Posted April 4, 2016 by admin in Articles

[Apr04-2016] Undergraduate Course Highlight: FI3266 Econophysics

ITB
ITB

This course discuss various aspects on the application of mechanical statistics and complex systems dynamics to the current real-world economical and financial problems.

For the current semester (Sem II 2015/2016), this course is given by Dr. Acep Purqon

Topics covered in this course: Introduction and Chaos Approach, Concepts of Random walk and complexity theory, stochastic processes and self-similarity Levy and fractal approach, the Scale Data Financial, time correlation and volatility, stochastic model price dynamics, and turbulent financial markets, Nature rare event statistics, correlation and antikorelasi between stocks, Option on the market ideal and the real market.

References:

  1. N. Mantegna and H.E. Stanley, An introduction to Econophysics, 2007, Cambridge Press.
  2. J. Voit, The Statistical Mechanics of Financial Market, 2010, Springer.

 

hmahardi 2016


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