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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

LECTURE NOTES

DOCUMENTS

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

LECTURE NOTES

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

COURSE MATERIALS

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.