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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 10: Finanzm
ärkte und Risikomanagement I

AKSOE 10.1: Invited Talk

Monday, March 11, 2002, 09:30–10:15, H8

Financial markets - From statistical physics to risk management — •Jean-Philippe Bouchaud — DRECAM – SPEC, Saclay, France

Can one model, if not predict, the fluctuations of financial markets? Why are such models useful? We will discuss the importance of a scientific approach to financial markets (that dates back to Bachelier 1900) in order to meet the needs of the financial industry, which grows more and more complex (risk control, derivative markets, etc.). We will discuss several recent ideas that exploit the analogies between financial markets and some physical processes (such as turbulence, avalanches or magnetism) to build adequate models of financial risks.