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Hipotesis of effectice market 3. Random walks 4. Financial time scales: analysis of empirical data 6. Stationarity and non-stationarity 7.

Correlations in financial time series 8. Stochastic models of prices dynamics 9.


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Scaling, corrections to scaling, and breaking of scaling Financial markets and turbulence Microscopic microeconomical models of financial markets Modern theory of risk: 'Value at Risk' Taxonomy of stock portfolio Options on ideal market Options on real market. To pass exam it is necessary: 1 to obtain acceptance of the training 2 to obtain more than half amount of points from homework exercises and colloquiums 3 the presence on training and lectures is obligatory since their have a unique character and the way of presentation.

Paul, J.

Econophysics: The Future of Economics? (Christophe Schinckus & Tobias Preis)

Baschnagel, Stochastic Processes. From Physics to Finance. Weron, R.


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  • Mantegna, H. Stanley, An Introduction to Econophysics.

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    Bouchaud, M. Potters, Theory of Financial Risks. From Statistical Physics to Risk Management. Recently, a vast amount of market data has become available allowing empirical studies of market behavior to be performed.

    Consentaneous Agent-Based and Stochastic Model of the Financial Markets

    In the econophysics group at the University of Houston, we begin with these empirical studies to measure what the statistical properties of actual dynamics of markets are and then model that behavior mathematically. The models we create and study vary from discrete agent-based ones appropriate for short-time scale behavior to continuous stochastic ones appropriate for longer time scale behavior. There are many interesting and important open questions about market dynamics that interest us. These include questions about how to properly measure and explain the important properties of market dynamics, about the stability of markets, and about what the differences are in the behavior of different types of markets.

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    We are also interested in how the dynamics of markets impacts society. The faculty member in the econophyiscs group include Professors Joseph L.