Economy and Finance
. Social Sciences
Stock markets exhibit several universal statistical stylized facts and patterns that can be studied and modelled thanks to the large data sets available. Relevant issues can therefore be studied to obtain a better understanding of stock price movements and a better description of risk. Physics, complex systems science and their way of looking at natural phenomena have all contributed in a multidisciplinary way to this field, which, since the early 1990s, has been labelled econophysics.
UBICS researchers apply stochastic processes and other tools from the field of statistical physics to model volatility, to understand the statistics of extreme times such as first-passage time, to interpret emerging prices with agent based models and even to identify the relevant information that triggers the actions of individual traders . Other topics that have been studied recently include the economics of climate change and game theory.
Researchers involved in this line are: