Finance: theory and agent-based models

DownloadOut-of-equilibrium nonlinear financial economics (PDF, 4.2 MB): The financial bubble experiment at ETH Zurich, reverse engineering of financial markets with agent-based models and the illusion of control, multifractal endogenous econometric models for augmented variance estimators and forecasting, time-dependent lead-lag in econometric and quantum decision theory, keynote address at the International Conference on Financial System Engineering and Risk Management, held by Huazhong University of Science and Technology (Wuhan, China), October 15 - 16, 2011

DownloadPhysics and Economics (1776-2011): Inter-breeding, Discoveries and Open Problems (PDF, 4 MB), talk presented at the Colloquium Ehrenfest in Leiden, October 12, 2011.
Started by Paul Ehrenfest in 1912, it has an illustrious and well-documented history (external pageColloquium Ehrenfestii). The colloquium culminates with the speaker signing "Ehrenfest's wall", a tradition that dates back to the first colloqiua by Einstein, Bohr, Planck and many other great contributors to modern physics.
Organized by Koenraad Schalm and Peter Denteneer, Lorentz Institute for Theoretical Physics, LION, Leiden University.

Closing Remarks on Download"Visions on the future of econophysics" (PDF, 1.1 MB) as co-chairman of the International Conference of Econophysics (ICE) at the East China University of Science and Technology (ECUST), June 6, 2011

DownloadTheory of Zipf's law and beyond (PDF, 1.7 MB)
Seminar at the IMT Institute for Advanced Studies. Lucca, Italy. Invited by Fabio Pammolli, Director and Professor of Economics and Management, IMT Institute for Advanced Studies Lucca, Lucca, Italy, September 20, 2010

DownloadA solution of the excess volatility puzzle; a generic emergent property of collective agent models (PDF, 4.9 MB)
Seminar presented at the Universidade NOVA de Lisboa Economia Gestao, invited by Prof. P. Santa-Cara, Lisboa, Portugal, September 4, 2010

DownloadPhysics and Financial Economics (1776-2009) (PDF, 4.9 MB)
Lecture presented to 250 students at Zhenjiang University, Hangzhou, China, invited by Prof. Bo Zheng and Prof. Jian Sha, February 24, 2009

DownloadIllusory and genuine control in optimizing games and financial markets (PDF, 2.6 MB)
Presentation at the Workshop on Challenges and Visions in the Social Sciences, Zurich, organized by Dirk Helbing (Coordinator), Lars-Erik Cederman, Andreas Diekmann, Frank Schweitzer and Didier Sornette, August 18-23, 2008

DownloadEndogenous Versus Exogenous Origins of Financial Bubbles (PDF, 2 MB)
Invited speaker at the 2nd Workshop "Bridging Mathematics, Natural Sciences, Social Sciences and Finance", organized by the Hedge Funds Research Institute, International, University of Monaco, Gildo Pastor Center, April 9-11, 2008

Download1 - The illusion of control in Minority and Parrondo games 2 - A two-factor asset pricing model and the power law distribution of firm sizes (PDF, 15.7 MB)
Invited talk presented at the Workshop on Statistical Physics and Financial Markets organized by M. Marsili, The Abdus Salam International Centre for Theoretical Physics, Trieste, I, April 20-21, 2007

DownloadTwo-Factor Asset Pricing Model and Zipf's Law of Firm Sizes (PDF, 10.4 MB)
Mathematical Finance Seminar Spring Semester 2007, Courant Institute of Mathematical Sciences at New York University, organised by Marco Avellaneda and Tai-Ho Wang, January 17, 2007

DownloadExtreme financial risks (PDF, 4.9 MB)
Keynote speaker at the Credit Suisse, Legg Mason Capital Management and SFI conference on "Perspectives on Risk", Credit Suisse, Madison Avenue, New York, October 19, 2006

DownloadPower laws and scaling in finance: practical implications for risk control and management (PDF, 1.6 MB)
invited talk at the Forum for Innovative Finance, Hotel Schweizerhof, Zürich, September 26, 2006

DownloadImportance of positive feedbacks and over-confidence in a self-fulfilling Ising model of financial markets (PDF, 6.5 MB)
presented at the GIACS 1st Advanced Introduction to Agent-Based Models: from analytical models to real life phenomenolgy, ISA Foundation, Villa Gualino,Torino, Italy, April 5-10, 2006