Econophysics

AY2015/2016 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.