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AY2014/2015 Semester 2
This course introduces statistical physics-inspired approaches to economics and finance. Review basic concepts in probability and statistics. Low- and high-frequency data in economics and finance. Gaussian and fat-tailed return distributions. Autocorrelation, memory, and nonstationarity in time series data. Cross correlations in financial markets. Random matrix theory. Correlation filtering and minimal spanning trees. Time series clustering. Agent-based models of financial markets. Stylized facts from simulation results.
| AUs | 3.0 AUs |
| Categories | CoreBDE |
| Not Available To All Programme With | (Admyr 2004-2010) |
| Mutually Exclusive With | PAP446 |
| Exam |
| Mon | Tue | Wed | Thu | Fri | ||
|---|---|---|---|---|---|---|
| 930 | COMMON LEC (LE) 0930-1030 Wed SPMS-TR+19 Even Weeks | 73251 TUT (T) 0930-1030 Wed SPMS-TR+19 Even Weeks | ||||
| 1000 | ||||||
| 1030 | COMMON LEC (LE) 1030-1230 Mon SPMS-TR+19 | |||||
| 1100 | ||||||
| 1130 | ||||||
| 1200 | ||||||
