CDSAGENDA V.5 Workshop on Statistical Physics and Financial Markets

Workshop on Statistical Physics and Financial Markets

Cosponsor(s):

EU-NEST project COMPLEXMARKETS

Start Time:

20 April 2007 at 08:30

Ends On:

21 April 2007

Location:

Trieste - Italy

Venue:

AGH (Giambiagi Lecture Hall)

Organizer(s):

Directors: M. Marsili, A. Kirman, C. Hommes, T. Lux, M. Marchesi, M. Salmon.

Material:

no notes available

REGISTRATION AND ADMINISTRATIVE FORMALITIES

Room: Adriatico Guest House (Lower Level 1)

20 April 2007

08:30
09:30

Registration

01h00'

SESSION 1

Chairperson: Matteo Marsili - I.C.T.P. Trieste, Italy

Room: Adriatico Guest House Giambiagi Lecture Hall

20 April 2007

09:30
10:15

Invited talk:

Critical Phenomena in portfolio selection

45'

Imre Kondor
Collegium Budapest-Institute for Advanced Study, Hungary

10:15
10:45

Phase transition in operational risk

30'

abstract

Kartik Anand
King's College London, U.K.

10:45
11:15

Coffee break

30'

11:15
11:45

Optimal portfolio policies under fixed and proportional transaction costs

30'

abstract

Albrecht Irle
University of Kiel, Germany

11:45
12:15

A multi-asset market model with CAPM traders

30'

Paolo Pin
International Centre for Theoretical Physics, Trieste, Italy

12:15
12:45

Preferred Habitat, Time deformation and the Yield Curve

30'

abstract

Mark Salmon
Warwick Business School, Coventry, U.K.

12:45
14:00

Lunch break

01h15'

SESSION 2

Chairperson: Mark Salmon - Warwick Business School, U.K.

Room: Adriatico Guest House Giambiagi Lecture Hall

20 April 2007

14:00
14:45

Invited talk:

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'

Didier Sornette
ETH Zurich, Switzerland

14:45
15:15

Should Network Structure Matter in Agent-Based Finance?

30'

Simone Alfarano and Mishael Milakovic
University of Kiel, Germany

15:15
15:45

Which market protocols facilitate fair trading?

30'

Marco Li Calzi and Paolo Pellizzari
University of Venice, Italy

15:45
16:15

Bilateral bargaining vs. descending auctions: an agent based comparison

30'

Sonia Moulet and Alan Kirman
GREQAM, France

16:15
16:45

Coffee break

30'

16:45
17:15

On the physics of Schelling segregation model

30'

Luca Dall'Asta
International Centre for Theoretical Physics, Trieste, Italy

17:15
17:45

Schelling's model with income differences and a house market

30'

Alan Kirman - GREQAM, France
Dejan Vinkovic - Institute for Advanced Study, Princeton, USA

17:45
19:00

Round Table Discussion

Risk/Policy Implications/Complexity in EU markets

01h15'

19:30
19:30

Social Dinner

SESSION 3 (Saturday)

Chairperson: Neeraj Khare - Indian Institute of Technology

Room: Adriatico Guest House Giambiagi Lecture Hall

21 April 2007

09:00
09:45

Invited talk:

The Stochastic Price Dynamics of Speculative Behaviour

45'

Carl Chiarella
University of Technology, Sydney, Australia

09:45
10:15

Informational differences and learning in an asset market with boundedly rational agents

30'

Cees Diks
University of Amsterdam, Netherlands

10:15
10:45

Heterogeneous Beliefs under Different Market Architectures

30'

Mikhail Anufriev
University of Amsterdam, Netherlands

10:45
11:15

Coffee break

30'

11:15
11:45

Parameter Estimation for Stochastic Models of Interacting Agents: An Approximate ML Approach

30'

abstract

Thomas Lux
University of Kiel, Germany

11:45
12:15

Modeling a simulation of the interplay among stock

30'

Sabrina Ecca and Michele Marchesi
University of Cagliari, Italy

12:15
12:45

An agent-based model with fundamentalists' reaction to sentiment

30'

Nektaria Karakatsani
Warwick Business School, Coventry, U.K.