13 Apr

Jean-Philippe Bouchaud, “An introduction to Statistical Phy-nance”

Wednesday April 13 2011, 14.00 – 16.00 Aula Dini
Thursday April 14 2011, 14.00 – 16.00 Aula Dini
Friday April 15 2011, 11.00 – 13.00 Aula Fermi
Scuola Normale Superiore

Jean-Philippe Bouchaud
Science & Finance, Capital Fund Management, Paris

Lecture 1. (Wednesday April 13) The dynamics of price in financial markets

  • Fat tails and intermittent dynamics: empirical facts and models
  • High frequency and seasonality effects
  • Cross sectional and multivariate effects
  • Correlations and copulas

Lecture 2. (Thursday April 14) Price formation and microstructure

  • Order book dynamics
  • Order flow dynamics
  • Impact and liquidity
  • Is price dynamics exogenous or endogenous?

Lecture 3. (Friday April 15) The world of financial derivatives

  • The worrying ways of financial engineering
  • Option pricing: welcome to a non Black-Scholes world
  • Volatility modelling: GARCH and multiscale/multifractal frameworks
  • The hedge Monte-Carlo method
  • The need for “second generation” models