FY832: The physics of finance
Study Board of Science
Teaching language: Danish or English depending on the teacher, but English if international students are enrolled
EKA: N510040102
Assessment: Second examiner: None
Grading: Pass/Fail
Offered in: Odense
Offered in: Spring
Level: Master
STADS ID (UVA): N510040101
ECTS value: 5
Date of Approval: 31-10-2022
Duration: 1 semester
Version: Approved - active
Comment
Entry requirements
This course can be followed by all bachelor students in science with basic mathematical skills equivalent to first year of physics or mathematics.
Academic preconditions
Course introduction
The aim of this course is to give the students an insight into how methods from statistical physics can be used to describe financial systems. The aim of the course is therefore both to give the students a general insight into how statistical physics can be used to understand complex macroscopic systems by using financial systems as a case study, but also to give the students a basic insight into the financial systems and the models which are used to describe them.
How the course contributes to the education's competence profile:
Finance physics will enable the student to apply statistical physics’ scientific theories and methods as well as work with topics and methods from the field of statistical physics, and plan and carry out scientific projects at a high academic level. In addition, the course will contribute to the student learning to investigate a hypotheses made within statistical physics and financial physics on a qualified theoretical background and be critical of own and others' research results and scientific models. Due to the interdisciplinary nature of the course, the course will also strengthen the student's abilities to initiate and implement professional and interdisciplinary collaboration and take responsibility for their own professional development and specialization.
The course will introduce the student to basic theoretical concepts and data-analysis methods based on research at the highest international level in statistical physics and financial physics. On the basis of the laws of physics in statistical physics, the student learns to compile a mathematical description of a given physical problem and to solve it quantitatively, to use computer simulations as a scientific research tool and to solve scientific problems by using a combination of theory, numerical simulation and data. The student learns to verify the validity of put forward hypotheses by designing and performing data analysis as well as applying theoretical models and being critical of own and others' research results and scientific models. The student learns to investigate concrete phenomena theoretically and / or experimentally and thus contribute to generating new scientific insights and to creating new practical applications of physics research.
With the international dimension of financial physics, the graduate acquires competencies to handle professional and personal relationships in non-Danish cultural contexts and to understand that the approach to the subject's central topics and methods is independent of national boundaries.
Expected learning outcome
After completing the course the student is expected to:
- Have a basic understanding of stochastic systems
- Have a basic understanding of statistical physics and its applications to economical systems
- Basic understanding of quantitative financial models
Content
- Random walk
- Lévy stochastic process
- Correlations and anticorrelations
- Scales and scaling in financial data
- Stochastic models of price dynamics
- Turbulence and financial markets
- Options
Literature
Examination regulations
Exam element a)
Timing
June
Tests
Written exam
EKA
N510040102
Assessment
Second examiner: None
Grading
Pass/Fail
Identification
Full name and SDU username
Language
Normally, the same as teaching language
Examination aids
To be announced during the course
ECTS value
5
Indicative number of lessons
Teaching Method
The teaching method is based on three phase model.
- Intro phase: 24 hours of video lectures
- Skills training phase: tutorials: 12 hours.
Activities during the study phase:
- Solution of weekly assignments in order to discuss these in the exercise sections.
- Solving the project assigments
- Self study of various parts of the course material.
- Reflection upon the intro and training sections.
Teacher responsible
Timetable
Administrative Unit
Team at Educational Law & Registration
Offered in
Recommended course of study
Transition rules
Transitional arrangements describe how a course replaces another course when changes are made to the course of study.
If a transitional arrangement has been made for a course, it will be stated in the list.
See transitional arrangements for all courses at the Faculty of Science.