ENSAE 1A - OMI 446
PHYSICS OF SOCIO-ECONOMIC SYSTEMS
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.
1. Introduction to Econophysics
2. Choice theory
3. Imitation of the peers
4. Imitation of the past
5. Fish markets
6. Financial markets
CM : M. Benzaquen, TDs : PP. Crépin, T. Dessertaine, A. Fosset, A. Karami, J. Moran, M. Tomas
Polytechnique 3A - ECO 586
PHENOMENOLOGY & MODELLING OF FINANCIAL MARKETS
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.
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
CM : M. Benzaquen, PCs : T. Dessertaine