EduXchange.EU

Basic Concept of Econophysics

YFX0530
Physics and Energy

About this course

Introduction to Econophysics; definitions of main terms of finances. Markets as complex systems; chaos, fractals and multifractals (brief overview). Probability distributions: Gaussian statistics, Poisson distribution, Lévy distribution, fat tails, Pareto-Zipf’s law. Simple models of markets (efficient Market hypothesis, random walks, scaling in financial data). Stochastic processes and stochastically forced dynamical systems. Time series analysis for financial data: fractal and multifractal analysis, wavelet transform method. Single financial time series: stylized facts. Multiple financial time series: linear and nonlinear cross-correlations; factor analysis. Options and the Black-Scholes model (time dependent model for equity valuations used in option pricing). Risk management; portfolio variance minimization. Portfolio optimizations: time horizons, market predictions, market impact, and target functions.

NB! This course will take place in autumn semester 2024/2025 which starts on 2nd of September and ends 26th of January (you can find that information under Start date section). The real course start and end dates will be announced at the beginning of September at the latest.

Learning outcomes

Knows fundamental concepts and methods of econophysics: Gaussian and non-Gaussian fluctuations, power law distributions, self-affine and multifractal time series, Black-Scholes model, cross-correlations of multivariate time series and factor analysis, efficient Market hypothesis, target functions and portfolio optimization, scale-free networks.

Examination

Final assessment can consist of one test/assignment or several smaller assignments completed during the whole course. After declaring a course the student can re-sit the exam/assessment once. Assessment can be graded or non-graded. For specific information about the assessment process please get in touch with the contact person of this course. For specific information about grade transfer please contact your home university

Activities

lectures, exercises

Additional information

  • Credits
    ECTS 6
  • Level
    Bachelor
  • Contact hours per week
    4
  • Instructors
    Marco Patriarca
  • Mode of instruction
    Hybrid
If anything remains unclear, please check the FAQ of TalTech (Estonia).

Offering(s)

  • Start date

    2 September 2024

    • Ends
      26 January 2025
    • Term *
      Fall semester 2024
    • Instruction language
      English
    • Register between
      14 May - 29 Jul 2024
    Only 7 days to enrol
    Apply now
These offerings are valid for students of DTU (Denmark)