Finance: theory and agent-based models

Out-of-equilibrium nonlinear financial economics: 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) on 15 - 16 October 2011

Physics and Economics (1776-2011): Inter-breeding, Discoveries and Open Problems (PDF 4.2 MB),  talk presented at the Colloquium Ehrenfest in Leiden, Wednesday 12 October 2011.
Started by Paul Ehrenfest in 1912, it has an illustrious and well-documented history (http://www.lorentz.leidenuniv.nl/history/colloquium/colloquium.html and http://www.lorentz.leidenuniv.nl/ce/). 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 "Visions on the future of econophysics" as co-chairman of the International Conference of Econophysics (ICE) at the East China University of Science and Technology (ECUST), June 6, 2011 (http://rce.ecust.edu.cn/index.php/ice2011)

Theory of Zipf's law and beyond (PDF 1,8 MB)
Seminar at the IMT Institute for Advanced Studies. Lucca, Italy, 20 September 2010, (www.imtlucca.it). Invited by Fabio Pammolli, Director and Professor of Economics and Management, IMT Institute for Advanced Studies Lucca, Piazza San Ponziano, 6, 55100 Lucca, Italy

A solution of the excess volatility puzzle; a generic emergent property of collective agent models (PDF 3,5 MB)
Seminar presented at the Universidade NOVA de Lisboa Economia Gestao, Tuesday 14 September 2010, 02:00 to 03:00pm, invited by Prof. P. Santa-Cara, Lisboa, Portugal

Physics and Financial Economics (1776-2009) (PDF 5 MB)
Lecture presented to 250 students at Zhenjiang University, Hangzhou, China, 24 February 2009, 07:00pm to 09:30pm, invited by Prof. Bo Zheng and Prof. Jian Sha

Illusory and genuine control in optimizing games and financial markets (PDF, 2.6 MB)
Oral presentation at the Workshop on Challenges and Visions in the Social Sciences, Zurich, Main ETH Zurich Building, 18-23 August 2008, organized by Dirk Helbing (Coordinator), Lars-Erik Cederman, Andreas Diekmann, Frank Schweitzer and Didier Sornette (http://www.soms.ethz.ch/workshop2008)

Endogenous 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, 9-11 April 2008, Gildo Pastor Center, 7, Av. du Gabian de FontveilleIntro_Finance-Physics_Zhejiang_24Feb09.pdf

1 - 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 15.6 MB)
Invited talk presented at the Workshop on Statistical Physics and Financial Markets organized by M. Marsili, 20-21 April 2007, The Abdus Salam International Centre for Theoretical Physics, Strada Costiera 11, I-34014 Trieste, Italy

Two-Factor Asset Pricing Model and Zipf's Law of Firm Sizes (PDF 10,6 MB),
Mathematical Finance Seminar Spring Semester 2007
Courant Institute of Mathematical Sciences at New York University, Warren Weaver Hall (Courant) Wednesday, January 17, 2007, 5:30 to 7:00 PM, organised by Marco Avellaneda and Tai-Ho Wang
(http://math.nyu.edu/seminars/math_finance_seminar.html)

Extreme financial risks (PDF, 5 MB)
keynote speaker at the Credit Suisse, Legg Mason Capital Management and SFI conference on "Perspectives on Risk" - Thursday, October 19, 2006, at Credit Suisse, Auditorium EMA-2B, 11, Madison Avenue, New York

Power 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, Bahnhofplatz 7, 8023 Zürich, Tuesday, September 26, 2006, organized by Prof. Cuno Puempin

Importance of positive feedbacks and over-confidence in a self-fulfilling Ising model of financial markets (PDF, 7MB),
presented at the GIACS 1st Advanced Introduction to Agent-Based Models: from analytical models to real life phenomenolgy, April 5-10, 2006, ISA Foundation, Villa Gualino, Torino, Italy