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Symposium on agent-based modeling, risk, and finance

Yi-Cheng Zhang

posted on 16 October 2007


Can physicists beat the markets?

A retrospective of the first ten years of Econophysics and prospects.



(An event by invitation only (matus.medo@unifr.ch), University of Fribourg, Switzerland,

8-9 November 2007, sponsored by Fribourg Univ. and La Sapienza Univ.)






Dear Colleagues,

The Econophysics movement is ten years old-counting the first econophysics meeting in Budapest in the summer 1997-so is the Minority Game. On this occasion, we will gather both academic and industry researchers to discuss mostly two themes: what physics can and will bring to economic and financial modeling, and what it can say about beating the markets.

Econophysics has not much studied risk, devoting more attention to simple models of financial markets. However, agent-based models have little reason not to include risk in the behaviour of the agents. It is therefore about time to attract the attention of econophysics to risk in general, and in agent-based models in particular. The quality of people from the risk industry giving talks at the conference will certainly provide very stimulating exchanges and perspectives.

The other theme we wish to be discussed is market inefficiency: is the oft-used academic assumption of market efficiency still acceptable for practitioners? How to model, measure and exploit inefficiencies in financial markets?

Ten years is a long period in the Internet age. We wonder where the econophysics movement is heading. On the surface, one may say that less conferences are around; many have predicted the demise of the ‘fad’ (see Philippe Ball last year’s ranting). However we note that econophysicists just do different things these days, hang out less among themselves, being more and more integrated into ‘real things’. Ten years ago, we were talking toy models, today if you don’t see some noted physicists speaking at conferences, it’s quite safe to assume he’s too busy at beating the market. Serious monies are reported to have been made. For example among the academic stars like Bouchaud and Potters, their company manages several billions of Euros. Others play with lesser amounts, but returns are also heard to be fabulous. The question if markets can be beaten or not is probably less interesting than how it can be beaten. This symposium will be an occasion to have our past and current colleagues to offer some retrospectives of the path we’ve trodden, and most importantly, where we’d go for the next ten years or more.

Organisers:

  • Dr D. Challet, Fribourg University and ISI
  • Dr. A. De Martino, La Sapienza University, Rome, Italy
  • Prof. Y-C Zhang, Fribourg University

Confirmed speakers:

  • Christophe Aebischer, SwissRe
  • Damien Challet, Physics Department, Fribourg and ISI Turin
  • Ton Coolen, King's College, London
  • Michel Dacorogna, Scor
  • Stéphane Daul, RiskMetrics
  • Andrea De Martino, La Sapienza, Rome
  • Tobias Galla, Theoretical Physics, Manchester
  • Marc Potters, Capital Fund Management
  • Didier Sornette, ETH, Zürich
  • Yi-Cheng Zhang, Physics Department, Fribourg
  • Gilles Zumbach, RiskMetrics

To be confirmed:

  • Matteo Marsili, ITCP, Trieste