FE 575 Introduction to Econophysics
The course will apply certain concepts from statistical physics to the description of real-life financial time series. It will introduce the notion of Random Walk from the physicist stand-point and propose various statistical tests as comparisons of real-life financial time series properties with those of a Random Walk. The course will introduce statistical description of financial data with emphasis on long-memory correlation functions. The course will introduce Levy stochastic processes and their analytical properties and use them to parameterize the real-life financial time series probability density functions. Through homework’s and final project, the course will stress phenomenological hands-on work with financial data. The course will culminate with the final project in which students will learn to extract the learned price anomalies through development of basic trading strategies. The dangers of over fitting of financial data will be studied through walk-forward out- of-sample trading simulations, which will teach student to become more prudent practical quantitative analysis.
Prerequisite
Graduate Student or At Least Junior
Distribution
School of Business