Lorentz Center - Volatility of financial markets: theoretical models, forecasting and trading from 18 Oct 2004 through 29 Oct 2004
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    Volatility of financial markets: theoretical models, forecasting and trading
    from 18 Oct 2004 through 29 Oct 2004

 
Monday 18/10: Tutorials

Monday 18/10: Tutorials

09:00 – 09:45              Registration / Coffee & Tea in the Common Room

09:45 – 10:30              J-P Bouchaud: Introduction: scope and themes of the workshop

10:30 – 12:00              G Zumbach: What Can We Learn From Financial Data at High Frequency

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 16:00              A Orlean: Self-Referential Finance

17:00                            Wine & Cheese

 

Tuesday 19/10: Tutorials

09:00 – 10:30              J F Muzy: Multifractal models for asset returns: an overview

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 12:00              R Olsen: An inside view of the foreign exchange markets – what we know and do not know

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 17:00              Free presentations from participants (5 to 10 minutes each)

 

Wednesday 20/10

09:00 – 09:45              G Balkema: Multivariate high risk scenarios

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 11:45              M De Sousa: Catastrophic events in natural systems and financial markets: the self-organized critical approach

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 15:15              T di Matteo: Wealth, Productivity and Hyperbolic Networks

 

Thursday 21/10

09:00 – 09:45              E Gaffeo: Financial fragility, industrial dynamics and business fluctuations

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 11:45              A Cristian Silva: "Thermal" and "superthermal" two-class structure of personal income distribution

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 15:15              J Holyst: Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling

16:30 – 17:15              V Yakovenko: Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact

18:00                            Conference Dinner

 


Friday 22/10: Mini-symposium: Multiscale/Alternative modelling-Option pricing

09:00 – 09:45              A Nawroth: Estimations of stochastic processes from market data

09:45 – 10:30              G Zumbach: Multiscale analysis and modelization of volatility

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 11:45              C Alexander: Financial Applications of Normal Mixtures in Discrete and Continuous Time

11:45 – 12:30              L Borland: A non-Gaussian model with skew for the pricing of Options and Credit

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 15:15              S Heston: Options and Bubbles

15:15 – 16:30              J Perello/J Masoliver: The smile effect in standard stochastic volatility models

17:00 – 17:45              N Pearson: Impact of Derivatives Trading on Underlying Asset Prices

 

Monday 25/10: Mini-symposium: Market microstructure/Order book

09:00 – 09:45              X Gabaix: Looking for explanations for the cubic and half-cubic power laws of stock market activity

09:45 – 10:30              D Farmer: Volatility and its relation to liquidity and order flow

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 11:45              F Lillo: Scaling laws and price formation in microstructure of financial markets

11:45 – 12:30              A Bovier: Order book dynamics and interacting particle systems

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 15:15              B Rosenow: Price Impact and Resiliency

15:15 – 16:00              M. Potters: Random walks and liquidity molasses in financial markets

17:00 – 17:45              M Dempster: Volatility-induced financial growth

18:00                            Wine & Cheese

 

Tuesday 26/10: Correlation day

09:00 – 09:45              M Avellaneda: A market-induced mechanism for stock pinning on option expiration dates: feedback between option markets and stock markets

09:45 – 10:30              H Geman: Different Approaches to the Volatility Surface: From Lιvy processes to Local Lιvy

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 11:45              J Kertesz: Fluctuation studies of stock market data

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 15:15              Rama Cont: Threshold behavior and volatility clustering in financial markets

15:15 – 16:00              R Mantegna: Filtering of economic information from financial time series

16:45 – 17:30              M Marsili: Financial correlations, noise and the economics

 

Wednesday 27/10

09:00 – 09:45              J Perello/J Masoliver: On the exponential Ornstein-Uhlenbeck volatility model

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 11:45              R Sircar: Multiscale Stochastic Volatility Diffusion Models for Equity Options, Bonds and Defaultable Securities

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 16:00              T Lux: The Markov-Switching Multi-Fractal Model: GMM Estimation and Linear Forecasting

 

Thursday 28/10: Mini-symposium: Agent based models

09:00 – 09:45              D Challet: Finite agent memory and stylized facts

09:45 – 10:30              S. Miccichι: A Markovian Stochastic Volatility Model with Multiple Time-Scales

10:30 – 11:00              Coffee & Tea in the Common Room

11:00 – 12:00              C Chiarella: Heterogeneous Expectations and Speculative Behaviour in a Multi-Asset Dynamic Framework

12:30 – 14:00              Lunch in the Gorlaeus Canteen

14:30 – 15:15              C Hommes: Do hedging instruments stabilize markets?

15:15 – 16:00              S Bornholdt: Market in a nutshell: Ising models of speculation

17:00 – 17:45              M Raberto: Modeling and simulation of a monetary production economy with heterogeneous interacting firms

 

Friday 29/10: Conclusion/open problems/discussion

 



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