RESOURCES
COURSE MATERIALS
Members of the Chair of Econophysics & Complex Systems regularly give courses on topics within the field. Included below are the supporting documents for these courses.
SEMINARS
PHYSICS OF SOCIO-ECONOMIC SYSTEMS
CM : M. Benzaquen, TDs : PP. Crépin, T. Dessertaine, A. Fosset, A. Karami, J. Moran, M. Tomas
ENSAE 1A - OMI 446
Throughout this course we shall explore how socio-economic systems can be studied from a physicist’s perspective. Building upon stylised facts revealed by empirical data, we shall focus our approach on agent-based modelling (ABM) to account for collective effects resulting from interaction, heterogeneity, irrationality, feedback and learning to name a few. In particular, we shall pay attention to keeping a good balance between mathematical analysis and intuition of the phenomena at hand; we will often use numerical simulation to go beyond to scope of analytically tractable models.
Course Outline
1. Introduction to Econophysics
2. Choice theory
3. Imitation of the peers
4. Imitation of the past
5. Fish markets
6. Financial markets
MODELLING FINANCIAL MARKETS: AN INTRODUCTION TO ECONOPHYSICS
CM : M. Benzaquen, TDs : T. Dessertaine
Polytechnique 3A - ECO 586 / PHY 560C
This course presents the approach adopted by physicists to analyze and model financial markets. Our results shall always rely on real financial data. Rather than sticking to a rigorous formalism, we seek primarily to develop one's intuition on the "mechanics" of markets, toy models, orders of magnitude, and open problems.
Course Outline
1. Empirical time series
2. Statistics of real prices
3. Why do prices change?
4. Econometric models for price changes
5. Microscopic models for price changes
6. Market impact
7. Latent order book models
8. Dimensional analysis in Finance
9. Financial engineering & derivative pricing
10. Market fairness and stability
DE LA PHYSIQUE STATISTIQUE AUX SCIENCES SOCIALES: LES DEFIS DE LA PLURIDISCIPLINARITE
CM : J.P. Bouchaud
College De France
Jean-Philippe Bouchaud illustrera dans son cours comment des idées provenant de la physique statistique des systèmes complexes peuvent se transposer en économie et en sciences sociales, en insistant en particulier sur les phénomènes collectifs, les crises, paniques et discontinuités, dont une modélisation réaliste est plus que jamais nécessaire.
Course Outline
1. Phénoménologie des marchés financiers
2. Écologie des marchés financiers
3. Organisation et microstructure des marchés
4. Modèles stochastiques de croissance multiplicative
5. Modèles d'agents vs équilibre général
6. Phénomènes collectifs, crises, discontinuités (I)
7. Phénomènes collectifs, crises, discontinuités (II)
8. Complexité et incertitude radicale
OTHER TOOLS
Python interface for the Mark-0 Agent-based Model
This small project presents a python interface for the simple Mark-0 Agent-based Model. The model is based on the work of Stanislao Gualdi, Jean-Philippe Bouchaud, Marco Tarzia, Francesco Zamponi, and Dhruv Sharma. The relevant references are given below.
Accompanying code for "Capital Demand Driven Business Cycles: Mechanisms and Effects" by Naumann-Woleske et al. (2021)
This is the accompanying code for the 2021 paper "Capital Demand Driven Business Cycles: Mechanism and Effects" by Naumann-Woleske et al.