Introduction to Fundamental Techniques in Econophysics with Python Simulations
Jon Rodriguez Gonzalez, “Introduction to Fundamental Techniques in Econophysics with Python Simulations,” Bachelor's Thesis (Gradu Amaierako Lana), Física, University of the Basque Country (EHU), July 2025. Directed by Josu M. Igartua Aldamiz.
Prices drift like dust / Lévy leaps past Brownian calm / Markets, matrix-bound
Abstract
This work introduces the fundamentals of econophysics, building on stochasticity as the key concept linking physical systems and financial markets. It begins with Brownian motion as a first physical approach to describing markets and shows that, while useful, it fails to capture sudden price movements and extreme events. Alternative stochastic models such as Lévy flights are then examined, along with their limitation of treating single markets in isolation. The study redirects the problem toward models that account for the relationships between markets through a correlation matrix, drawing an analogy with complex nuclear systems, and transitions toward modern techniques including Random Matrix Theory and Portfolio Theory. Rather than proposing new theories, it uses the literature and self-developed Python codes to structure an accessible introduction to the discipline.
Key figures
How to cite
Jon Rodriguez Gonzalez (2025). Introduction to Fundamental Techniques in Econophysics with Python Simulations. Bachelor’s Thesis (Gradu Amaierako Lana), Física, EHU. Directed by Josu M. Igartua Aldamiz.
@mastersthesis{tfg-2025-01,
author = {Rodriguez Gonzalez, Jon},
title = {Introduction to Fundamental Techniques in Econophysics with Python Simulations},
type = {Gradu Amaierako Lana (Bachelor's Thesis)},
school = {University of the Basque Country (EHU)},
address = {Leioa, Spain},
year = {2025},
note = {Directed by Josu M. Igartua Aldamiz}
}