

The Science of Risk
Jun 30, 2023
Jean-Philippe Bouchaud, expert in combining physics and finance, discusses disciplined applications for random matrix theory, scenario generation with agent-based models, and lost decades. They explore the challenges of measuring correlations, the use of shrinkage methods and random matrix theory. They highlight the importance of agent-based models in understanding complex systems in fields like traffic flow and financial markets. They delve into risk in financial markets, including fat tails in distribution, stylized facts, and limitations of a physics-based approach. They also discuss modeling the world, examining collective effects and cognitive biases, and analyzing risk through a historical lens.
Chapters
Transcript
Episode notes
1 2 3 4 5 6
Introduction
00:00 • 5min
Challenges and Solutions in Measuring Correlations
04:45 • 5min
Agent-Based Models: Simulating Emergent Phenomena
09:44 • 15min
Understanding Risk in Financial Markets
24:27 • 6min
Modeling the World and Universal Principles in Economics and Markets
30:09 • 3min
Analyzing Risk in the Financial Markets Through a Historical Lens
32:55 • 4min