Physics of Financial Markets (draft)

Modern society is ever more dependent on technological innovations growing out of pure scientific research as applied in science, engineering and medicine.   It is anticipated that in the 21st century, we will see a greater use of the tools of physics, both theoretical and experimental, in the social sciences.

The Physics of Finacial Markets group at Rochester was founded as a pilot project in 2006.

Traditionally, the modeling of the Physics of Financial Markets included theoretical ideas from Statistical Mechanics and Condensed Matter Physics.  The empirical studies and analysis of the massive amounts of real time data that has been generated by financial markets require the same type of analysis techniques and tools that are used on a daily basis in Experimental Particle Physics and Observational Astronomy and Astrophysics.  Therefore, the massive investment in  analysis tools that have been developed for High Energy Physics and Astrophysics applications  can be directly applied to the gain a better underststanding of financial markets.  In addition to sophisticated statistical analysis methods and techniques, the issues that must be addressed by experimental physicists on a daily basis, including: calibrations, non-linearities, off-sets, systematic errors, and differentiation of signal from backgrounds, are the same kinds of issues that are important to address in the investigation of  the large data samples in financial markets. 

Currently, the main focus of the program a  Rochester deals with modeling of financial markets.  Professors Arie Bodek and Yonthan Shapir are part of a  collaborative program between physicists in  Department of Physics and Astronomy (currently in High Energy Physics and Condensed Matter Physics),  and physicists, mathematicians  and financial engineers in the Financial Industry.

Research Associates in Physics may apply for a one year 1/2 time positions as Financial Engineers to work on  research projects in studying and modeling of financial markets, while continuing 1/2 time  research in traditional areas of physics.  At the end of the one (or two) year  project,  Research Associates may chose to return to traditional areas of  physics,  continue on a path towards an academic career in this new interdisciplinary area, move on to positions in the financial industry. 

In future years, it is anticipated that the program will expand to offer several courses leading towards a "Certificate in the Physics of Financial Markets", and the recruitment of additional faculty.

For a partial list of Rochester Alumni in Physics and Astronomy, who are currently working in  areas related to finance, click here

Related Links

In a related research effort Prof. Charles Duke is doing research on the creation of economic value from Physical Science Research

Related programs in other departments at Rochester

Economics Department and certificate programs
Simon School of Business and Graduate Certificate Program  in Financial Analysis
Mathematics Department and   Joint Concentration in Mathematics and Statistics
Department of Statistics

Additional Links

TAQ High Frequency Finance Data Sets


Arie Bodek
Yonthan Shapir

Research Associates-Financial Engineers
Sergei Avvakumov
2nd position open
3rd position open

[space graphic] Senior Scientists/Adjunct Faculty-Financial Engineers

Haim Bodek
Thong-Wei Koh
Mark Neil Shaw

For further information, contact the Group Administrative Assistant: Connie Jones
Department of Physics & Astronomy
Bausch & Lomb 253
University of Rochester
Rochester, NY 14627-0171
(585) 275-5306

University of Rochester
Department of Physics & Astronomy
Bausch & Lomb Hall
P.O. Box 270171
500 Wilson Boulevard
Rochester, NY 14627-0171
(585) 275-4351
(585) 273-3237
  Physics and Astronomy Home Page

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