This session mainly aims at presenting Econophysics research in mainland China. Mainland scholars are encouraged to submit their papers to this session, which will simplify the visa process. This session welcomes submissions from all branches of Econophysics. Note that submissions from non-mainland Econophysists are also welcome.
This session has a broad theme and includes such issues as Minsky theory, the theory of heterogenous agents applied to a myriad of cases such as double option markets and the theory of heterogenous agents.
Social and economic networks representing various interactions of households, firms, countries, etc. have a profound impact on performance of economic systems. Complex interdependencies of economic relations affect the behavior of actors and also evolve together with their behavior. Theoretical (including simulational) studies of networks are invited for this session.
This session will highlight novel approaches to solving economically important but computationally challenging problems. The session will be specifically oriented towards presenting and sharing algorithms and codes for solving particular classes of models. This session is devoted to tools and techniques specifically for solving models with heterogeneous agents or occasionally binding constraints. In addition to these ''more formal'' presentations, there may be follow-up poster sessions or hands on bring-your-laptop sessions. Please use the ''Submitter's Comments'' field to indicate that you might be interested in presenting at sessions like these. (#cef15cmethods, @cef15computation)
The session targets new research papers on stochastic models of interacting autonomous agents, with a particular focus on policy design and addressing policy related questions within the framework of agent-based models. The main intended areas of applications are financial markets and macroeconomic systems, although other applications are welcome as well. The emphasis should be on the valued addition of an agent-based modelling approach in terms of explaining observed regularities as emergent macroscopic outcomes of the dispersed interactions of economic agents.
This session focuses on new research papers concerning the econometric issues related to stochastic models of interacting autonomous agents. We invite papers attempting to estimate and validate multi-agent models and to test their goodness of fit vis-a vis more traditional approaches. The main intended areas of applications are financial markets and macroeconomic systems, although submissions relating to other areas are welcome as well.
The transformation of the major stock exchanges into electronic financial markets and the capacity to collect and store market and customers' information offer the opportunity to explore large amount of heterogeneous information using data driven methods such as machine learning and social network analysis. This session invites researchers working on the intersection of finance, machine learning and/or social network analysis that would like to submit papers in the following, although not exclusive, areas:
automated trading systems
financial fraud detection
portfolio optimization and risk management
financial analytics (i.e. customer segmentation and targeting).
The recent financial crisis has underlined the importance of financial stability and systemic risk, and the monitoring and regulation of systemic risk has become a major concern for regulators, governments and financial institutions. The linkages created by liabilities among financial institutions play a crucial role, but they are poorly understood. Insights from the crisis include the importance of interconnectedness in financial markets, the insufficiency of monitoring the stability of individual financial institutions. Understanding the structures of financial networks holds the key to understanding its function and the investigations of their network properties gain more attention. Useful insights may also be gained from analogous problems related to a large-scale instability of networked systems with many feedback loops in other disciplines. This special session brings together academicians working in the area of economics and finance, network science, data analytics and other related desplines to stimulate the academic discourse on the generation of aggregate risk through network interactions. Topics of interests include, but are not limited to:
Big data analytics for systemic risk
Business cycles, crisis event analysis
Data coverage and availability
Design and analysis of stress tests
Early warning systems for financial instability
Empirical studies on structure and dynamics of financial networks
Mathematical modeling and interdisciplinary approaches for systemic risk
Metrics and indicators for systemic risk and systemic importance
Modeling and simulations of financial networks
Monitoring systemic risk: Data, models and metrics
Monitoring channels of contagion
Network analysis tools
Regulating systemic risk: Insights from mathematical modeling
Risk monitoring and evaluation on complex networks
The session will include papers that employ quantitative asset pricing models and empirical methods to explain the dynamics of house prices and mortgage debt , including the implications for monetary and macroprudential policy.
The session targets on the latest development on limit order markets, with a particular focus on stylized facts, high frequency trading, learning and order submission behavior in limit order markets within the framework of agent-based models.
The session focuses on recent development of asset pricing and portfolio optimization within the framework of bounded rationality. In particular, papers that help to explain market anomalies and explore optimal trading strategies based on market anomalies are invited.
The session includes papers that extrapolate risk measures from financial market products, in particular non-standard and newly-introduced assets; give an interpretation of these risks; and link them to more traditional financial assets.
This sessions illustrates how theoretical and computationally-based models of closed and open economies incorporate the dynamics of income inequality. Particular focus will be on the effectiveness of short and longer term structural adjustments (for example trade and openness) on the adjustment of inequality.
Germán G. Creamer, PhD Associate
Professor Stevens Institute of Technology Hoboken, NJ 07302
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