Applications of Physics in Financial Analysis 4


13 TO 15 November 2003, Warsaw University of Technology,
 Warsaw, POLAND

Programme of the Conference

Invited talks (IT) and lectures of keynote speakers (KS)
will last about 30 min. plus 10 min. discussion.
Short talks (ST) will last about 15 min. plus 5 min. discussion.

The maximal size of a poster is 850x1200 mm (plastic boards).

Registration, lectures and poster sessions will take place in Physics Building,
Warsaw University of Technology, Koszykowa 75,  Warsaw, Poland


Wednesday, 12 November,  
Registration and get together (17-21)

Coffee and cakes will be served from 18.00-20.00

Thursday, 13 November

Registration (9 - 9.55)  

Opening Session (10.00 -11.00)

  Conference Opening  
Opening lecture Ryszard Kokoszczyński Macroeconomic Modeling at the National Bank of Poland.

0L    Review Session (11.00-14.00)

Authors Preliminary Title
1 KS H. Eugene Stanley

Econophysics: understanding large economic fluctuations.

  Coffee Break (11.40-12.00)  
2 KS Sorin Solomon Pioneers on a New Continent:
Crossing the Ocean between Physics and Economics.
3 IT

Krzysztof Jajuga

Quantitative models in finance – a perspective of economics.

4 KS Hideki Takayasu Physics of foreign exchange fluctuations.

Lunch break (14.00-15.00)

1L    Macroeconomical Models (15.00-16.20)

Top 1 2 4 5 6 7 8 Posters

    Authors Preliminary Title
1 KS M. Ausloos, P. Clippe, J. Miskiewicz, A. Pekalski A logistic map approach to economic cycles.
2 ST Domenico Delli Gatti, Corrado Di Guilmi, Edoardo Gaffeo, Mauro Gallegati, Gianfranco Giulioni, Antonio Palestrini Scaling Laws in the Macroeconomy.
3 ST Megan Khoshyaran The New Capitalists: A Structural Change from the Stock Market Economy to the Free Market Economy.

Coffee Break and Poster Sessions P1-P5 (16.20 - 18.20)

2L    Game Theory in Economy (18.20 - 20.00)

Top 1. 2 3 5 6 7 8 Posters

    Authors Preliminary Title
1 IS Damien Challet, Markus Chromik, Gabriele Ottino, Yi-Cheng Zhang Minority mechanism in commodity markets and money lending.
2 ST Kyungsik Kim and Seong-Min Yoon Dynamics of the minority game for patients.
3 ST Fernando F. Ferreira and Matteo Marsili Is the market really a minority game?
4 ST Danuta Makowiec Follow the leader or contend him: Imitation or competition among traders in the percolation model of stock market.

Conference Dinner (around 20.10)


Friday, 14 November

3L   Agents, Networks and Complex Economic Models (8.30-13.50)

Top 1. 2 3 4 6 7 8 Posters

    Authors Preliminary Title
1 IS Rama Cont An agent-based model of heterogenity and feedback in speculative markets 
2 IS Sheri M. Markose Novelty and surprises in complex adaptive system (CAS) dynamics: a computational theory of actor innovation.
3 ST Diego Garlaschelli, Maria I. Loffredo Complex networks in economic and financial systems.


ST Zdzislaw Burda Synchronic approach to random networks.
5 ST Lorenzo Sabatelli and Peter Richmond Random noise and stylised facts in a Sznajd world


ST Gabriele Susinno and Augusta Miceli Ultrametricity in Hedge fund Selection and Fund of Funds Diversification.
  Coffe Break  (11.10-11.30)  
7 IS Robert Axtell The 'Scaling Puzzle' of Firm Growth from an Individual Agent Perspective.
8 IS Jerzy Jurkiewicz Signal and Noise in a Gaussian Correlation Matrix.
9 ST Wataru Souma, Yoshi Fujiwara, Hideaki Aoyama Random matrix approach to shareholding networks.


ST S. Jain Phenomenological Models for the Time Evolution of Financial Markets  
11 ST

Paul Ormerod, Bridget Rosewell, Laurence Smith

An Agent-Based Model of the Evolution of Market Structure and Competition.

Lunch break (13.50 - 14.50)

4L    Scaling Laws and Stochastic Processes in
         Economic Models (14.50- 17.30)

Top 1 2 3 4 5 6 8 Posters

    Authors Preliminary Title
1 KS Thomas Lux Forecasting Financial Volatility with the Multi-Fractal Model
2 KS A. Krawiecki, J.A. Holyst, D. Helbing Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling.
3 ST P.Repetowicz, P.Richmond Modelling share price evolution as a Continuous Random Walk with non-independent price changes and waiting times.
4 ST Yoshi Fujiwara, Hideaki Aoyama, Corrado DiGuilmi, Wataru Souma, Mauro Gallegati Gibrat and Pareto-Zipf revisted with European firms.
5 ST Hideaki Aoyama Kinematics and Dynamics of Pareto-Zipf's and Gibrat's laws.
6 ST Enrico Capobianco Volatility Multi-scale Stochastic Dynamics and Scaling Sources.

Coffee Break and Poster Sessions P6-P8 (17.30- 18.40)

5L    Risk Analysis (18.40- 20.00)

Top 1. 2 3 4 5 7 8 Posters

    Authors Preliminary Title
1 ST Emmanuel Haven ’Non-Classical’ Uncertainty and the Existence of Valued Preferences for Risk.
2 ST Luis Chavez Guzman The collision of masses and the way prices react to expectations.
3 ST J V Healy, M Dixon, B J Read and F F Cai Confidence Limits for Data Mining Models of Options Prices.
4 ST Rafał Weron Risk management in the power market: seasonality, price spikes, mean-reversion and long-term predictions.


Saturday, 15 November

6L    Foreign Exchange Markets (8.30 -10.10)

Top 1. 3 4 5 6 7 8 Posters

    Authors Preliminary Title
1 ST Y. Aiba, N. Hatano, H. Takayasu Triangular Arbitrage in the Foreign Exchange Market
2 ST Ary A. Perez Jr. Fingerprints of multifractality in the dollar-Brazilian real exchange currency market.
3 ST Vladimir Litvin Multifractality in Transition Economies.
4 ST Arkadiusz Orlowski, Zbigniew Struzik, Ewa Syczewska, Magdalena
Fluctuations dynamics of exchange rates on emerging markets.
5 ST Amador Muriel Short-term predictions of foreign exchange rates using a new kinetic equation .

Coffee break (10.10-10.35)

 7L    Time Series Analysis for Financial Markets
             (10.35 - 16.20)

Top 2 3 4 5 6 7 8 Posters
    Authors Preliminary Title


ST J.D Wichard, M.J. Ogorzałek, and C. Merkwirth Ensemble mathods for time series analysis and prediction.
2 ST Boris Podobnik, Plamen Ch. Ivanov, Kaushik Matia, Ivo Grosse, H. E. Stanley ARCH-GARCH approches to modeling high-frequency financial data.
3 ST Adam Zawadowski, Janos Kertesz, Gyorgy Andor Large changes on small scales: Exogeneous versus endogenuous.
4 ST V.M. Yakovenko, A.C. Silva, and R.E. Prange Time evolution of the probability distribution of returns in the Heston model of stochastic volatility compared with the high-frequency stock-market data.
5 ST Ralf Remer,
Reinhard Mahnke
Application of Heston model and its solution to German DAX data.
6 ST Taisei Kaizoji Inflation and deflation in financial markets.
  Lunch break  (12.35-13.35)  
7 ST R.Kutner, F. Świtała Possible origin of long-term correlations in financial time series.
8 ST Ovidiu V. Precup,
Giulia Iori
High-Frequency Cross-Correlation Dynamics in US Equity Markets.
9 ST Antonios Antoniou and Constantinos Vorlow Recurrence quantification analysis of wavelet pre-filtered index returns.
10 ST E. Alessio, V. Frappietro, M.I.Krivoruchenko, and L.J. Streckert Probability density functions of returns and volatility forecasting for financial markets.
  Coffee break  (14.55-15.20)  
11 ST Dariusz Grech and Zygmunt Mazur Can one make any predictions in finances using the Hurst exponent?
12 ST A. Carbone, G. Castelli and H.E. Stanley Time-Dependent Hurst Exponent Calculated by Detrending Analysis.
13 ST Kaushik Matia and H. Eugene Stanley Statistical Properties of Commodity Price Fluctuations.

8L Closing session: 16.20 - 17.10

Closing Lecture Peter Richmond Langevin processes, agent models and socio-economic systems.
  Conference Closing  


Possibility of visit to Warsaw Opera: 15 November, 19.00 

 Performance:   MATS EK BALLET EVENING: A SORT OF (Polish premiere)/CARMEN (revival)
(see )

Tickets to the Opera are reserved for Inivted and Keynote Speakers by the APFA4 Organizing Committee. Other Participants can book tickets as soon as possible   by


Posters presented in sessions 1P-8P on 13 November and 14 November

1P    Macroeconomical Models

  Authors Preliminary Title
1 Adam Krawiec, Marek Szydłowski Dynamics of simple economic growth models.


V.V. Popkov, D.B. Berg and K.A. Becklemishev Phase diagram for bussiness-cycles analysis.
3 Vladimir Litvin Multiscaling behaviour of Transition Economies before and after 1998 Russian Financial Crisis.

3P    Agents, Networks and Complex Economic Models

  Authors Preliminary Title
1 David Collings and Nicola Baxter Telecommunications bandwidth market design, using  agent based  modelling.
2 Florentin Paladi and Vitalie Eremeev Agent-Based Computational Approach to the Evolution of Market Structure.
3 G. Rotundo Neural Networks for large financial crashes’ forecast.
4 Andrzej Dyka Psychology related phenomena in capital market.



An Application of an Ultrametric Distance to Portfolio Taxonomy. Critical Analysis and Comparison with other Methods.


6 S.S. Kharintsev and M.Kh. Salakhov Wavelet-Based Nonlinear Prediction and Control of Chaotic Time Series.
7 Kestutis Staliunas  Bose-Einstein Condensation in Financial Systems.
8 Yuichi Ikeda Forecast of Business Performance using an Agent - based Model and its Application to Decision Tree - Monte Carlo Business Valuation.
9 Hokky Situngkir,
Yohanes Surya.
Neural Network Revisited: Perception on Modified Poincare Map of Financial Time Series Data.
10 S. V. Bulanov,
E. Y. Echkina,
I. N. Inovenkov
The nonlinear dynamics of the business center in Beckmann's model.
11 Agata Fronczak, Piotr Fronczak, Janusz A. Hołyst Structural properties of random uncorrelated networks.


4P    Risk Analysis

  Authors Preliminary Title
1 Jorgen Vitting Andersen Could short selling make financial markets tumble?
2 J V Healy, M Dixon, B J Read and F F Cai

Risk-neutral Density Extraction from Option Prices: A New Non-parametric Approach.

3 Andrzej Dyka Identification of stocks performing better than the market.

5P    Scaling Laws and Stochastic Processes

for Economic Models

  Authors Preliminary Title

V. Gontis and B. Kaulakys

Modelling financial market by the multiplicative sequence of trades.

2 Jaume Masoliver and Josep Perelló A comparison between correlated stochastic volatility models.
3 Taisei Kaizoji and Michiyo Kaizoji A mechanism leading bubbles to crashes.
4 Maria Jadamus-Hacura and Andrzej Hacura Bayesian Approach to a Portfolio Selection Problem.

Misako Takayasu

Basic properties of self-modulation processes in market.

6 A. Krawiecki and J.A. Holyst Stochastic resonance as a model for market crashes and bubbles.
7 Emmanuel Haven The Schrodinger Option Price versus the Black-Scholes 0ption Price: A Discussion.
8 Piotr Łukasiewicz and Arkadiusz Orłowski Probabilistic models of income distribution.
9 S. Rawal and G.J. Rodgers Modelling inflation as a random process.

6P    Foreign Exchange Markets

  Authors Preliminary Title
1 Maris Karima Rahadiyan The Resilience of Finance Analysis in Time Series Perspective: Case Study in Volatility of Indonesian Currency Rate.
2 Filippo Petroni and Maurizio Serva High frequency foreign exchange market and time series.
3 T. Mart and Y. Surya Statistical properties of the Indonesian stock exchange index
4 Smirnov A.P., Shmelev A.B., Sheinin E. Ya Analysis of Fokker-Planck Approach for Foreign Exchange Market Statistics Study.
5 Takaaki Ohnishi, Kazuyuki Aihara, Misako Takayasu, Hideki Takayasu Statistical properties of the moving average price in dollar-yen exchange rates.
6 Aki-Hiro Sato Time interval between successive trading in foreign currency market: from microscopic to macroscopic.


7P    Time Series Analysis for Financial Markets

  Authors Preliminary Title
1 Kyungsik Kim and Seong-Min Yoon Multifractal features in financial markets.
2 V. Gafiychuk, B. Datsko, J. Izmailova and O.  Ponomaryov Analysis of  data clusters obtained by self-organization methods.
3 Ras B.Pandey,
Hui Wang
 A new technical analysis on DJI stocks.
4 Silvio M. Duarte Queiros Correlation and Non-Gaussianity in Financial Time Series- Analisys under Generalized Statistical Physics.
5 Silvio M. Duarte Queiros Anomalous distribution in intra-day time series using Generalized Statistical Physics.


J.  Kwapień, S. Drożdż and J. Speth Financial correlations viewed  from different time scale.
7 K. Urbanowicz and Janusz A. Hołyst

Minimization of the noise level in a portfolio: a novel investment strategy.

8 Jacek Juzwiszyn

Concerning the rewolution of financial spheres.


L Xu, M. Dixon, B. Eales, B. Read and F. F. Cai

Barrier Option Pricing Using Neural Network Model.

10 Diane Wilcox and Tim Gebbie Analysis of cross-correlations in South African financial market data.
11 V.P. Budaev Turbulence in magnetized plasmas and financial markets: comparative study of multifractal statistics.
12 Peijie Wang Statistical Distributions of Time Series in the Frequency Domain and the Patterns of Violation of White Noise Conditions.
13 J.D Wichard, M.J. Ogorzałek, and C. Merkwirth Entool - a toolbox for ensemble modelling
14 Rui Menezes,
Andreia Dionisio
Asymmetric price transmission within the Portuguese stock market.
15 Katarzyna
Brzozowska-Rup, Arkadiusz Orłowski.
Applications of bootstrap to detecting chaos in financial time series.
16 M. Ausloos and K. Ivanova Tsallis nonextensive statistical mechanics of and Beck turbulence model for S\&P500 in large time windows.


J.D. Wichard, M.J. Ogorzałek Detecting correlation in stock indices with nonlinear cross prediction.
18 Piotr Gnaciński and Danuta Makowiec Another type of log-periodic oscillation on Polish stock market?
19 Andreia Dionisio, Rui Menezes and Diana Mendes Mutual Information: a Measure of Dependency for Nonlinear Time Series.
20 Andrei Leonidov Long Memory in Stock Trading.
21 Takayuki Mizuno,
Tohru Nakano,
Misako Takayasu, Hideki Takayasu
Statistical laws and dynamics of an open market in very short time scales.

8P    Teaching of Econophysics

  Authors Preliminary Title
1 Dariusz Grech Teaching of econophysics at University of Wrocław
2 J. Kisiel, B. Kozusznik, S. Mielimaka, E. Popiel,  A. Ratuszna Licentiate studies of econophysics in University of Silesia.