Econophysics

Vakbeschrijving Econophysics
Collegejaar: 2017-2018
Studiegidsnummer: 4062ECONO
Docent(en):
  • Dr. D. Garlaschelli
Voertaal: Engels
Blackboard: Ja
EC: 6
Niveau: 300
Periode: Semester 1
Onderwijstijd in uren
(excl. zelfstudie):
29:00 uur
  • Wel Keuzevak
  • Wel Contractonderwijs
  • Wel Exchange
  • Wel Study Abroad
  • Geen Avondonderwijs
  • Wel A-la-Carte en Aanschuifonderwijs
  • Geen Honours Class

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

Student presentations and written exam.
As homework assignment during the course, students will be forming small groups (of 2-3 students each) and each group will prepare a short presentation, to be delivered to the rest of the class, about a pre-assigned recent research article in the field of Econophysics. The topic of such articles, while being connected to the course content, will also expand beyond it and provide extra learning material for the class. Students will receive a grade for their presentations, based on the demonstrated level of understanding and clarity.
At the end of the course, a compulsory written examination will take place. If the grade of the written exam is greater than or equal to 5.5, then the final grade of the course will be calculated as the (rounded) maximum of the grade of the written exam and the 50%-5o% average of the written exam and the presentation. 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

Talen