Abstract:
In this article, I have described an experimental econophysics course for advanced undergraduates in the Nanyang Technological University (NTU) in Singapore. This course was offered for the first time in Semester II (January–April 2013) of the 2012/2013 academic year, and is a student-led participatory learning experiment aimed at developing an open-source textbook on econophysics. The course covered an introduction to the history of econophysics, a review of probability and statistics, statistical properties of single high-frequency financial time series, correlations within a high-frequency financial time series cross section, and agent-based models of financial markets. In spite of the heavier workload resulting from the experimental course format, feedbacks from the nine students taking the course were highly positive, and an improved version of the econophysics course will be offered again in the first half of 2014.
