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29 janvier 2019

Crises and Networks in finance : new challenges for the industry


Catégorie : Conférence internationale


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,

http://perso.ens-lyon.fr/patrice.abry, patrice.abry@ens-lyon

Yannick Malevergne, Professor of Finance, Panthéon-Sorbonne University and LabEx ReFi, France

http://perso.univ-paris1.fr/ymalevergn, yannick.malevergne@univ-paris1.fr

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 :

http://www.ixxi.fr/agenda/seminaires/crisis-and-networks-in-finance-new-challenges-for-the-industry

Rationale:

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.

 

Speakers:

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 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 :

http://www.ixxi.fr/agenda/seminaires/crisis-and-networks-in-finance-new-challenges-for-the-industry

Dans cette rubrique

(c) GdR 720 ISIS - CNRS - 2011-2018.