Econophysics

Course description Econophysics
Year: 2014-2015
Catalog number: 4062ECONO
Teacher(s):
  • Dr. D. Garlaschelli
Language: English
Blackboard: Yes
EC: 6
Level: 300
Period: Semester 1
  • Yes Elective choice
  • Yes Contractonderwijs
  • Yes Exchange
  • Yes Study Abroad
  • No Evening course
  • Yes A la Carte
  • No Honours Class

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

Programme form

Main lectures + tutorials and homework

Literature

“Econophysics: An Introduction” by S. Sinha, A. Chatterjee, A. Chakraborti, B.K. Chakrabarti (Publisher: Wiley-VCH, 2010; ISBN: 978-3-527-40815-3)

Schedule

Schedule

Exam

Homework assignments and written exam.
During the course, 3 homework assignments should be handed in. The final grade of the course is the (rounded) maximum of the grade of the written exam and the average between the written exam (50%) and the 3 assignments (50%).

Prerequisites

Statistische Fysica 1
Statistische Fysica 2 is recommended.

More info

Contact details lecturer: Dr. D. Garlaschelli

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.

Languages