Crisis and Networks in finance : new challenges for the industry Jointly organized by Ecole Normale Supérieure de Lyon – IXXI and LabEx ReFi , Sponsored by Vivienne investment
| Quand ? |
Du 11/04/2019 à 13:45 au 12/04/2019 à 14:30 |
|---|---|
| Où ? | Ecole Normale Supérieure de Lyon, Site Monod , Room 117 (1er étage) - Lyon |
| S'adresser à | Patrice ABRY |
| Ajouter un événement au calendrier |
vCal
iCal
|
Slides of the conferences can be downloaded at:
-------------------------
The 2008 financial crisis has been the most important threat for the world-wide banking and financial system since the market crash of October 1929 and the Great Depression. It has led to many substantial analyses not only of the origins of the crisis but also and above all of the mechanisms that enabled it to spread throughout the world and the reasons for its massive impact on the economy world-wide.
Ten years later, it is natural to wonder whether the efforts made to improve the regulation governing the economic and financial networks have been effective, whether the mechanisms inducing fast and world-wide spreading of systemic risks are better understood and controlled, and whether efficient risk management strategies have been designed and implemented.
To investigate these issues, it appears mandatory and beneficial to have recourse to the large variety of tools and concepts aiming to address the analysis of "complex systems and phenomena", stemming from many different scientific fields, ranging from econometric (structural) vs micro-founded (agent-based) modeling to graph theory and statistical signal processing.
The goal of the proposed workshop is thus to gather an interdisciplinary panel of world-leading experts from different fields of science (Accounting, Financial Economics, Mathematics, Physics, Statistics...), both from academy and industry. A series of seven presentations will hence address "Crises and network in finance" with different perspectives, such as impact of network topology, structural instabilities, extreme event forecasting, estimation in large dimension…
Venue
Attention, the place has changed, please note the new place of the workshop :
Ecole Normale Supérieure de Lyon, Site Monod, 46 allée d'Italie 69364 Lyon cedex 7. Room 117 (1st floor).
Registration
Registration is free of charge but mandatory. click HERE
Program
April 11th (Thursday)
- 13:45 Welcome address
- 14:00 Didier Sornette (ETH Zurich)
The “endo-exo” problem in financial market price fluctuations, criticality & the ARMA point process - 15:00 Luidas Giraitis (Queen Mary University)
Standard testing procedures for white noise and heteroskedasticity - 16:00 Coffee Break
- 16:30 Minyue Dong (HEC Lausanne)
Textual Analysis of Bank's Pillar 3 Documents - 17:30 Jean-Philippe Bouchaud (Capital Fund Management)
Macroeconomic instabilities in Agent Based and Network models
April 12th (Friday)
- 9:00 Thomas Lux (University of Kiel)
The Dynamics of the Interbank Market: Statistical Stylized Facts and Agent-Based Models - 10:00 Coffee break
- 10:30 Cécile Bastidon (University of Toulon and IXXI)
Graph-based era segmentation of financial globalization - 11:30 Monica Billio (Ca' Foscari University)
Disagreement in Signed Financial Networks - 12:30 Concluding Remarks
Speakers
Cecile Bastidon is associate professor at the University of Toulon (France). Her research focuses on financial integration issues in advanced and developing economies. She is also a member of the Cliometry and Complexity team (CAC, ENS Lyon, France), where she works on the network dimension of financial globalization in a cliometric perspective.
Monica Billio is professor of Econometrics and head of the Department of Economics of the Ca' Foscari University of Venice. Her main research interests include financial econometrics, business cycle analysis, dynamic latent factor models and simulation-based inference techniques. She is involved in many research projects financed by the European Commission, Eurostat and the Italian Ministry of Research (MIUR).
Jean-Philippe Bouchaud is founder and Chairman of Capital Fund Management. He has been an adjunct professor of physics at École Polytechnique since 2009 and is co-director of the CFM-Imperial Institute of Quantitative Finance at Imperial College London. His work covers the physics of disordered and glassy systems, granular materials, the statistics of price formation, stock market fluctuations and the modelling of financial risks. He has been named Quant of the Year 2017 by Risk Magazine. He is member of the French Academy of Sciences.
Minyue Dong is an associate professor of accounting at Ecole des Hautes Etudes Commerciales (HEC) de Lausanne. She is an expert in financial security and bank accounting. Professor Dong recently became co-editor of the International Journal of Accounting.
Liudas Giraitis is professor of econometrics at Queen Mary University of London. Professor Giraitis is a world-recognized expert in statistical theory, with significant experience in application to finance. He has completed extensive research on long memory and integrated I(d). His research bridges the fields of econometrics, statistics and probability theory, with a substantial emphasis on time series analysis.
Thomas Lux holds the chair of Monetary Economics and International Finance at the University of Kiel. Professor Lux has been the Head of the Research Area “Financial Markets and Macroeconomic Activity” at the Kiel Institute for the World Economy from 2008 to 2013 and the Bank of Spain Professor in Computational Economics at University Jaume I from 2011 to 2016. His research interests cover theoretical and empirical aspects of financial economics including the application of concepts from statistical physics and network theory in financial economics.
Didier Sornette is professor of Entrepreneurial Risks at ETH Zurich and has been a Swiss Finance Institute Faculty Member since 2007. Professor Sornette is the founding director of the Financial Crisis Observatory. His research interests include the development of diagnostic tools for financial market anomalies, such as price bubbles, and the prediction of financial crises. He has been elected Fellow of the AAAS for pioneering and novel developments in the prediction of crisis and extreme events in complex systems in 2014.