Crises and Networks in finance : new challenges for the industry
11-12 April 2019 - Ecole Normale Supérieure de Lyon
Proposed by :
Patrice Abry, CNRS, Directeur de Recherche, at ENS Lyon, France,
Yannick Malevergne, Professor of Finance, Panthéon-Sorbonne University and LabEx ReFi, France
Organized and funded by
Institut des Systèmes complexes de Lyon (IXXI, http://www.ixxi.fr)
Laboratoire d’Excellence Régulation Financière (ReFi, http://labex-refi.com)
See details at :
In 2008, the global economy experienced a major financial crisis, the so-called "sub-prime crisis", regarded
by experts as a major threat for the world-wide banking and financial system. This has thus 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 therefore 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 new 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 (likely) seven presentations will hence address "Crises and network in
finance" with different perspectives, such as impact of network topology, characterization of graph dynamics,
ability to and relevance of clustering and classification, machine learning, financial time series multivariate
statistical analysis, extreme event forecasting, estimation in large dimension.
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
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 worldrecognized
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.
See details at :
(c) GdR 720 ISIS - CNRS - 2011-2018.