Econophysics and Big Data 
PY 538 Course Materials 
Photos of 2017 Class Members 
Photos of 2016 Class Members 
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(Semester II  2017)
Homework assignment 1701. 
Homework solutions 1701. 
Homework assignment 1702. 
Sample highfrequency data set for Homework assignment 1702. 
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(Semester II  2016)
Homework assignment 1601. 
Homework assignment 1602. 
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(Semester II  2017)
Slides used in Lecture #1 given on 20 January 2017. 
Slides used in Lecture #2 given on 27 January 2017. 
Slides used in Lecture #3 given on 3 February 2017. 
Slides used in Talk given by Xiangyi Meng on 3 February 2017. 
Slides used in Talk given by Tomasz Gubiec on 17 February 2017. 
Slides used in Talk given by Xiangyi Meng on 24 February 2017. 
Slides used in Talk given by Andrea Fenu (a real trader!) on 24 February 2017. 
Slides used in Talk given by Andrea Fenu on 3 March 2017. 
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R. Zhou, R. Cai, and
G. Tong "Applications of Entropy in Finance: A Review" Entropy 15, 49094931 (2013). 
M. Kolanovic "Why We Have a Correlation Bubble" J. P. Morgan: Global Equity Derivatives & Delta One Strategy (5 October 2010). 
E. E. Peters Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (John Wiley & Sons, New York, 1994). 
L. Calvert and
A. Fisher Multifractal Volatility: Theory, Forecasting, and Pricing (Academic Press, New York). 
A. Avakian "Dynamic Modeling of Systemic Risk in Financial Networks" [Dissertation] 
S. Buldyrev, F. Pammolli, M. Riccaboni, and H. E. Stanley "The Rise and Fall of Business Firms" Draft: 2/1/2017 
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(Semester II  2016)
Slides used in Lecture #1 given on 22 January 2016. 
Slides used in Lecture #2 given on 29 January 2016. 
Slides used in Lecture #3 given on 5 February 2016. 
Slides used in Lecture #5 given on 19 February 2016. 
Michael A. Salinger Lecture slides "A Statistical Physics Implementation of Coase's Theory of the Firm" 
S. V. Buldyrev, M. A. Salinger, and H. E. Stanley "A Statistical Physics Implementation of Coase's Theory of the Firm" Research in Economics 70, 536557 (2016). 
J. P. Huang "Experimental Econophysics: Complexity, SelfOrganization, and Emergent Properties" Physics Reports 564, 155 (2015). 
R. H. Coase "The Nature of the Firm" Economica 4[16], 386405 (1937). 
E. J. D. L. Pereira, M. F. da Silva, and H. B. D. Pereira "Econophysics: Past and Present" Manuscript submitted to Physica A (2016). 
Kevin Sanders Slides used in Presentation "Politics and Finance: Comparing Data" 
Kevin Sanders Student Project "Polling and Finance: An Initial Comparison" 
Jingjin Wei Slides used in Presentation "Linear and Nonlinear Preferential Attachment: Zipf's Law and Applications" 
Jingjin Wei Student Project "Application of Zipf's Law and Its Connection to Network Theory" 
Paul Z. Hanakata Slides used in Presentation "Liquidity in Markets and Its Impacts during Recession" 
Paul Z. Hanakata Student Project "Liquidity in Markets and Its Impacts during Recession" 
Ganyu Lian, Qiuxuan Lin, and Aleena Polansky Slides used in Presentation "Optimizing Portfolio based on Stock Market Latent Structure" 
Ganyu Lian and Qiuxuan Lin Student Project "Optimizing Portfolio based on Stock Market Latent Structure" 
Xiangyi Meng and Jing Ma Slides used in Presentation "A QuantumMechanics Framework of Dynamic Economics" 
Gilbert Hall Slides used in Presentation "Variance of Stock Returns" 
Gilbert Hall Student Project "Variance of Stock Returns" 
Nathan C. Frey Slides used in Presentation "Firm Growth After Dotcom" 
Nathan C. Frey Student Project "Firm Growth After Dotcom" 
Arshan Tarapore Student Project "Methods of Pricing American Options" 
Arshan Tarapore [Department of Economics, Boston University] Slides used in Presentation "Methods of Pricing American Options" 
Arshan Tarapore: Six Resources to Accompany Presentation 
[1] R. C. Merton "Theory of Rational Option Pricing" The Bell Journal of Economics and Management Science 4[1], 141183 (1973). 
[2] F. Black and M. Scholes "The Pricing of Options and Corporate Liabilities" Journal of Political Economy 81[3], 637654 (1973). 
[3] J. C. Cox, S. A. Ross, and M. Rubinstein "Option Pricing: A Simplified Approach" Journal of Financial Economics 7, 229263 (1979). 
[4] F. A. Longstaff and E. S. Schwartz "Valuing American Options by Simulation: A Simple LeastSquares Approach" The Review of Financial Studies 14[1], 113147 (2001). 
[5] G. BaroneAdesi and R. E. Whaley "Efficient Analytic Approximation of American Option Values" The Journal of Finance XLII[2], 301320 (1987). 
[6] N. Ju and R. Zhong "An Approximate Formula for Pricing American Options" Journal of Derivatives (Winter, 1999). 
Jalil Farid Slides used in Seminar "Ising Models and Contagion Pricing: Simulation and Phenomenology" 
A. Kyrtsos (Teaching Fellow) Slides used in Lecture "Random Walks in Physics and Finance" 
A. Kyrtsos (Teaching Fellow) Slides used in Lecture given on 26 February 2016 "Options and The BlackScholesMerton Model" 
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Course Resources 
H. Inaoka, H. Takayasu, T. Shimizu, T. Ninomiya, and K. Taniguchi "SelfSimilarity of Banking Network" Physica A 339, 621634 (2004). 
M. Bee, M. Riccaboni, and S. Schiavo "Pareto versus Lognormal: A Maximum Entropy Test" Phys. Rev. E 84, 026104 (2011). 
M. Bee, M. Riccaboni, and S. Schiavo "The Size Distribution of US Cities: Not Pareto, Even in the Tail" Economics Letters 120, 232237 (2013). 
E. G. J. Luttmer "Selection, Growth, and the Size Distribution of Firms" The Quarterly Journal of Economics 122[3], 11031144 (2007). 
E. G. J. Luttmer "On the Mechanics of Firm Growth" Review of Economic Studies 78, 10421068 (2011). 
A. Dragulescu and V. M. Yakovenko "Statistical Mechanics of Money" Eur. Phys. J. B 17, 723729 (2000). 
D. G. Champernowne "A Model of Income Distribution" The Economic Journal 63[250], 318351 (1953). 
US Geological Survey Chart of the 15 April 2016 Earthquake (M7.0) in Kyushu, Japan. 
E. G. Haug and N. N. Taleb "Why We Have Never Used the BlackScholesMerton Option Pricing Formula" Wilmont Magazine (January 2008). 
Y. Obayashi, P. Protter, and S. Yang "The Lifetime of a Financial Bubble" Math. Finan. Econ. DOI 10.1007/s115790160170z (2016). 
S. Battiston, J. D. Farmer, A. Flache, D.
Garlaschelli, A. G. Haldane, H. Heesterbeek, C. Hommes, C. Jaeger, R. May, and M. Scheffer "Complexity Theory and Financial Regulation" Science 351[6275], 818819 (2016). 
B. K. Chakrabarti "Can Economics Afford Not To Become Natural Science?" arXiv:1602.08248v1 [physics.histph] 26 Feb 2016. 
J. C. Hull Options, Futures, and Other Derivatives, 8th Edition (Prentice Hall, New York, 2012). 
A. Chakraborti, I. M. Toke, M. Patriarca, and F. Abergel "Econophysics Review: I. Empirical Facts" Quantitative Finance 11[7], 9911012 (2011). 
X. Gabaix "Power Laws in Economics: An Introduction" Journal of Economic Perspectives 30[1], 185206 (2016). 
V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral, and H. E.
Stanley "Universal and NonUniversal Properties of CrossCorrelations in Financial Time Series" Physical Review Letters 83, 14711474 (1999). 
V. Plerou, P. Gopikrishnan, B. Rosenow, L. A. N. Amaral, T. Guhr, and H.
E. Stanley "A Random Matrix Approach to Financial CrossCorrelations" Physical Review E 65, 066126 (2002). 
O. Peters and A. Adamou "Stochastic Market Efficiency" arXiv:1101.4548v1 [qfin.GN] 24 Jan 2011. 
O. Peters and M. GellMann "Evaluating Gambles Using Dynamics" Chaos 26, 023103 (2016). 
S. Redner "Random Multiplicative Processes: An Elementary Tutorial" American Journal of Physics 58, 267273 (1990). 
D. Stauffer and H. E. Stanley From Newton to Mandelbrot: A Primer in Theoretical Physics Chapter 5: "Fractals in Theoretical Physics" (SpringerVerlag, Heidelberg). 
Slides used in Pardee Seminar given by Marco Raberto on 27
January 2016 "CreditDriven Bubbles and Crises in the Macroeconomic and Financial System: The Eurace AgentBased Modelling Approach" 
The classic 1924 paper by Yule proposing what is now called the Yule
distribution: "A Mathematical Theory of Evolution Based on the Conclusions of Dr. J. Willis, F.R.S." 
A review of
the classic book by Harvard Professor George
Kingsley Zipf proposing what is now called the Zipf distribution:
G. K. Zipf, Human Behavior and the Principle of Least Effort:

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The following titles are available for borrowing in Room SCI 204D: 
G. Samid
Tethered Money: Managing Digital Currency
Transactions
(Elsevier Academic Press, Amsterdam, 2015).
E2012
A. ClémentGrandcourt and H. Fraysse
Hazardous Forecasts
and Crisis Scenario Generator
(Elsevier ISTE Press, London, 2015).
E2013
S. Darolles and C. Gourieroux
Contagion Phenomena with
Applications in Finance
(Elsevier ISTE Press, London, 2015).
E2014
A. A. Gushchin
Stochastic Calculus for Quantitative Finance
(Elsevier ISTE Press, London, 2015).
E2015
E. Jurczenko [ed]
RiskBased and Factor Investing
(Elsevier ISTE Press, London, 2015).
E2016
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Some items of possible interest from Spring Term 2015: 
Homework assignment 1501 due 11 February 2015. 
Solutions to assignment 1501 (in random order). 
Homework assignment 1502. 
Slides used in Lecture given on 29 January 2015. 
Slides used in Lectures 13. 
Slides used in Lectures 45. 
Materials used in Presentations by Chester Curme chester.curme@googlemail.com "StatisticallyValidated Networks" "Matrix Differentiation" "An Introduction to Portfolio Theory" "Random Matrix Approach to Cross Correlations in Financial Data" 
Materials used in Presentation by Professor Sergey Buldyrev buldyrev@verizon.net "Generalized Preferential Attachment Model" [Power Point] [PDF] 
Slides used in Presentations by Antonio Majdanzic antem.bu.edu "Dynamical Phenomena in Single and Interacting Networks" Presentation given on 17 March 2015 Presentation given on 19 March 2015 Presentation given on 31 March 2015  also  His 2014 Nature Physics Paper 
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Slides from the Short Class Presentations: 
Slides used in Presentation by Duan Wang "Application of Statistical Physics in Time Series Analysis" [Power Point] [PDF] 
Slides used in Presentation by Jan Makkinje "The Effect of Failure sites in the Asset Exchange Model" 
Slides used in Presentation by Haichen Zhan "Markowitz Efficient Frontier" [Power Point] [PDF] 
Slides used in Presentation by Sebastian Gemsheim "TimeLagged Partial Correlations of Financial Time Series with High Dimensional Conditions" 
Slides used in Presentation by Efe Yigitbasi "PCA as a Tool for Analyzing the Market" 
Slides used in Presentation by Alexandros Kyrtsos "Options Pricing using Monte Carlo Simulations" 
Slides used in Presentation by François Guay "A MarkovSwitching Stochastic Volatility Model with Jumps" 
Slides used in Presentation by Sakib Matin "Geometric Asset Exchange Market" 
Slides used in Presentation by Jonathan Wurtz "Econophysics of EVE Online" [Lite Version] [Full Version] [Power Point] [PDF] 
Slides used in Presentation by Chonkit ("Jack") Pun and Tianchi Chen "A Study on the Foreign Exchange Market" 
Slides used in Presentation by Adam Avakian "Banking Systems under Network Theory: Venezuela, 19982013" [Power Point] [PDF] 
Slides used in Presentation by Nathan Bernier "Autocorrelation and Collective Dynamics: What is Twitch Plays Pokemon?" 
Slides used in Presentation by Shawn Leahy "Structural Differences of the Brazilian Stock Market" [Power Point] [PDF] 
Slides used in Presentation by James Silva "An Econophysics Approach to Quantifying Teamwork in Basketball" 
Slides used in Presentation by Robert Singarella "Basics of the Basics" "Options" 
Slides used in Presentation by Darko Stošić and Dusan Stošić "Multifractal Behavior of Financial Time Series" [Power Point] [PDF] 
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Papers from Student Projects: 
Chon Kit Pun and Tianchi Chen "A Study on the Foreign Exchange Market" 
Alexandros Kyrtsos "European Options Pricing Using Monte Carlo Simulation" 
Haichen Zhan "An Empirical Study on Markowitz Modern Portfolio Theory" 
Sakib Matin "Geometric Asset Exchange Model" 
Efe Yigitbasi "PCA as a Tool for Analyzing the Market" 
Jonathan Wurtz "Econophysics of EVE Online" 
Jan Makkinje "The Effect of Failure Sites in the Asset Exchange Model" 
Sebastian Gemsheim "TimeLagged Partial Correlations of Financial Time Series with High Dimensional Conditions" 
Alexander Becker and ChingHao Wang "Quantitative Analysis of Foreign Exchange Rates" 
James B. Silva "An Econophysics Approach to Quantifying Teamwork in Scoring in NBA Basketball" 
Darko Stošić and Dusan Stošić "Multifractal Analysis of Managed and Independent Float Exchange Rates" 
Rashi Verma and Rajita Menon "A Simple Dynamical Model of the Stock Market" 
Fangda Xu and Xin Zhao "Generating Function Approach for Simple Random Walk" 
Bernardo J. Zubillaga Herrera "Topology, Correlations, and Opinion Weighting in a Stochastic Model of Opinion Formation" 
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Slides used in Guest Lectures by Professor Sary Levy "Economics in a Pill" "Economics & Finance Networks" 
Slides used in Guest Lecture by Professor Shinan Cao. 
"Interdependencies and Interconnectedness in the
Global Financial Village" Dr. Dror Y. Kenett Slides used in First Guest Lecture. Slides used in Second Guest Lecture. 
Slides used in Guest Lecture by Professor William Klein "The Relation Between Economic Growth and Economic Equality" 
Slides used in Guest Lecture by Hiroshi Iyetomi "Frustration in Financial Markets" 
Lecture given by Professor Irena Vodenska "Multiplex Financial Network Dependencies" 
Lecture given by Professor Fabio Pammolli "On the Growth of Business Firms" 
US Government: "Financial
Crisis Report"
(Courtesy of your classmate Robert Singarella) 
Nigel Goldenfeld's tips on "How to get a job in finance if you are a physicist." 
G. L. Vasconcelos "A Guided Walk Down Wall Street: An Introduction to Econophysics." 
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Pedagogical Resources: 
D. Sornette "Physics and Financial Economics (17762014): Puzzles, Ising and AgentBased Models" Rep. Prog. Physics 77, 062001 (2014). 
H. Markowitz "Portfolio Selection" The Journal of Finance 7[1], 7791 (1952). 
H. Aoyama, Y. Fujiwara, H. Iyetomi, and A.H. Sato [eds] "The Hitchhiker's Guide to the Economy" Progress of Theoretical Physics Supplement 194 (2012). 
S. V. Buldyrev, F. Pammolli, M. Riccaboni, and H. E. Stanley The Rise and Fall of the Firm [Book Draft  Do not circulate!]. 
R. N. Mantegna and H. E. Stanley Introduction to Econophysics: Correlations & Complexity in Finance (Cambridge University Press, Cambridge, 2000). 
J.P. Bouchaud and M. Potters Theory of Financial Risks: From Statistical Physics to Risk Management (Cambridge University Press, Cambridge, 2000). 
H. Aoyama, Y. Fujiwara, Y. Ikeda,
H. Iyetomi, and W. Souma Econophysics and Companies: Statistical Life and Death in Complex Business Networks (Cambridge University Press, Cambridge, 2010). 
J.P. Bouchaud and M. Potters "Back to Basics: Historical Option Pricing Revisited" Philosophical Transactions: Mathematical, Physical and Engineering Sciences 357, 20192018 (1999). 
AlbertLászló Barabási Network Science [Book Draft  Do not circulate!] (Northeastern University, 2014). 
G. D'Agostino and A. Scala [eds] Networks of Networks: The Last Frontier of Complexity (Springer, Berlin, 2013). 
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Simulations of Phase Flipping near a
Critical Point 