Introduction to econophysics 1101-4Eko23

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.