Crises and Networks in finance :
New challenges for the industry
11-12 April 2019
Jointly organized by Ecole Normale Supérieure de Lyon – IXXI and LabEx ReFi
Sponsored by Vivienne investment
The 2008 financial crisis has been the most important threat for the world-wide banking and financial system since the market crash of October 1929 and the Great Depression. It has 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 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 efficient 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 seven presentations will hence address « Crises and network in finance » with different perspectives, such as impact of network topology, structural instabilities, extreme event forecasting, estimation in large dimension…
April 11th (Thursday)
13:45 Welcome address
14:00 Didier Sornette (ETH Zurich)
The “endo-exo” problem in financial market price fluctuations, criticality & the ARMA point process
15:00 Luidas Giraitis ( Queen Mary University)
16:00 Coffee Break
16:30 Minyue Dong (HEC Lausanne)
17:30 Jean-Philippe Bouchaud (Capital Fund Management)
Macroeconomic instabilities in Agent Based and Network models
April 12th (Friday)
9:00 Thomas Lux (University of Kiel)The Dynamics of the Interbank Market: Statistical Stylized Facts and Agent-Based Models
10:00 Coffee break
10:30 Cécile Batisdon (Toulon University and IXXI)
Graph-based era segmentation of financial globalization
11:30 Monica Billio (Ca’ Foscari University)
12:30 Concluding Remarks
Venue : Ecole Normale Supérieure de Lyon, Descartes Campus, 46 allée d’Italie 69364 Lyon cedex 7. Room D2 128.
Registration : Registration is free of charge but mandatory. click HERE