Readings in Econophysics

Course Schedule and Readings: Physics 255 Econophysics Required Texts: R. Mantegna and H.E. Stanley, An Introduction to Econophysics, Cambridge (2000) P.R. Bevington and D.K. Robinson, Data Reduction and Error Analysis for the Physical Sciences, McGraw-Hill (1992) Optional and Other Reading: Sitabhra Sinha, Arnab Chatterjee, Anirban Chakraborti, Bikas Chrakrabarti, Econophysics, An Introduction, Wiley (2011) Paul Krugman, End This Depression Now, W.W. Norton (2012); also The Return of Depression Economics, W.W. Norton(2009) Michael Lewis, Flash Boys, W.W. Norton (2014); The Big Short, W.W. Norton (2010); and, Liars Poker, W.W. Norton (1989) Nassim Nicholas Taleb, The Black Swan, Random House (2010) William Poundstone, Fortune's Formula, Hill and Wang (2005) Justin Fox, The Myth of the Rational Market, HarperCollins (2009) Mebane Faber and Eric Richardson, The Ivy Portfolio, John Wiley (2009) Burton Makiel, A Random Walk Down Wall Street, W.W. Norton (2007) Benoit Mandelbrot and Richard L Hudson, The Misbehavior of Markets, A Fractal View of Financial Turbulence, Basic Books (2007) Michael Mauboussin, The Success Equation: Untangling Skill and Luck in Business, Sports and Investing, Harvard Business Review Press (2012) Scott Patterson, The Quants, Crown Business Press (2011); also Dark Pools, Crown Business Press (2012) D. Stauffer and A.Aharony, Introduction to Percolation, CRC Press (1991) G.A. Holton, Value-at-Risk (Online Book)
Get Adobe Acrobat Reader Please note that homework should be turned into Professor Rundle by 5:00 pm on the due date. Please also refer to the code of Academic Conduct
Web Sites with Definitions and Data Econophysics Forum (Portal) Seeking Alpha Investopedia (for explanations and definitions) MarketWatch (Market News and Information) Useful Data and Commentary: The Market Ear Seasonality: Chances of Stock Market Up or Down by Month Success/Fail Record of Professional Investors New York Fed Recession Probability Indicator Neil Howe on the Future of Society Definition of Free Cash Flow Stock Chart Technical Analysis (Free) How Banks Create Money Through Fractional Reserve Banking Stock to Flow Model for Bitcoin (2019) Bitcoin Realized Price (Current) Valuation from Bitcoin Network Effect Real Time Model of Bitcoin Value (Buy Bitcoin Worldwide) Valuing Bitcoin - Panel Discussion Crypto 2022 (31:35) The (Long) Crypto Story (Bloomberg) Beveridge Curve (BLS)
Market News and Commentary Article on the 30th Anniversary of the First ETF (SPY: 1/2023) Business Wire Article on Fennel Markets (11/2022) Could a US Market Crash Happen Soon, Similar to the UK Event? (10/2022) Inflation is Beginning to Slow Down (10/2022) Origin of Current Financial Instability (10/2022) Bitcoin Hashrate Increasing (10/2022) Is the Federal Reserve is Breaking the Financial System? (10/2022) Ron Insana: Something Big Could be About to Break in Markets (10/2022) History of Bear Markets Bill Miller on Bitcoin Bill Miller Says Bitcoin Trickle Could Turn into a Torrent
Video Links Explanation of Short Selling Warren Buffet on Ben Graham Warren Buffet on Investing Jim Simons TED Talk Bill Miller on Bitcoin Warren Buffet on Bitcoin Cathie Wood (Ark Investments) Don Tapscott on Blockchain Mechanics of Bitcoin
Quant Methods Basics of Quant Investing Ed Thorp Suzy Moat on Big Data Jim Simons on Quant Investing NY Times Article on AI CNBC Explanation of Yield Curve Inversions NY Times Article on Investing Strategy: Buy at the Close, Sell on the Open World Quant University Masters of Science in Financial Engineering
Trading Algorithms and Models 9 Tools for Algo Trading Trend Following Model A Python Trading Strategy Trading Moving Averages
Week	Reading (Topic)	Reading Assignment Chapter/Section	Projects	Project Due Date
1 January 9	Introduction to Econophysics	Power Laws Santa Fe Institute Morgan Stanley Meeting Earthquakes and Markets - I Earthquakes and Markets - II Flash Boys
2 January 16	Markets and Finance Arbitrage and Trading Terminology: Derivaties, Futures, Forwards and Options	Mantegna and Stanley Chapters 1&2 Exchanged Traded Funds Example of Technical Analysis	Project 1: Returns and Drawdowns	Tu Jan 24
3 January 23	Introduction to Probability Statistical Distributions	Random Walk Bevington and Robinson Chapters 1, 2	Project 2: Statistical Distributions	Wed Feb 15
4 January 30	Statistical Distributions (cont) Mean and Variance	Bevington and Robinson Chapter 4, Sections 4.1, 4.4 Bubbles? Network Models for the Markets Binomial Distribution Poisson Distribution Normal Distribution Levy Stable Distributions	Project 3: Future Index Values	Fri Feb 17 (short assignment)
5 February 6	Stochastic Processes - I Maximum Likelihood Monte Carlo Methods Random Walks Levy Stable Processes	Bevington and Robinson Chapter 5, Sections 5.1-5.3 Michael Mauboussin on Investing	Project 4: Fat Tails of Financial Time Series	Fri Mar 3
6 February 13	Stochastic Processes - II Convolution Fourier Transforms	Mantegna and Stanley Chapter 3, Sections 3.1-3.3	Short Paragraph on Your Proposed Project	Mon March 6
7 February 20	Stochastic Processes - III Power Spectra Financial Data	Mantegna and Stanley (Chapter 4 optional) Chapter 5 Fractal Stock Prices WSJ Opinion Stock Prices	Project 5: Volatility and Cross Correlation	Wed Mar 15
8 February 27	Statistics of Stationary Time Series, Autocorrelation, Cross-correlation Price Dynamics and Scaling	Mantegna and Stanley Chapter 6-7 Technical Comments on Markets
9 March 6 (Remote)	Correlations and Anticorrelations in Stock Portfolios; Options	Mantegna and Stanley (Chapter 8 optional) Chapter 9 Correlation and Trees	Final Project Paper Guidelines
10 March 13 (Remote)	Phase Transitions, Critical Phenomena and Market Stability Agent-Based Simulations Blockchain Technology Summary and Discussion	Mantegna and Stanley (Chapter 10-11, 13 optional) Chapter 12, 14-15		Course Projects Due by 5:00 pm Friday March 17