Economics needs a scientific revolution • What is “econophysics”? • Strengths and weaknesses of econophysics • What have econophysicists achieved?
The dynamics of price in financial markets (excluding microstructure) • Pareto distribution of wealth and sizes • Fluctuations • Networks
Order book dynamics • Order flow dynamics • Impact and liquidity • Is price dynamics exogenous or endogenous?
Risk, correlation matrices and portfolio optimisation • Random Matrix theory: bulk and edge properties • Eigenvalue and eigenvector cleaning • Generalized correlations: leader-laggers and sunspot phenomena • Extreme risks, non-linear correlations and copulas • The need for “structural” models
Rational agents and models of decision and choice • Models of bubbles, bursts and avalanches • Models of fads and opinion swings: the RFIM • Models of self referential behaviour • Models of competition – the minority game • Models of instabilities • Agent based models
Additive/multiplicative growth • Death and coalescence • Kinetic models of wealth • Non equilibrium versus equilibrium
The worrying ways of financial engineering • Option pricing: welcome to a non Black-Scholes world • Volatility modelling: GARCH and multiscale/multifractal frameworks • The hedge Monte-Carlo method • Default probabilities and extreme risk modelling • The need for “second generation” models