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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 1: Tutorial: Dynamics of Economic and Financial Systems (joint session SOE/TUT)

SOE 1.3: Tutorium

Sonntag, 17. März 2024, 17:30–18:15, H 1012

Rien ne va plus: Seemingly perfect bets and optimal portfolios, broken ergodicity, washed-out stylized facts and financial death by Black-Scholes option pricing — •Jan Nagler — Centre for Human and Machine Intelligence, Frankfurt

Let's walk the line, together, in this tutorial: From Kelly-optimal bets, blindfolded trading, volatility drag, and ergodicity, to universal power laws in financial markets. On the electronic blackboard, we will develop concepts in statistical physics suited for our guaranteed financial ruin, chasing a fundamental understanding of some concepts and how they are linked together.

Keywords: Invited Tutorial