Dr. Anatoly Schmidt Profile

Dr. Anatoly Schmidt

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Proceedings Article | 23 May 2005 Paper

What physicists should know about finance

Anatoly Schmidt

Proceedings Volume 5848, (2005) https://doi.org/10.1117/12.613074

KEYWORDS: Autoregressive models, Physics, Stochastic processes, Calculus, Statistical analysis, Mathematical modeling, Software development, Computer programming, Fractal analysis, Chaos

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There has been growing interest in Econophysics, i.e. analysis and modeling of financial time series using the theoretical Physics concepts (scaling, fractals, chaos). Besides the scientific stimuli, this interest is backed by perception that the financial industry is a viable alternative for those physicists who are not able or are not willing to pursue an academic career. However, the times when any Ph.D. in Physics had a chance to find a job on the Wall Street are gone (if they ever existed). Indeed, not every physicist wields the stochastic calculus, non-normal statistical distributions, and the methods of time series analysis. Moreover, now that many universities offer courses in mathematical finance, the applicants for quantitative positions in finance are expected to know such concepts as option pricing, portfolio management, and risk measurement. Here I describe a synthetic course based on my book [1] that outlines both worlds: Econophysics and Mathematical Finance. The course may be offered as elective for senior undergraduate or graduate Physics majors.

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