalculated using the same rules as above.

Blackboard

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.
To have access to Blackboard you need a ULCN-account.Blackboard UL

Reading list

Required: course slides and other notes/material (available on BlackBoard).
Suggested: textbook “Econophysics: An Introduction” by S. Sinha, A. Chatterjee, A. Chakraborti, B.K. Chakrabarti (Publisher: Wiley-VCH, 2010; ISBN: 978-3-527-40815-3).

Contact

Contact details lecturer: Dr. D. Garlaschelli