Physics 250/150

Econophysics:
The Statistical Physics of the Financial Markets

John Rundle
Professor of Physics and Earth & Planetary Science
jbrundle@ucdavis.edu

Winter Quarter, 2019
Physics Room 414, 1:40-3:00 pm TuTh

Office Hours:
1:00-2:00 MWF, or By Appointment
 

BACKGROUND and COURSE CONTENT: Econophysics is the application of ideas from statistical mechanics to the financial markets.  Markets are complex self-adapting systems that are observed to undergo sudden transitions such as “booms” or “bubbles” and “busts” or “crashes”. Transitions in system dynamics are associated with the nucleation and growth of fluctuations, together with a threshold in the state space of the system.  Markets are also observed to obey scaling dynamics, an interesting example being the existence of the Pareto distribution of wealth among populations.  In this course, we will introduce the dynamics of markets from a physics and systems perspective.  We will discuss the statistical distributions of returns, the phase dynamics of prices, and models for the markets.  We will discuss specific markets such as the equity stock markets (NYSE/Euronext, NASDAQ), the fixed income (bond) markets (Government and Municipals), and the commodities markets (CME and Futures).   We will discuss time-dependent models for equity valuations such as the Black-Scholes equation that are used in options pricing.  Students will be expected to contribute actively to discussions, as well as complete a project using financial data and analysis.  Familiarity with some form of computer programming is mandatory, as is a basic understanding of calculus.
 

 

 

Syllabus

Readings, Schedule, Projects

Teaching Assistant: TBD
Hours: TBD
Office: TBD
Email: TBD

See also the code of academic conduct


 

Data Sources for Financial Time Series

Yahoo Finance
NASDAQ (10 Years Max)
Quandl (Requires a Subscription)
Federal Reserve Bank of St Louis (FRED) Investing (Streaming Data - Free Sign Up)




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Notes

Lectures