{"id":403,"date":"2011-04-13T14:00:59","date_gmt":"2011-04-13T13:00:59","guid":{"rendered":"http:\/\/mathfinance.sns.it\/new_site\/index.php\/statistical-phy-nance-bouchaud\/"},"modified":"2015-07-17T10:52:12","modified_gmt":"2015-07-17T09:52:12","slug":"statistical-phy-nance-bouchaud","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/statistical-phy-nance-bouchaud\/","title":{"rendered":"Jean-Philippe Bouchaud, &#8220;An introduction to Statistical Phy-nance&#8221;"},"content":{"rendered":"<p style=\"margin: 1em 0px; padding: 0px; text-align: center;\"><span lang=\"IT\" style=\"font-size: 10pt;\">Wednesday April 13 2011,<\/span><span style=\"font-size: 10pt;\">\u00a014.00 &#8211; 16.00 Aula Dini<br \/>\n<\/span><span lang=\"IT\" style=\"font-size: 10pt;\">Thursday April 14 2011,<\/span><span style=\"font-size: 10pt;\">\u00a014.00 &#8211; 16.00 Aula Dini<br \/>\n<\/span><span lang=\"IT\" style=\"font-size: 10pt;\">Friday April 15 2011,<\/span><span style=\"font-size: 10pt;\">\u00a011.00 &#8211; 13.00 Aula Fermi<br \/>\n<\/span>Scuola Normale Superiore<\/p>\n<p style=\"text-align: center;\"><b>Jean-Philippe Bouchaud<br \/>\n<\/b><span style=\"font-size: 10pt;\">Science &amp; Finance, Capital Fund Management, Paris<\/span><strong><span style=\"font-size: 10pt;\"><br \/>\n<\/span><\/strong><\/p>\n<p style=\"text-align: center;\" align=\"center\"><strong><span style=\"font-size: 10pt;\">Lecture 1. (Wednesday April 13) The dynamics of price in financial markets <\/span><\/strong><\/p>\n<ul style=\"text-align: center;\">\n<li><span style=\"font-size: 10pt;\">Fat tails and intermittent dynamics: empirical facts and models<\/span><\/li>\n<li><span style=\"font-size: 10pt;\">High frequency and seasonality effects<\/span><\/li>\n<li><span style=\"font-size: 10pt;\">Cross sectional and multivariate effects<\/span><\/li>\n<li><span style=\"font-size: 10pt;\">Correlations and copulas<\/span><\/li>\n<\/ul>\n<p class=\"contentpane\" style=\"text-align: center;\"><strong><span style=\"font-size: 10pt;\">Lecture 2. (Thursday April 14) Price formation and microstructure<\/span><\/strong><\/p>\n<ul style=\"text-align: center;\">\n<li><span style=\"font-size: 10pt;\">Order book dynamics<\/span><\/li>\n<li><span style=\"font-size: 10pt;\">Order flow dynamics<\/span><\/li>\n<li><span style=\"font-size: 10pt;\">Impact and liquidity<\/span><\/li>\n<li><span style=\"font-size: 10pt;\">Is price dynamics exogenous or endogenous?<\/span><\/li>\n<\/ul>\n<p class=\"contentpane\" style=\"text-align: center;\"><strong><span style=\"font-size: 10pt;\">Lecture 3. (Friday April 15) The world of financial derivatives<\/span><\/strong><\/p>\n<ul>\n<li style=\"text-align: center;\"><span style=\"font-size: 10pt;\">The worrying ways of financial engineering<\/span><\/li>\n<li style=\"text-align: center;\"><span style=\"font-size: 10pt;\">Option pricing: welcome to a non Black-Scholes world<\/span><\/li>\n<li style=\"text-align: center;\"><span style=\"font-size: 10pt;\">Volatility modelling: GARCH and multiscale\/multifractal frameworks<\/span><\/li>\n<li style=\"text-align: center;\"><span style=\"font-size: 10pt;\">The hedge Monte-Carlo method<\/span><\/li>\n<li style=\"text-align: center;\"><span style=\"font-size: 10pt;\">The need for &#8220;second generation&#8221; models<\/span><strong><span style=\"font-size: 10pt;\">\u00a0<\/span><\/strong><strong><span lang=\"EN-GB\"><br \/>\n<\/span><\/strong><\/li>\n<\/ul>\n","protected":false},"excerpt":{"rendered":"<p>Wednesday April 13 2011,\u00a014.00 &#8211; 16.00 Aula Dini Thursday April 14 2011,\u00a014.00 &#8211; 16.00 Aula Dini Friday April 15 2011,\u00a011.00 &#8211; 13.00 Aula Fermi Scuola Normale Superiore Jean-Philippe Bouchaud Science &amp; Finance, Capital Fund Management, Paris Lecture 1. (Wednesday April 13) The dynamics of price in financial markets Fat tails and intermittent dynamics: empirical facts [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[43],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/403"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=403"}],"version-history":[{"count":3,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/403\/revisions"}],"predecessor-version":[{"id":591,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/403\/revisions\/591"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=403"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=403"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=403"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}