The Contribution Of Econophysics To The Modeling Of Financial Markets

17.11.2008: Prof. Dr. Rosario N. Montegna (Dipartimento di Fisica, Univ. of Palermo): Since more than 15 years, a group of physicists have been investigating economic and financial systems. Among these studies, a special attention has been devoted to financial markets. These studies are using tools and concepts of statistical physics. In this talk I will present an overview of some results obtained by our research group in this field. Specifically, I will discuss the multivariate nature of the dynamics of a portfolio of stocks traded in a financial market, the peculiar dynamics of financial index fluctuations after a big financial crash and the resulting strategies empirically observed in the market dynamics of market members trading in a financial market.