Scientific Calendar Event



Description
The economy is more and more frequently regarded as a complex system of interacting agents.  Recent developments of this approach have focused on three main issues:
      i)  The heterogeneity of agents in the economy: The representative agent model, while elegant, versatile and widely accepted, is unrealistic and does not capture the variety in economic behaviour.
      ii) The ways in which agents interact: Powerful results have been derived for market-mediated economic interactions or for strategic interactions in game-theoretic settings with few agents. Many socio-economic issues call for intermediate approaches where economic interactions are non-market, non-strategic and distributed (in space-time).  Actually, the network of socio-economic interaction and its dynamics has become a subject of interest in its own.
      iii) The dynamic process which governs the evolution of the individual: The classical model where individual behaviour arises as the optimal contingent plan of actions of a deductive rational, perfectly informed utility maximizer agent, is more and more frequently replaced by models where agents learn and adapt to their economic environment. This raises the issue of understanding the collective dynamical properties of systems of boundedly (inductively) rational interacting agents. This Workshop offers a forum for presentation and discussion of the latest results on these issues.

      KEYNOTE SPEAKERS:
      J.-P. BOUCHAUD (CEA-Saclay & Science and Finance, Paris, France)
      S. METCALFE (University of Manchester, U.K.)
      J. SCHEINKMAN (Princeton University, U.S.A.)
      H.E. STANLEY (Boston University, U.S.A.)
      Y.-C. ZHANG (University of Fribourg, Switzerland)

Go to day
  • Thursday, 30 May 2002
    • 08:30 - 10:00 REGISTRATION and ADMINISTRATIVE FORMALITIES
      subsequently, with the Secretary in office no. 1
      Location: Adriatico Guest House (Lower Level 1)
      • 08:30 REGISTRATION and ADMINISTRATIVE FORMALITIES 1h30'
    • 10:00 - 10:30 COFFEE
      • 10:00 COFFEE 30'
    • 10:30 - 11:00 Opening and Welcome - Organizers
      • 10:30 Opening and Welcome - Organizers 30'
    • 11:00 - 12:00 Understanding large movements in stock market activity - empirical laws in economics uncovered using methods of statistical physics
      • 11:00 Understanding large movements in stock market activity - empirical laws in economics uncovered using methods of statistical physics 1h0'
        Speaker: H. E. STANLEY (Boston University, U.S.A.)
        Material: abstract
    • 12:00 - 12:30 Poster Presentations
      2-3 minutes for each poster
      • 12:00 Poster Presentations 30'
        Material: posters
    • 12:30 - 14:30 LUNCH
      • 12:30 LUNCH 2h0'
    • 14:30 - 14:50 A simple model of heard behaviour with realistic time series properties
      • 14:30 A simple model of heard behaviour with realistic time series properties 20'
        Speaker: ALFARANO, Simone (University of Kiel, Germany)
        Material: lecture notes
    • 14:30 - 14:50 Industrial innovations, RandD spillovers and knowledge accumulation
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:30 Industrial innovations, RandD spillovers and knowledge accumulation 20'
        Speaker: LAMANTIA, Fabio (Universita' di Calabria, Italy)
        Material: lecture notes
    • 14:30 - 14:50 Cognitive institutions and co-ordination of investment's decisions. A model of learning on an artificial stock market
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:30 Cognitive institutions and co-ordination of investment's decisions. A model of learning on an artificial stock market 20'
        Speaker: SANCHEZ, Stephane (Universite' des Sciences Sociales, Toulouse, France)
        Material: lecture notes
    • 14:30 - 16:00 PARALLEL SESSION 1
      see below
      • 14:30 PARALLEL SESSION 1 1h30'
    • 14:50 - 15:10 Herd behaviour in artificial stock markets
      • 14:50 Herd behaviour in artificial stock markets 20'
        Speaker: GARIBALDI, Ubaldo (IMEM-CFSBT-CNR, Genova, Italy)
        Material: lecture notes
    • 14:50 - 15:10 Empirical relationship between real output and financial position in G7-countries firms
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:50 Empirical relationship between real output and financial position in G7-countries firms 20'
        Speaker: PALESTRINI, Antonio (Universita' di Ancona, Italy)
    • 14:50 - 15:10 Learning strategies for global games with delayed payoffs
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:50 Learning strategies for global games with delayed payoffs 20'
        Speaker: WAN ABDULLAH, Wan Ahmad Tajuddin (University of Malaya, Kuala Lumpur, Malaysia)
        Material: lecture notes
    • 15:10 - 15:30 Herding behaviour of financial analysis: A model of self-organized criticality
      • 15:10 Herding behaviour of financial analysis: A model of self-organized criticality 20'
        Speaker: KRAUSE, Andreas (University of Bath, U.K.)
        Material: lecture notes
    • 15:10 - 15:30 New industry dynamics
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 15:10 New industry dynamics 20'
        Speaker: AOKI, Masanao (University of California at Los Angeles, U.S.A.)
        Material: lecture notes
    • 15:10 - 15:30 Give-and-Take in minority games
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 15:10 Give-and-Take in minority games 20'
        Speaker: NAMATAME, Akira (National Defense Acadmey, Yokosuka, Japan)
        Material: lecture notes
    • 15:30 - 15:50 Genetic learning and the stylized facts of foreign exchange markets
      • 15:30 Genetic learning and the stylized facts of foreign exchange markets 20'
        Speaker: LUX, Thomas (University of Kiel, Germany)
        Material: lecture notes
    • 15:30 - 15:50 Learning, heterogeneous agents and volatility persistence in real returns
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 15:30 Learning, heterogeneous agents and volatility persistence in real returns 20'
        Speaker: McNELIS, Paul (Georgetown University, Washington, U.S.A.)
        Material: lecture notes
    • 16:00 - 16:30 COFFEE
      • 16:00 COFFEE 30'
    • 16:00 - 16:30 COFFEE
      • 16:00 COFFEE 30'
    • 16:00 - 16:30 COFFEE
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 16:00 COFFEE 30'
    • 16:00 - 16:30 COFFEE
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 16:00 COFFEE 30'
    • 16:30 - 17:30 Overconfidence and speculative bubbles
      • 16:30 Overconfidence and speculative bubbles 1h0'
        Speaker: J.A. SCHEINKMAN (Princeton University, U.S.A. and Universite' Paris-Dauphine, Paris, France)
        Material: lecture notes
    • 19:00 - 19:00 INFORMAL BUFFET
      Location: Adriatico Guest House (Terrace)
      • 19:00 INFORMAL BUFFET
  • Friday, 31 May 2002
    • 09:00 - 09:20 Evolutionary bargaining with co-operative investments
      • 09:00 Evolutionary bargaining with co-operative investments 20'
        Speaker: DAWID, Herbert (University of Vienna, Austria)
        Material: lecture notes
    • 09:00 - 09:20 Traders' long-run wealth in an artifical financial market
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 09:00 Traders' long-run wealth in an artifical financial market 20'
        Speaker: RABERTO, Marco (Universita' di Genova, Italy)
        Material: lecture notes
    • 09:00 - 09:20 Mean-variance analysis in temporary equilibrium: Dynamics
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 09:00 Mean-variance analysis in temporary equilibrium: Dynamics 20'
        Speaker: RAUH, Michael (University of Liverpool, U.K.)
        Material: lecture notes
    • 09:00 - 10:30 PARALLEL SESSION 2
      see below
      • 09:00 PARALLEL SESSION 2 1h30'
    • 09:20 - 09:40 Monetary policy and the distribution of wealth: A model with heterogeneous agents, money and requests
      • 09:20 Monetary policy and the distribution of wealth: A model with heterogeneous agents, money and requests 20'
        Speaker: LONGARETTI, Riccarda (Universita' di Milano, Italy)
        Material: lecture notes
    • 09:20 - 09:40 Heterogeneous agents model with technical analysis trading systems
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 09:20 Heterogeneous agents model with technical analysis trading systems 20'
        Speaker: TERNOVSKIY, Igor (Extreme Teknology Inc., California, U.S.A.)
    • 09:20 - 09:40 Noisy covariance matrices and portfolio optimization
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 09:20 Noisy covariance matrices and portfolio optimization 20'
        Speaker: PAFKA, Szilard (Eotvos University, Budapest, Hungary)
        Material: lecture notes
    • 09:40 - 10:00 The evolution of post-secondary education: A genetic algorithm model and computational results
      • 09:40 The evolution of post-secondary education: A genetic algorithm model and computational results 20'
        Speaker: ORTMAN, Andreas (Charles University, Prague, Czech Republic)
        Material: lecture notes
    • 09:40 - 10:00 Modeling an international asset market with interacting trader
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 09:40 Modeling an international asset market with interacting trader 20'
        Speaker: KAIZOJI, Taisei (International Christian University, Tokyo, Japan)
        Material: lecture notes
    • 09:40 - 10:00 Probability distribution of returns in a model with stochastic volatility
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 09:40 Probability distribution of returns in a model with stochastic volatility 20'
        Speaker: YAKOVENKO, Victor (University of Maryland, College Park, U.S.A.)
        Material: lecture notes
    • 10:00 - 10:20 Interlock impact on corporate boards decision making
      • 10:00 Interlock impact on corporate boards decision making 20'
        Speaker: WEISBUCH, Gerard (Ecole Normale Superieure, Paris, France)
    • 10:00 - 10:20 A multi-agent simulation of speculative attacks in the interbank FX market
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 10:00 A multi-agent simulation of speculative attacks in the interbank FX market 20'
        Speaker: BOITOUT, Nicolas (Laboratoire d'Economie d'Oreleans, France)
    • 10:00 - 10:20 Risk measures and financial regulation
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 10:00 Risk measures and financial regulation 20'
        Speaker: KONDOR, Imre (Eotvos University, Budapest, Hungary)
        Material: abstract
    • 10:30 - 11:00 COFFEE
      • 10:30 COFFEE 30'
    • 10:30 - 11:00 COFFEE
      • 10:30 COFFEE 30'
    • 10:30 - 11:00 COFFEE
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 10:30 COFFEE 30'
    • 10:30 - 11:00 COFFEE
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 10:30 COFFEE 30'
    • 11:00 - 12:00 Multi-Agent Models of Financial Markets and the Stylized Facts
      • 11:00 Multi-Agent Models of Financial Markets and the Stylized Facts 1h0'
        Speaker: LUX, Thomas (University of Kiel, Germany)
    • 12:00 - 14:00 LUNCH
      • 12:00 LUNCH 2h0'
    • 14:00 - 14:20 Wealth and income distribution on hetergeneous complex networks
      • 14:00 Wealth and income distribution on hetergeneous complex networks 20'
        Speaker: SOUMA, Wataru (ATR H.I.S.L., Kyoto, Japan)
    • 14:00 - 14:20 Competition and co-operation in multi-agent fisheries
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:00 Competition and co-operation in multi-agent fisheries 20'
        Speaker: KOPEL, Michael (University of Technology, Vienna, Austria)
        Material: lecture notes
    • 14:00 - 14:20 A global optimization Heuristic for estimating agent based models
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:00 A global optimization Heuristic for estimating agent based models 20'
        Speaker: GILLI, Manfred (University of Geneva)
        Material: lecture notes
    • 14:00 - 15:30 PARALLEL SESSION 3
      see below
      • 14:00 PARALLEL SESSION 3 1h30'
    • 14:20 - 14:40 Income distribution dynamics in Japan
      • 14:20 Income distribution dynamics in Japan 20'
        Speaker: NIREI, Makoto (Santa Fe Institute, NM, U.S.A.)
        Material: lecture notes
    • 14:20 - 14:40 Convergence properties of a simple reinforcement rule in games
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:20 Convergence properties of a simple reinforcement rule in games 20'
        Speaker: WALLISER, Bernard (E.N.P.C., Paris, France)
        Material: lecture notes
    • 14:20 - 14:40 On the possibility of a general approach to the description of socio-economic systems
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:20 On the possibility of a general approach to the description of socio-economic systems 20'
        Speaker: KAIRAKBAY, Bakyt (The Mazhilis (Lower Chamber) of the Parliament of Kazakhstan)
    • 14:40 - 15:00 Minority games and stylized facts
      • 14:40 Minority games and stylized facts 20'
        Speaker: CHALLET, Damien (Dept. Theoretical Physics, Oxford University)
        Material: lecture notes
    • 14:40 - 15:00 Coalition formation with boundedly rational agents
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:40 Coalition formation with boundedly rational agents 20'
        Speaker: PACINI, Pier Mario (Universita' di Pisa, Italy)
        Material: lecture notes
    • 14:40 - 15:00 The structure of socio-economic systems
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:40 The structure of socio-economic systems 20'
        Speaker: MIMKES, Jurgen (University of Paderborn, Germany)
    • 15:00 - 15:20 A simple micro model of market dynamics
      • 15:00 A simple micro model of market dynamics 20'
        Speaker: BOTTAZZI, Giulio (Scuola Superiore Sant'Anna, Pisa, Italy)
        Material: lecture notes
    • 15:00 - 15:20 On the creation of networks and knowledge
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 15:00 On the creation of networks and knowledge 20'
        Speaker: COWAN, Robin (Universiteit Maastricht, The Netherlands)
        Material: lecture notes
    • 15:00 - 15:20 The reverse engineering of economic systems: Tools and methodology
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 15:00 The reverse engineering of economic systems: Tools and methodology 20'
        Speaker: SALZANO, Massimo (Universita' di Salerno, Italy)
    • 15:30 - 16:00 COFFEE
      • 15:30 COFFEE 30'
    • 15:30 - 16:00 COFFEE
      • 15:30 COFFEE 30'
    • 15:30 - 16:00 COFFEE
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 15:30 COFFEE 30'
    • 15:30 - 16:00 COFFEE
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 15:30 COFFEE 30'
    • 16:00 - 17:00 Why financial markets cannot be made efficient: A perspective from Minority Game
      • 16:00 Why financial markets cannot be made efficient: A perspective from Minority Game 1h0'
        Speaker: Y.-C. ZHANG (Universite' de Fribourg, Switzerland)
        Material: lecture notes
    • 17:00 - 18:00 Poster Session
      • 17:00 Poster Session 1h0'
        Material: posters
    • 19:00 - 19:00 SOCIAL DINNER
      • 19:00 SOCIAL DINNER
  • Saturday, 1 June 2002
    • 09:00 - 09:20 Clustering and self-similarity of volatility in speculative markets
      • 09:00 Clustering and self-similarity of volatility in speculative markets 20'
        Speaker: FUJIWARA, Yoshihisa (Keihanna Centre, Kyoto, Japan)
        Material: lecture notes
    • 09:00 - 09:20 Multi-issue bargaining with multiple encounters: An evolutionary social simulation
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 09:00 Multi-issue bargaining with multiple encounters: An evolutionary social simulation 20'
        Speaker: GERDING, Enrico (Centre for Mathematics & Computer Science, Amsterdam, The Netherlands)
        Material: lecture notes
    • 09:00 - 09:20 Limit pricing and entry dynamics with heterogeneous firms
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 09:00 Limit pricing and entry dynamics with heterogeneous firms 20'
        Speaker: ASADA, Toichiro (University of Bielefeld, Germany)
        Material: lecture notes
    • 09:00 - 10:30 PARALLEL SESSION 4
      see below
      • 09:00 PARALLEL SESSION 4 1h30'
    • 09:20 - 09:40 The relation between volume and volatility of financial markets stock
      • 09:20 The relation between volume and volatility of financial markets stock 20'
        Speaker: LILLO, Fabrizio (Universita' di Palermo, Italy)
        Material: abstract
    • 09:20 - 09:40 Schelling's neighborhood segregation model revisited
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 09:20 Schelling's neighborhood segregation model revisited 20'
        Speaker: VRIEND, Nicolas (Queen Mary University of London, U.K.)
    • 09:20 - 09:40 Technical progress, financial fragility, fluctuation and growth
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 09:20 Technical progress, financial fragility, fluctuation and growth 20'
        Speaker: GIULIONI, Gianfranco (Universita' di Ancona, Italy)
    • 09:40 - 10:00 A dynamic analysis of speculation across two markets
      • 09:40 A dynamic analysis of speculation across two markets 20'
        Speaker: DIECI, Roberto (Universita' di Parma, Italy)
        Material: lecture notes
    • 09:40 - 10:00 Social phase transitions
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 09:40 Social phase transitions 20'
        Speaker: LEVY, Moshe (Hebrew University, Jerusalem, Israel)
        Material: lecture notes
    • 09:40 - 10:00 Firms' failures in a macro-economy
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 09:40 Firms' failures in a macro-economy 20'
        Speaker: TAMBORINI, Roberto (University of Trento, Italy)
        Material: lecture notes
    • 10:00 - 10:20 Quantifying fluctuations in economic systems by artificial insymmetrization patterns
      • 10:00 Quantifying fluctuations in economic systems by artificial insymmetrization patterns 20'
        Speaker: MAKOWIEC, Danuta (Gdansk University, Poland)
        Material: lecture notes
    • 10:00 - 10:20 Co-ordination of decisions in a spatial model of Brownian agents
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 10:00 Co-ordination of decisions in a spatial model of Brownian agents 20'
        Speaker: SCHWEITZER, Frank (FHG-AIS, Sankt Augustin, Germany)
        Material: lecture notes
    • 10:00 - 10:20 Viability of innovation processes, emergence and stability of market structures
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 10:00 Viability of innovation processes, emergence and stability of market structures 20'
        Speaker: AMENDOLA, Mario (Universita' di Roma "La Sapienza", Italy)
        Material: lecture notes
    • 10:30 - 11:00 COFFEE
      • 10:30 COFFEE 30'
    • 10:30 - 11:00 COFFEE
      • 10:30 COFFEE 30'
    • 10:30 - 11:00 COFFEE
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 10:30 COFFEE 30'
    • 10:30 - 11:00 COFFEE
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 10:30 COFFEE 30'
    • 11:00 - 12:00 Microscopic models for long ranged volatility correlations
      • 11:00 Microscopic models for long ranged volatility correlations 1h0'
        Speaker: J-P. BOUCHAUD (C.E.A. - S.P.E.C., Gif-sur-Yvette, France and Science & Finance, Paris, France)
    • 12:00 - 14:00 LUNCH
      • 12:00 LUNCH 2h0'
    • 14:00 - 14:20 On continuous-time random walks in finance
      • 14:00 On continuous-time random walks in finance 20'
        Speaker: SCALAS, Enrico (Universita' del Piemonte Orientale, Italy)
        Material: lecture notes
    • 14:00 - 14:20 Co-ordination and self-organization in minority games: Experimental evidence
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:00 Co-ordination and self-organization in minority games: Experimental evidence 20'
        Speaker: DEVETAG, Giovanna (University of Trento, Italy)
        Material: lecture notes
    • 14:00 - 14:20 Collective behaviour - a theoretical perspective
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:00 Collective behaviour - a theoretical perspective 20'
        Speaker: SINHA, Somdatta (Centre for Cellular & Molecular Biology, Hyderabad, India)
    • 14:00 - 15:30 PARALLEL SESSION 5
      see below
      • 14:00 PARALLEL SESSION 5 1h30'
    • 14:20 - 14:40 Asset pricing with continuum of belief types
      • 14:20 Asset pricing with continuum of belief types 20'
        Speaker: DIKS, Cees (University of Amsterdam, The Netherlands)
        Material: lecture notes
    • 14:20 - 14:40 Interior collective optimum in a voluntary contribution to a public good game: An experimental approach
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:20 Interior collective optimum in a voluntary contribution to a public good game: An experimental approach 20'
        Speaker: HICHRI, Walid (Universite' d'Aix-Marseille III, France)
        Material: lecture notes
    • 14:20 - 14:40 Statistical mechanics of evolutionary games
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:20 Statistical mechanics of evolutionary games 20'
        Speaker: MIEKISZ, Jacek (University of Warsaw, Poland)
        Material: lecture notes
    • 14:40 - 15:00 Complex Price InstabiComplex Price Instability can be Beneficial in Cournot Duopoly Game
      • 14:40 Complex Price InstabiComplex Price Instability can be Beneficial in Cournot Duopoly Game 20'
        Speaker: MATSUMOTO, Akio (Chuo University, Japan)
    • 14:40 - 15:00 Social learning about consumption
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 14:40 Social learning about consumption 20'
        Speaker: CARROLL, Christopher (John Hopkins University, Baltimore, U.S.A.)
        Material: lecture notes
    • 14:40 - 15:00 Interactive agent economics: An elucidative framework and survey of results
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 14:40 Interactive agent economics: An elucidative framework and survey of results 20'
        Speaker: VERBRUGGE, Randal (Bureau of Labor Statistics, Washington, U.S.A.)
        Material: lecture notes
    • 15:00 - 15:20 Omori law after a financial market crash
      • 15:00 Omori law after a financial market crash 20'
        Speaker: MANTEGNA Rosario N. (Universita' di Palermo, Italy)
        Material: lecture notes
    • 15:30 - 16:00 COFFEE
      • 15:30 COFFEE 30'
    • 15:30 - 16:00 COFFEE + CLOSING REMARKS
      • 15:30 COFFEE + CLOSING REMARKS 30'
    • 15:30 - 16:00 COFFEE + CLOSING REMARKS
      Location: Adriatico Guest House Giambiagi Lecture Hall
      • 15:30 COFFEE + CLOSING REMARKS 30'
    • 15:30 - 16:00 COFFEE + CLOSING REMARKS
      Location: Adriatico Guest House Lundqvist Lecture Hall
      • 15:30 COFFEE + CLOSING REMARKS 30'
    • 16:00 - 16:30 CLOSING REMARKS
      • 16:00 CLOSING REMARKS 30'