Seminar EconoPhysics WS 98/99

Di 14.00-15.30, SR 303, TPI

Kontakt: K. Pinn, Rm 301, Tel. 83-34948, Chr. Specjalski, Rm 412, Tel. 83-34921

Mehr und mehr Physiker wenden Methoden aus der Statistischen Mechanik und anderen Gebieten der Physik auf die Modellierung ökonomischer Probleme an. Anhand von Vorträgen über ausgewählte Originalarbeiten soll ein Eindruck dieses interessanten Forschungsgebiets vermittelt werden.

``S&P 500 Index Exchange Floor''

13.10. Vorbesprechung, Themenvergabe
20.10.    1 ACE 1: Stable Marriage Problem (Christel Kamp), Skript
27.10.    2 ACE 2: Minority Game (Leo Groß)
03.11.    3 Portfolio-Optimierung (Daniel Rudolph)
10.11.    4 ACE 3: LLS-Modell (Daniel Molenda)
17.11.    5 RISK 1: Binomialmodell für Optionspreise und Hedging (Andre Ewering), Skript
24.11.    6 RISK 2: Black-Scholes (Tobias Galla),   Skript , Folien
01.12.    7 RISK 3: Beyond Black-Scholes (Jörn Voigt), Folien
08.12.    8 RISK 4: Optionspreise mit Neuronalen Netzen (Jens Fischer),   Skript , Folien
15.12.    9 SCAL 1: Random Walks und alpha-stabile Verteilungen (Felix Zantow)
22.12. 10 SCAL 2: Statistische Eigenschaften von Returns (Timo Kellmann, Roman Schmidt)
12.01. 11 SCAL 3: Modelle für Markt-Returns (Martin Jansen)
19.01. 12 Booms and Crashes (Andreas Schmitz)
26.01. 13 Gauge Theory of Finance (Florian Heitger)
02.02. 14 Diskussion, Kritik, Vorbesprechung für das nächste Semester

Arbeitsmaterial

1) Stable Marriage Problem

Scaling Behavior in the Stable Marriage Problem, M.J. Omero et al., cond-mat/9708181

2) El Farol Bar-Problem und das Minority Game

Inductive Reasoning and Bounded Rationality (The El Farol Problem), W.B. Arthur, html

Emergence of Cooperation and Organization in an Evolutionary Game, D. Challet, Y.-C. Zhang, adap-org/9708006

Adaptive Competition, Market Efficiency, Phase Transitions and Spin-Glasses, R. Savit, R. Manuca, R. Riolo, adap-org/9712006

On the Minority Game : Analytical and Numerical Studies, D. Challet, Y.-C. Zhang, cond-mat/9805084

Vortrag im Forschungsseminar SS 98, J. Göttker-Schnetmann, K. Pinn

3) Portfolio-Optimierung

Optimal Lag in Dynamical Investments, Maurizio Serva, cond-mat/9810091

4) LLS-Modell

Microscopic Simulation of the Stock Market: the Effect of Microscopic Diversity, M. Levy, H. Levy, S. Solomon, J. Phys. I (France) 5 (1995) 1087

The Complex Dynamics of a Simple Stock Market Model, Int. Journ. of High Speed Computing 8 (1996) 93

5) Binomialmodell für Optionspreise und Hedging

Chapter 2 in: Financial Calculus, An introduction to derivative pricing, M. Baxter, A. Rennie, Cambridge University Press (ca. 84 DM)

6) Black-Scholes

Options, Futures, and other Derivative Securities, J. Hull, Prentice Hall, 1989 (teuer)

The Mathematics of Financial Derivatives, P. Wilmott, S. Howison, J. Dewynne, Cambridge University Press (ca. 50 DM)

Financial Calculus, An introduction to derivative pricing, M. Baxter, A. Rennie, Cambridge University Press (ca. 84 DM)

7) Beyond Black-Scholes

The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes, J.P. Bouchaud, D. Sornette, J. Phys. I France 4 (1994) 863

L. Mikheev, J. Phys. I France 5 (1995) 217 (Kommentar zu Bouchaud Sornette)

J.P. Bouchaud, J. Phys. I France 5 (1995) 219 (Antwort darauf)

Back to basics: historical option pricing revisited, J.P. Bouchaud, M. Potters, cond-mat/9808206

8) Optionspreise mit Neuronalen Netzen
J.M. Hutchinson et al., A Nonparametric Approach to Pricing and Hedging Derivative
Securities Via Learning Networks, cbcl-publications.html

9) Grenzwertverteilungen

Anomalous Diffusion in Disordered Media: Statistical Mechanisms, Models and Physical Applications, J.-P. Bouchaud, A. Georges, Phys. Rep. 195 (1990) 127

10) Statistische Eigenschaften von Returns

Inverse Cubic Law for the Distribution of Stock Price Variations, P. Gopikrishnan et al., cond-mat/9803374

New Evidence for the power-law distribution of wealth, M. Levy, S. Solomon, Physica A 242 (1997) 90

Volatility distribution in the S&P500 Stock Index, P. Cizeau et al., cond-mat/9708143

11) Mikroskopische Marktmodelle und Skalenverhalten

Interacting Individuals Leading to Zipf's Law, M. Marsili, Y.-C. Zhang , cond-mat/9801289

Multiplicative processes and power laws, D. Sornette, cond-mat/9708231

Stochastic Lotka-Volterra Systems of Competing Autocatalytic Agents Lead Generically to Truncated Pareto Power Wealth Distribution, Truncated Levy Distribution of Market Returns, Clustered Volatility, Booms and Crashes, S. Solomon, Computational Finance 97, Sorin Solomon's home page , Agay's Tutorial

Scaling and Correlation in Financial Data, R. Cont, cond-mat/9705075

Scaling in stock market data: stable laws and beyond, R. Cont, M. Potters, J.-P. Bouchaud, cond-mat/9705087

12) Booms and Crashes

Are Financial Crashes Predictable?, L. Laloux et al., cond-mat/9804111

Large financial crashes, Didier Sornette, Anders Johansen, cond-mat/9704127

Stock market crashes are outliers, A. Johansen, D. Sornette, cond-mat/9712005

Discrete scale invariance and complex dimensions, D. Sornette, cond-mat/9707012

Crashes as Critical Points, A. Johansen et al., cond-mat/9810071

13) Gauge Theory of Finance

papers of Ilinski and coworkers on xxx.lanl.gov (wird noch weiter ausgeführt)