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Title: EconoPhysics in Stock Markets and Derivatives Semester: Spring (2nd)
Tutors: Lykourgos Magkafas, Professor – Panagiotis Argyrakis, Professor


Course Outline:

Introduction to Stock Markets and Derivatives. Efficient market hypothesis. Forward, Future and Future Option Contracts. Determination of the Prices. Strategies of Future Options. Other type of Derivatives. Analysis of Future Markets using Physical Models (Statistical Mechanics, Chaos, Neural Nets, etc). Detecting extreme behavior of a Financial Time Series. Correlation of the Financial Markets under a strong Financial turbulence – The effect on Future and Future Options. Numerical procedure. Application of Physical Models to risk analysis in Stock Markets and Derivatives and real time procedure.


This course aims to the understanding of the operation of Stock Markets and Derivatives and their dynamic behavior. Also, the course aims to the application of Physical Models in Finance data in order to estimate the risk of an investments as well as to detect the possibility of the upcoming Financial turbulence. Finally, the course aims that students to be able to apply Physical Models in Financial time series data in real time procedure.

Learning objectives:

Understand the dynamics of the markets as a complex phenomenon based on a variety of many factors, not amenable under one analytical formalism. Use Physical and Computational models to Financial data. Application of this analysis on real time data.

On completion of this module, students are expected to be able to:

  • Understand the operation of stock markets and derivatives.
  • Understand and handle financial time series for a variety of different products.
  • Estimate the risk of Investment.
  • Recognize and understand financial bubbles and other violent fluctuations in markets.
  • Apply these knowledge on Derivatives in real time data.

Suggested for further reading:

1. Joseph L. McCauley, “Dynamics of Markets: Econophysics and Finance”, Cambridge University Press, 2004.

2. John C. Hull, “Options, Futures, & Other Derivatives”, Prentice Hall Upper Saddle River, New Jersay, 2008.

3. Rosario N. Mantegna and H. Eugene Stanley, “An Introduction to Econophysics: Correlations and Complexity in Finance”, Cambridge University Press, 2000.

4. Jean-Philippe Bouchaud and Marc Potters, “Theory of Financial Risks: From Statistical Physics to Risk Management”, Cambridge University Press, 2000.

5. Benoit Mandelbrot and Richard L. Hudson, “The (mis)behavior of Markets: A Fractal View of Risk, Ruin and Reward”, Basic Books, 2004.

6. Les Kirkup, “Data Analysis with Excel: An Introduction for Physical, Scientists”, Cambridge University Press, 2002.

7. Frantisek Slanina “Essentials of Econophysics Modelling” Oxford University Press, USA 2014.

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