Workshop on Statistical Physics and Financial Markets | (smr 1835)
Go to day
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08:30 - 09:30
Registration
Location: Adriatico Guest House (Lower Level 1) - 08:30 Registration 1h0'
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09:30 - 10:15
Critical Phenomena in portfolio selection
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10:15 - 10:45
Phase transition in operational risk
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10:15
Phase transition in operational risk
30'
Speaker: Kartik Anand (King's College London, U.K.) Material: abstract
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10:15
Phase transition in operational risk
30'
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10:45 - 11:15
Coffee break
- 10:45 Coffee break 30'
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11:15 - 11:45
Optimal portfolio policies under fixed and proportional transaction costs
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11:15
Optimal portfolio policies under fixed and proportional transaction costs
30'
Speaker: Albrecht Irle (University of Kiel, Germany) Material: abstract
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11:15
Optimal portfolio policies under fixed and proportional transaction costs
30'
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11:45 - 12:15
A multi-asset market model with CAPM traders
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11:45
A multi-asset market model with CAPM traders
30'
Speaker: Paolo Pin (International Centre for Theoretical Physics, Trieste, Italy)
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11:45
A multi-asset market model with CAPM traders
30'
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12:15 - 12:45
Preferred Habitat, Time deformation and the Yield Curve
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12:15
Preferred Habitat, Time deformation and the Yield Curve
30'
Speaker: Mark Salmon (Warwick Business School, Coventry, U.K.) Material: abstract
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12:15
Preferred Habitat, Time deformation and the Yield Curve
30'
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12:45 - 14:00
Lunch break
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12:45
Lunch break
1h15'
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12:45
Lunch break
1h15'
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14:00 - 14:45
1-The illusion of control in Minority and Parrondo games
2-A two-factor asset pricing model and the power law distribution of firm sizes
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14:00
1-The illusion of control in Minority and Parrondo games
2-A two-factor asset pricing model and the power law distribution of firm sizes
45'
Speaker: Didier Sornette (ETH Zurich, Switzerland)
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14:00
1-The illusion of control in Minority and Parrondo games
2-A two-factor asset pricing model and the power law distribution of firm sizes
45'
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14:45 - 15:15
Should Network Structure Matter in Agent-Based Finance?
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14:45
Should Network Structure Matter in Agent-Based Finance?
30'
Speaker: Simone Alfarano and Mishael Milakovic (University of Kiel, Germany)
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14:45
Should Network Structure Matter in Agent-Based Finance?
30'
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15:15 - 15:45
Which market protocols facilitate fair trading?
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15:15
Which market protocols facilitate fair trading?
30'
Speaker: Marco Li Calzi and Paolo Pellizzari (University of Venice, Italy)
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15:15
Which market protocols facilitate fair trading?
30'
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15:45 - 16:15
Bilateral bargaining vs. descending auctions: an agent
based comparison
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15:45
Bilateral bargaining vs. descending auctions: an agent
based comparison
30'
Speaker: Sonia Moulet and Alan Kirman (GREQAM, France)
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15:45
Bilateral bargaining vs. descending auctions: an agent
based comparison
30'
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16:15 - 16:45
Coffee break
- 16:15 Coffee break 30'
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16:45 - 17:15
On the physics of Schelling segregation model
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16:45
On the physics of Schelling segregation model
30'
Speaker: Luca Dall'Asta (International Centre for Theoretical Physics, Trieste, Italy)
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16:45
On the physics of Schelling segregation model
30'
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17:15 - 17:45
Schelling's model with income differences and a house market
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17:15
Schelling's model with income differences and a house market
30'
Speaker: Alan Kirman - GREQAM, France (Dejan Vinkovic - Institute for Advanced Study, Princeton, USA)
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17:15
Schelling's model with income differences and a house market
30'
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17:45 - 19:00
Risk/Policy Implications/Complexity in EU markets
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17:45
Risk/Policy Implications/Complexity in EU markets
1h15'
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17:45
Risk/Policy Implications/Complexity in EU markets
1h15'
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19:30 - 19:30
Social Dinner
- 19:30 Social Dinner
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08:30 - 09:30
Registration
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09:00 - 09:45
The Stochastic Price Dynamics of Speculative Behaviour
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09:00
The Stochastic Price Dynamics of Speculative Behaviour
45'
Speaker: Carl Chiarella (University of Technology, Sydney, Australia)
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09:00
The Stochastic Price Dynamics of Speculative Behaviour
45'
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09:45 - 10:15
Informational differences and learning in an asset market with boundedly rational agents
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09:45
Informational differences and learning in an asset market with boundedly rational agents
30'
Speaker: Cees Diks (University of Amsterdam, Netherlands)
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09:45
Informational differences and learning in an asset market with boundedly rational agents
30'
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10:15 - 10:45
Heterogeneous Beliefs under Different Market Architectures
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10:15
Heterogeneous Beliefs under Different Market Architectures
30'
Speaker: Mikhail Anufriev (University of Amsterdam, Netherlands)
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10:15
Heterogeneous Beliefs under Different Market Architectures
30'
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10:45 - 11:15
Coffee break
- 10:45 Coffee break 30'
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11:15 - 11:45
Parameter Estimation for Stochastic Models of Interacting Agents: An Approximate ML Approach
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11:15
Parameter Estimation for Stochastic Models of Interacting Agents: An Approximate ML Approach
30'
Speaker: Thomas Lux (University of Kiel, Germany) Material: abstract
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11:15
Parameter Estimation for Stochastic Models of Interacting Agents: An Approximate ML Approach
30'
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11:45 - 12:15
Modeling a simulation of the interplay among stock
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11:45
Modeling a simulation of the interplay among stock
30'
Speaker: Sabrina Ecca and Michele Marchesi (University of Cagliari, Italy)
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11:45
Modeling a simulation of the interplay among stock
30'
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12:15 - 12:45
An agent-based model with fundamentalists' reaction to sentiment
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12:15
An agent-based model with fundamentalists' reaction to sentiment
30'
Speaker: Nektaria Karakatsani (Warwick Business School, Coventry, U.K.)
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12:15
An agent-based model with fundamentalists' reaction to sentiment
30'
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09:00 - 09:45
The Stochastic Price Dynamics of Speculative Behaviour