International Conference on Econophysics (2011) June 4-6, 2011 East China University of Science and Technology, Shanghai ICE2011 Conference Program June 4, Yi-Fu Building, Lecture Room （逸夫楼报告厅） 8:00-8:15 School buses from Shanghai Airline Travel Hotel to Yi-Fu Building Opening ceremony Time Speaker Title 8:30-8:32 Wei-Xing Zhou Opening address 8:32-8:40 Si-Wei Cheng Greetings from Honorary President of ECUST and ICE 2011 Chairman 8:40-8:45 Xu-Hong Qian President’s welcome address 8:45-8:50 Bai-Jun Wu Dean’s welcome address 8:50-8:55 Didier Sornette ICE 2011 Chairman’s address 8:55-9:00 H. Eugene Stanley ICE 2011 Chairman’s address 9:00-9:30 Photo-taking and tea break Chairman Wei Zhang (Tianjin University, Tianjin) Time Speaker Title 9:30-10:10 H. Eugene Stanley Economic fluctuations and statistical physics: Quantifying extremely rare events with applications 10:10-10:50 Yi-Cheng Zhang Can financial markets be efficient? 10:50-11:30 Luciano Pietronero Agent based models, self-organization and systemic risk 11:30-12:00 Fabrizio Lillo How efficiency shapes market impact? 12:00-12:20 Ding Chen Quant investment: An alternative view from a practitioner 12:30-13:10 Lunch at First Dining Room 13:20-14:00 Poster Tea at Yi-Fu Building Chairman Zeng-Ru Di (Beijing Normal University) Time Speaker Title 14:00-14:40 Wei Zhang An agent-based order-driven market model with calibration by scaling analysis 14:40- 15 :10 Bing- Hong Wang Study of the evolutionary games on complex networks 15: 10 -15:40 Tiziana Di Matteo The use of dynamical correlated networks to investigate volatile markets 15:40-16:00 Mao-Fu Qiu Taijiniu investment art of war 16:00-16:20 Tea break Chairman Bo Zheng (Zhejiang University) Time Speaker Title 16:20-17:00 Didier Sornette Financial bubbles with finite-singularity models and their calibration 17:00- 17 :30 Zeng-Ru Di Detecting important nodes to community structure in complex networks 17:30-18:00 Zhong-Xing Ye Some case studies of financial data mining 18:00-18:15 School buses from Yi-Fu Building to Shanghai Airline Travel Hotel 18:30-22:00 Banquet at Shanghai Airline Travel Hotel Session A, June 5, Third Teaching Building （三教三阶上） 8:00-8:15 School buses from Shanghai Airline Travel Hotel to Third Teaching Building Chairman Woo-Sung Jung (POSTECH, Pohang) Time Speaker Title 8:30-9:00 Serge Galam Fair value and common beliefs: An application from sociophysics 9:00-9:25 Jun-ichi Inoue A statistical-mechanical modeling of labor markets 9:25-9:50 Lian-Zhong Zhang Approximate best response in volunteering public goods games 9:50-10:05 Yu Du Mixed-game behavior mining for stock market predictions 10:05-10:20 Oishi Koji Formations of exclusive communities on festival games 10:20-10:40 Tea break Chairman You-Gui Wang (Beijing Normal University, Beijing) Time Speaker Title 10:40-11:10 Misako Takayasu Application of PUCK formulation to Financial Market Fluctuations 11:10-11:35 Hong-Gang Li A consolidated model of self-fulfilling expectations and self-destroying expectations in financial markets 11:35-12:00 Li-Xin Zhong Extreme heterogeneity inhibits cooperation in coevolutionay CSG 12:00-12:15 Tong-Kui Yu Costly punishment and collective cooperation: Theory, experiment and simulation 12:15-12:30 Wei-Te Yu A web-based exchange for market research 12:30-13:10 Lunch at First Dining Room 13:20-14:00 Poster Tea at Third Teaching Building Chairman Fabrizio Lillo (Universita' di Palermo, Palermo) Time Speaker Title 14:00-14:30 Boris Podobnik Coupled Simon model: Predicting probability of bankruptcy using Zipfscaling 14:30-14:55 Yu Chen An agent-based model for the analysis of leverage limitation in financial markets 14:55-15:20 Rudolf Fiebig Simulating financial markets with a microscopic self-organizing critical model 15:20-15:45 Kun Guo Development of fictitious economy in China and its relationship with real economy: Based on thermal optimal path method 15:45-16:00 Wen Fang Voter interacting systems applied to Chinese stock markets 16:00-16:20 Tea break Chairman Diego Rybski Time Speaker Title 16:20-16:50 Ji-Ping Huang Revisiting "the invisible hand" in resource allocation 16:50-17:15 Yan-Lin He The information revelation ability of inquiry system: Evidence from China 17:15-17:40 Yong Fang Nonlinear herding mechanism and asset price evolution 17:40-17:55 School buses from Third Teaching Building to Garden Hotel 18:00-21:00 Banquet at Garden Hotel Session B, June 5, Third Teaching Building （三教三阶下） 8:00-8:15 School buses from Shanghai Airline Travel Hotel to Third Teaching Building Chairman Xiao-Song Chen (Chinese Academy of Sciences, Beijing) Time Speaker Title 8:30-9:00 Gabjin Oh Characteristics of limit order books 9:00-9:25 Vladimir Filimonov Modeling financial time series using the self-excited multifractal process 9:25-9:50 Ying Yuan Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis 9:50-10:05 Ladislav Kristoufek Multifractal height cross-correlation analysis 10:05-10:20 Hua-Xi Zhou The fat tails of price fluctuations in Chinese stock market 10:20-10:40 Tea break Chairman Boris Podobnik (University of Rijeka, Rijeka) Time Speaker Title 10:40-11:10 Bence Toth Price impact of metaorders: The latent order book 11:10-11:35 Yu Wei A copula-MFV hedging model for CSI 300 index futures 11:35-12:00 Zhi-Qiang Jiang Multifractality in financial markets: Methods and applications 12:00-12:15 Tomasz Gubiec What is the true origin of autocorrelations on a stock exchange? 12:15-12:30 Alexander Petersen Quantitative law describing market dynamics before and after interest-rate change 12:30-13:10 Lunch at First Dining Room 13:20-14:00 Poster Tea at Third Teaching Building Chairman Serge Galam (Ecole Polytechnique, Paris) Time Speaker Title 14:00-14:30 Sai-Ping Li Quantitative analysis of the stylized facts in financial markets 14:30-14:55 Woo-Sung Jung Complexity analysis on the Korean system: Financial market as an emerging market and transportation system as complex systems 14:55-15:20 Jonathan Batten Price runs, volatility and volume 15:20-15:45 Rui Gonalves Universality in stock markets fluctuations 15:45-16:00 Lei Zhang The research of returns distribution of China’s stock market based on Tsallis theory 16:00-16:20 Tea break Chairman Bence Toth (Capital Fund Management, Paris) Time Speaker Title 16:20-16:50 Tobias Preis Switching processes in financial markets 16:50-17:15 Hui-Jie Yang Hurst exponents for short time series 17:15-17:40 Yi-Ming Ding Nonstationarity measure of stock markets: Some empirical results 17:40-17:55 School buses from Third Teaching Building to Garden Hotel 18:00-21:00 Banquet at Garden Hotel Session C, June 5, Third Teaching Building （三教 107 ） 8:00-8:15 School buses from Shanghai Airline Travel Hotel to Third Teaching Building Chairman Sai-Ping Li (Academia Sinica, Taipei) Time Speaker Title 8:30-9:00 Rui Menezes The impact of financial crises in EU stock markets 9:00-9:25 Adriano Souza (by Rui Menezes) The behavior among the major stock exchanges in the world and the Brazilian BOVESPA Index 9:25-9:50 Ryszard Kutner Catastrophic bifurcation on the Warsaw stock exchange 9:50-10:05 David M. de Lachapelle Improving portfolio allocation with long-memory covariance estimators 10:05-10:20 Gao-Xiu Qiao A forward measure approach to hedging defaultable contingent claims 10:20-10:40 Tea break Chairman Ji-Ping Huang (Fudan University, Shanghai) Time Speaker Title 10:40-11:10 Diego Rybski Company networks and their correlations beyond nearest neighbors 11:10-11:35 Sofia Portela Dynamic modeling of asymmetric signals in financial markets 11:35-12:00 Tian Qiu An instantaneous cross-correlation based financial network dynamics 12:00-12:15 Shamshuritawati Sharif A social network analysis to analyze safety culture and worker behavior 12:15-12:30 Jing Deng Systemic risk and market structure 12:30-13:10 Lunch at First Dining Room 13:20-14:00 Poster Tea at Third Teaching Building Chairman Tobias Preis (Boston University, Boston) Time Speaker Title 14:00-14:25 Guillermo Sierra Juarez Options valuation, volatility and term structure model of underlying long memory features: The case of Mexican Stock Market Index 14:25-14:50 Tomasz Werner Modeling of dragon-kings 14:50-15:15 Fei Ren Reoccurrence interval analysis in Chinese stock markets 15:15-15:30 Wan-Feng Yan Inferring fundamental value and crash nonlinearity from bubble calibration 15:30-15:45 Hao Ye The analysis of financial bubble and anti-bubble based on LPPL model 15:45:16:00 Xu-Qing Huang Robustness of coupled networks under targeted attack 16:00-16:20 Tea break Chairman Hernan Rozenfeld (APS Editorial Office, New York) Time Speaker Title 16:20-16:45 Jonathan Batten Scaled volatility as a measure of market efficiency 16:45-17:10 Xin Weng The mobility of volume of Chinese stock markets 17:10-17:25 Jozef Barunik Forecasting volatility with wavelet-based realized variance estimator 17:25-17:40 Zheng Chen Function of the intrinsic value of the assets determined by the yield equation and its properties 17:40-17:55 School buses from Third Teaching Building to Garden Hotel 18:00-21:00 Banquet at Garden Hotel Session D, June 5, Third Teaching Building （三教 212 ） 8:00-8:15 School buses from Shanghai Airline Travel Hotel to Third Teaching Building Chairman Yu Chen (University of Tokyo, Tokyo) Time Speaker Title 8:30-9:00 You-Gui Wang Monetary perspective on dynamic structure of macroeconomics 9:00-9:25 B. G. Sharma Multiscale entropy analysis approach to the study of Bombay Stock Exchange Index 9:25-9:50 Mario Bertella Controversies of the neoclassical theory of finance, the behavioral finance and the agent based models 9:50-10:05 Shu-Peng Chen Bubble dynamics and trader’s behavior: A multi-agent perspective 10:05-10:20 Chao Wang Why market integration matters? 10:20-10:40 Tea break Chairman Rui Menezes (ISCTE Business School, Lisbon) Time Speaker Title 10:40-11:10 Xiao-Song Chen Principal fluctuation modes of global stock market indexes and their characters 11:10-11:35 Peng Wang Retrospect and prospect of the research on econophysics 11:35-12:00 Jiang Zhang Size-dependent distribution and allometric scaling 12:00-12:15 Jin-Zhong Guo Firm size mobility and Validity of Gibrat’s model 12:15-12:30 Hale Kirer Firm size distribution in Turkey’s top 1000 12:30-13:10 Lunch at First Dining Room 13:20-14:00 Poster Tea at Third Teaching Building Chairman Tiziana Di Matteo (King's College London, London) Time Speaker Title 14:00-14:30 Hernan Rozenfeld The area and population of cities: New insights from a different perspective on cities 14:30-14:55 Wei-Xing Zhou Complex financial networks: A brief survey 14:55-15:20 Qing-Hua Chen What is behind the individual donation? 15:20-15:45 Lei-Lei Shi Market crowd's trading conditioning and its measurement 15:45-16:00 Maciej Jagielski Comparison of households’ income in Poland with European Union and United States ones 16:00-16:20 Tea break Chairman Misako Takayasu (Tokyo Institute of Technology, Tokyo) Time Speaker Title 16:20-16:45 Javier Villarroel Effects of Non-Markoviannes in mean exit times in risk theory 16:45-17:10 Xiao-Neng Zhu A regime-switching Nelson-Siegel term structure model and interest rate forecasts 17:10-17:25 Jing Huang The time dependency of relative mobility in money exchange models 17:25-17:40 Sheng-Li Chen Forecasting stock index trend based on GA-SVM and Yin-Yang volatility on multiple time scales 17:40-17:55 School buses from Third Teaching Building to Garden Hotel 18:00-21:00 Banquet at Garden Hotel June 6, Yi-Fu Building, Lecture Room （逸夫楼演讲厅） 8:10-8:15 School buses from Shanghai Airline Travel Hotel to Yi-Fu Building Chairman Rosario N. Mantegna (University of Palermo, Palermo) Time Speaker Title 8:30-9:10 Hideki Takayasu Electronic composite currency system for aversion of instability of foreign exchange markets 9:10-9:40 Bo Zheng Cross-correlation decomposition and its application in financial systems 9:40-10:10 Fabio Pammolli Size and growth of business firms 10:10-10:30 Tea break Chairman Bing-Hong Wang (University of Science and Technology of China) Time Speaker Title 10:30-11:10 Shlomo Havlin Robustness of network of networks 11:10-11:50 Rosario N. Mantegna New approaches in the investigation of correlations of stock returns and index returns 11:50-12:00 Didier Sornette Closing remark 12:00-12:15 School buses from Yi-Fu Building to Shanghai Airline Travel Hotel 12:30-14:00 Lunch at Shanghai Airline Travel Hotel
Symposium at Complexity Center of University of Shanghai for Science and Technology Data: 3rd June 2011 In the morning, some talks would be given, but the name, titles and abstracts are not conformed yet. 13:45-14:00 President Prof. Xiaoming Xu Symposium Welcome 14:00-14:50 Prof. Gene Stanley Title: ISOLATED NETWORKS AND COUPLED NETWORKS---A BRIEF INTRODUCTION 15:00-15:50 Prof. Luciano Pietronero Title: THE ECONOMIC COMPLEXITY OF COUNTRIES AND PRODUCTS 16:00-16:50 Prof. Didier Sornette Title: TheUSstock market leads the Federal funds rate and Treasury bond yields ISOLATED NETWORKS AND COUPLED NETWORKS---A BRIEF INTRODUCTION H. Eugene Stanley Departments of Physics and Chemistry, Boston University, Boston, MA 02215 USA We will introduce the ``modern theory of networks'' in terms understandable to the nonspecialist. Then we will describe specific examples that support the idea that there are universal features that characterize networks, whether they appear in internet, airline routes, or even networks of sexual contacts. As an example, we will discuss very recent work , emphasizing its direct applicability to specific problems of preventing network breakdown. The key concept is that systems comprised of more than one network are vastly more susceptible to failure cascades than isolated networks. We also discuss potential applications to understanding financial breakdowns. This work was carried out in collaboration with a number of colleagues, chief among whom are S. Havlin R. Parshani (Bar-Ilan), S. V. Buldyrev (Yeshiva U), T. Preis and J. J. Schneider (Mainz), X. Gabaix (MIT and Princeton), X. Huang, J. Gao, V. Plerou, G. Paul, and P. Gopikrishnan (Boston University). S. V. Buldyrev, R. Parshani, G. Paul, H. E. Stanley, and S. Havlin, ``Catastrophic Cascade of Failures in Interdependent Networks'' Nature 464, 1025--1028 (2010). Accompanied by ``News Views'' article by A. Vespignani on pp. 984--985. J. Gao, S. V. Buldyrev, S. Havlin and H. E. Stanley, ``Robustness of a Network of Networks'' Phys. Rev. Lett. (under review). X. Huang, J. Gao, S. V. Buldyrev, S. Havlin, and H. E. Stanley, ``Robustness of Interdependent Networks under Targeted Attack'' Phys. Rev. Rapid Communications 83 (2011). Title: THE ECONOMIC COMPLEXITY OF COUNTRIES AND PRODUCTS Luciano Pietronero ISC-CNR and Univ. Sapienza, Roma, Italy luciano.pietronero@roma1.infn.it Abstract: We discuss a recent new approach to the complexity of countries and products in the spirit of the recent papers by Hidalgo and Hausmann (PNAS 2009). The basic information is represented by the matrix of countries and exported products. The standard economic analysis is essentially based on the GDP but the diversification of this into a series of different products provides an additional element of fitness in the spirit of biodiversification in a fluctuating enviroment. In fact the idea that specialization of countries towards certain specific products is considered as optimal in the standard analysis, but this could only be valid in a static situation. The strongly dynamical situation of the world market suggests that flexibility and adaptability are also important elements. The basic idea is to introduce a Fitness parameter for each country which is able to take into consideration this effect. Such an analysis, selfconsistently also leads to a ranking of the Quality of the products. These concepts are implemented with the use of statistical concepts inspired to the page rank (Google) problem may lead to a novel classification for the fitness of the countries and the quality of products which adds new information with respect to the standard economic analysis. This information can be used in various ways. The direct comparison of the Fitness with the country GDP gives an assessment of the non expressed potential of the country. Also for each country it is possible to define the quality of the products exported and how competitive is this country with respect to the other countries which produce the same product. Finally it is possible to make a planning for the optimal development of a country by considering its potential for adding a new product. The US stock market leads the Federal funds rate and Treasury bond yields Didier Sornette ETH Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be anti-correlated; (ii) the change in central bank rates, as a proxy of the monetary policy of the central bank, should be a predictor of the future stock market direction. Using both monthly and weekly data, we find very similar lead-lag dependence between the SP500 stock market index and the yields of bonds inside two groups: bond yields of short-term maturities (Federal funds rate (FFR), 3M, 6M, 1Y, 2Y, and 3Y) and bond yields of long-term maturities (5Y, 7Y, 10Y, and 20Y). In all cases, we observe the opposite of (i) and (ii). First, the stock market and yields move in the same direction. Second, the stock market leads the yields, including and especially the FFR. Moreover, we find that the short-term yields in the first group lead the long-term yields in the second group before the financial crisis that started mid-2007 and the inverse relationship holds afterwards. These results suggest that the Federal Reserve is increasingly mindful of the stock market behavior, seen at key to the recovery and health of the economy. Long-term investors seem also to have been more reactive and mindful of the signals provided by the financial stock markets than the Federal Reserve itself after the start of the financial crisis. The lead of the SP500 stock market index over the bond yields of all maturities is confirmed by the traditional lagged cross-correlation analysis. This TOP method used here is generic to compare two time series and is of broad interest for matching patterns in financial time series in a systematic, non-parametric and precise way.
标签: 金融物理
