black-board-formula-wallpaper-00db00342f

TEACHING

 

ENSAE 1A - OMI 446

PHYSICS OF SOCIO-ECONOMIC SYSTEMS

CM : M. Benzaquen, TDs : PP. Crépin, T. Dessertaine, A. Fosset, A. Karami, J. Moran, M. Tomas

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

SUPPORTING DOCUMENTS

Polytechnique 3A - ECO 586

PHENOMENOLOGY & MODELLING OF FINANCIAL MARKETS

CM : M. Benzaquen, TDs :  T. Dessertaine

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

SUPPORTING DOCUMENTS

College De France

DE LA PHYSIQUE STATISTIQUE AUX SCIENCES SOCIALES: LES DEFIS DE LA PLURIDISCIPLINARITE

CM : J.P. Bouchaud

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

LINK TO COURSE