Introduction to econophysics

(in Polish) Wymagane są podstawowe informacje na poziomie statystyki dla fizyków a w tym przede wszystkim elementy teorii procesów Markowa, dynamiki stochastycznej (ruchy Browna), strategii baeysowskiej w rachunku prawdopodobieństwa. Ponadto, potrzebna jest znajomość rozkładu dwumianowego i rozkładu Bernoulliego.

Blended learning
Self-reading

The main goal of lectures and training is to consider the concepts, models, methods and techniques taken from the physics and related ones applied to analysis of financial markets and their verification by using the corresponding empirical data. Of course, the natural overlap with financial mathematics and econometrics is emphasized.

Since several decades, the study of complex systems by using the concepts, models, methods and techniques has been performed mainly within the condensed matter physics, statistical physics and physics of chaos. Among complex systems, the financial markets are particularly intriguing for scientists the more so they are monitored continuously all the time supplying a lot of empirical data (in the format ready for numerical calculations). In present century a number of publications (particularly books) concerning econophysics strongly increased which requires to teach students the basis for understanding the results given there. The schedule of lectures is as follows:

1. Introduction and motivation

2. Hipotesis of effectice market

3. Random walks

4. Lévy stochastic processes (flights and walks) and Central Limit Theorem

5. Financial time scales: analysis of empirical data

6. Stationarity and non-stationarity

7. Correlations in financial time series

8. Stochastic models of prices dynamics

9. Scaling, corrections to scaling, and breaking of scaling

10. Financial markets and turbulence

11. Microscopic (microeconomical) models of financial markets

12. Modern theory of risk: 'Value at Risk'

13. Taxonomy of stock portfolio

14. Options on ideal market

15. Options on real market

To pass exam it is necessary:

1) to obtain acceptance of the training

2) to obtain more than half amount of points from homework exercises and colloquiums

3) the presence on training and lectures is obligatory since their have a unique character and the way of presentation

Wybrane elementy materiału z wykładów można znaleźć na stronie internetowej: http://www.fuw.edu.pl/studia/md/notatki/npswnp/

Prepared by Ryszard Kutner, February 2008.

1. W. Paul, J. Baschnagel, Stochastic Processes. From Physics to Finance.

2. A. Weron, R. Weron, Inżynieria finansowa: Wycena instrumentów pochodnych, Symulacje komputerowe, Statystyka rynku.

3. R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics. Correlations and Complexity in Finance, (istnieje polski przekład pt.: Ekonofizyka. Wprowadzenie).

4. J.-P. Bouchaud, M. Potters, Theory of Financial Risks. From Statistical Physics to Risk Management.

5. B.M. Roehner, Patterns of Speculation. A Study in Observational Econophysics.

6. I. Kondor, J. Kertesz (Eds.), Econophysics an Emerging Science.

7. J.-P. Bouchaud, M. Marsili, B.M. Roehner (Eds.), Application of Physics in Economic Modelling. Physica A 299, Nos.1-2 (2001).

8. D. Sornette, Critical Phenomena in Natural Sciences. Chaos, Fractals, Selforganization and Disorder: Concepts and Tools.

9. D. Sornette, Why Stock Markets Crash: Critical Events in Complex Financial Systems.

10. W. Schoutens, Levy Processes in Finance: Pricing Financial Derivatives.

http://www.fuw.edu.pl/studia/md/notatki/npswnp/

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