Econophysics & Complex Systems
Capital Fund Management Research Chair at Ecole polytechnique
Who are we?
We are a dynamic research group based at Ecole polytechnique, a leading French institute which combines top-level research, academics, and innovation at the cutting-edge of science and technology. Just 20 km south of Paris, we benefit of a beautiful campus spanning almost 160 hectares. Our approach is primarily empirical. We work in close collaboration with Capital Fund Management, one of the world's leaders in alternative investment management, counting a very pleasant space in the heart of Paris, and a large team of world-renowned experts in the field of quantitative finance.
The success of zero-intelligence “hydrodynamic” models comforted us in the idea that market dynamics can, to a large extent, be understood from a purely mechanical endogenous perspective, in conflict with most economical models. In particular models need no exogenous ingredients to be able to reproduce a number of well-established empirical findings. We notably investigate the mechanics of market impact, and work at understanding what can trigger market instabilities, a question of indisputable economical and societal importance.
Economic history is strewn with bubbles and crashes, booms and busts, crises and upheavals of all sorts. Understanding their origin is arguably one of the most important problems in economic theory. Models inspired from statistical physics have shown that interactions, heterogeneities and slow learning processes can be responsible for strong nonlinearities and prevent socially optimal equilibria from being reached. To note, Adam Smith’s invisible hand can fail badly at solving simple coordination problems. Big data now allows to challenge empirically the predictions of such models.