| 11:00 - 11:30 |
Hideki Takayasu (Sony CSL, Tokyo, Japan) |
Critical Fluctuations of Demand and Supply. |
| 11:30 - !2:00 |
Neil F. Johnson (Physics Department, Oxford University, England) |
Crowd Effects and Volatility in Markets With Competing Agents. |
| 12:00 - 12:30 |
Reinaldo R. Rosa (Instituto Nacional de Pesquisas Espaciais,
Brazil) |
A Coupled Map Lattice Representation for Management and Decision
Making. |
| 16:00 - 16:30 |
Thomas Lux (Department of Economics, University of Bonn, Germany) |
Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial
Market. |
| 16:30 - 17:00 |
Stefano Galluccio (Fixed Income Research Team, Paribas, London) |
Quasi-analytical American Option Pricing in Gaussian Interest-rate
Models. |
| 17:00 - 17:30 |
Matti Estola (School of Business and Economics, Jyvaskyla Univ.,
Finland) |
On the Dynamics of Asset Prices: A Stochastic Approach. |
| 17:30 - 18:00 |
Jose Ramon Sanchez-Galan (Dpto. Economia de la Empresa,
S. Pablo Ceu University, Spain) |
Multicriteria Decision in the Analysis of Monetary Funds in the
Spanish Financial Market. |
| 18:00 - 18:30 |
Janos Kertesz (Dept. of Theoretical Physics, Technical University
of Budapest, Budapest, Hungary) |
Limits of Scaling in the Statistics of Returns in Stock Market Indices. |
| 18:30 - 19:00 |
Lutz Molgedey (Institut fuer Physik, Humbolt-Universitaet zu
Berlin, Berlin, Germany) |
Linear and Nonlinear Correlations of Implied Volatility and Its
Underlying Asset Price Returns.
|
| 09:00 - 09:30 |
Y.-C. Zhang (Institute of Theoretical Physics, Fribourg University,
Switzerland) |
Towards a Theory of a Marginally Efficient Markets (MEM). |
| 09:30 - 10:00 |
Luca Biferale (Dipartimento di Fisica, "Tor Vergata" University,
Rome, Italy) |
Transient Multiaffine Behaviors in ARCH and GARCH Processes. |
| 10:00 - 10:30 |
Angela Hilgers (Institut fuer Theoretische Physik, Aachen, Germany) |
Economic Processes Modeled by Dynamical Systems |
| 11:00 - 11:30 |
Per Bak (Niels Bohr Institute, Copenhagen, Denmark) |
Sequential Stock Markets. |
| 11:30 - 12:00 |
Matteo Marsili (SISSA, Trieste, Italy) |
On the Evolutionary Dynamics in Games. |
| 12:00 - 12:30 |
Makoto Nirei (Graduate School of Economics, University of Chicago,
USA) |
Self-Organized Criticality in a Random Network Model. |
| 16:30 - 17:00 |
Misako Takayasu (Faculty of Science and Technology, Keio Univ.,
Japan) |
Zipf's Law in Income Distribution of Comapanies. |
| 17:00 - 17:30 |
Nicolas Vandewalle (Institut de Physique, Universite de Liege,
Belgium) |
The Crossing of Mobile Averages Demystified. |
| 17:30 - 18:00 |
Balazs Janecsko (Dept. of Physics of Complex Systems, Eotvos
University, Hungary) |
Statistical Analysis of 5 s Index Data of the Budapest Stock Exchange. |
| 18:00 - 18:30 |
Stefan Zemke (DEpt. of Computer and System Sciences, Stockholm
Univ., Sweden) |
Nonlinear Index Prediction |
| 18:30 - 19:00 |
Gianaurelio Cuniberti (INFM and Dept. of Physics, Genoa Univ.,
Italy) |
Prior Information in the Bond-Future Market: a Possibility of Arbitrage? |
| 09:00 - 09:30 |
Imre Kondor (Dept. of Physics of Complex Systems, Eotvos University,
Hungary) |
Limits to Rational Portfolio Selection and Chaos in Spin Glasses. |
| 09:30 - 10:00 |
Fernando Fagundes Ferreira (Instituto de Fisica de Sao Carlos,
USP, Brazil) |
Probabilistic Analysis of the Number Partitioning Problem. |
| 10:00 - 10:30 |
Francesco Mainardi (Department of Physics, University of Bologna,
Italy) |
Discrete Random-walk Generation of Stable Laws. |
| 11:00 - 11:30 |
Angelo Vulpiani (Dipartimento di Fisica, Universita' "La Sapienza",
Roma, Italy) |
Pricing Derivatives in Incomplete Markets. |
| 11:30 - 12:00 |
Antonella Basso (Dipartimento di Matematica Applicata, Universita'
di Venezia, Italy) |
A Constrained Estimation Procedure for the Parameters of a Diffusion
Process. |
| 12:00 - 12:30 |
Patrizia Monachesi (Dipartimento di Fisica, Universita' dell'Aquila,
Italy) |
Effects of a Stochastic Volatility on the Scaling of Asset Prices. |
| 16:00 - 16:30 |
Maurizio Serva (Dipartimento di Matematica, Universita' dell'Aquila,
Italy) |
Multiscaling and Clustering of Volatility. |
| 16:30 - 17:00 |
Enrico Scalas (INFM and Dept. for Advanced Sciences and Technologies,
East-Piedmont University, Alessandria, Italy) |
Volatility in the Italian Stock Market: an Empirical Study. |
| 17:00 - 17:30 |
Ricardo Gimeno Nogues (Departemento Metodos Cuantitativos, ICADE,
Madrid, Spain) |
Stationary Tests for Financial Time Series. |
| 17:30 - 18:00 |
Zoltan Palagyi (Dept. Of Mathematics, Budapest University of
Economics, Hungary) |
Empirical Study of Stock Price Dynamics in an Emerging Market. |