Section 1: Foundations of Rational Finance with Information Frictions
1. Rational Expectations, No-Arbitrage, and Market Equilibrium
2. Information, Signals, and State Variables in Finance
3. Asset Pricing with Frictions, Constraints, and Incomplete Markets Section 2: Price Formation and Market Microstructure
4. Order Flow, Liquidity, and Information Revelation
5. Price Impact, Trading Costs, and Expected Returns
6. Microstructure Noise and Econometric Bias
7. Intraday Dynamics and the Transition to Long Horizon Prices Section 3: Statistical Fluctuations and Econophysics
8. Stylized Facts: Heavy Tails, Scaling, and Volatility Clustering
9. Levy Processes, Long Memory, and Regime Switching
10. Endogenous Risk and Feedback Effects
11. Statistical Physics versus Econometric Identification Section 4: Technical Indicators as Rational Information Filters
12. Trends, Momentum, and State Estimation
13. Volatility Indicators and Risk Forecasting
14. Mean Reversion, Oscillators, and Market Regimes
15. When Technical Predictability Is Spurious Section 5: Financial Econometrics and Learning
16. Filtering, State-Space Models, and Signal Extraction
17. Model Uncertainty, Robust Estimation, and Misspecification
18. Linking Signals to Risk Premia
19. Forecast Evaluation and Economic Significance Section 6: Portfolio Theory with Endogenous Dynamics
20. Portfolio Choice with Time-Varying Risk Premia
21. Dynamic Allocation, Timing, and Rebalancing
22. Liquidity-Aware and Volatility-Targeted Portfolios
23. Stress Testing and Scenario Analysis Section 7: Synthesis and Implications
24. Unified Information-Based Asset Pricing: Introduction
25. What Survives Rationally from Microstructure, Physics, and Technical Analysis
26. Open Problems and Research Frontiers