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Mechanism of price fluctuations and financial crisis
Last Updated: 2026-02-05 15:14:41
Objective
This course seeks better understanding of why financial markets boom and crash, and attempts to devises efficient methods of forecasting market crashes.
Content
The lecture summarizes and to interprets recent development in the economics on bubble and subsequent crash, including irrational exuberance and heterogeneity of opinion, etc. Furthermore, It introduces an econophysics approach to financial crises. Econophysics is a new interdisciplinary research field that incorporates insights from physics, such as (nonequilibrium) statistical mechanics and complex system into economics and finance, and attempts to model economy and financial market from a physics point of view. We will study mechanisms of bursting of bubbles and attempt to forecast bursting of bubbles from the perspective of econophysics, and deepen our comprehension of and financial market “anomalies” and financial crises that are caused by interaction and complexities of investors' behavior.
Resources
Lecture Notes
Lecture note: Handouts will be available.
Literature
Why Stock Markets Crash by D. Sornette (2003) Princeton University Press. Additional literature recommendations will be distributed during the lecture.
General Information
- Language
- English
- Levels
- MSC
Examination
- Type
- graded semester performance
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Mechanism of price fluctuations and financial crisis |
|
2 h weekly |
Offered In
-
Management, Technology and Economics Master ("Students meet Tutors" Welcome and Introduction to MSc MTEC ETH Monday, 24th september 07, 9-12h, room: HG G 60)