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
http://www.if.pw.edu.pl/~jholyst/politechnika.jpg
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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)
| Conference Opening | ||
| Opening lecture | Ryszard Kokoszczyński | Macroeconomic Modeling at the National Bank of Poland. |
| Authors | Preliminary Title | ||
| 1 | KS | H. Eugene Stanley | |
| 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. |
| 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. |
| 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. |
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| 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. |
| 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. |
| 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 Zaluska-Kotur |
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)
| Closing Lecture | Peter Richmond | Langevin processes, agent models and socio-economic systems. |
| Conference Closing |
Coffee
Possibility of visit to Warsaw Opera: 15 November, 19.00
Performance:
MATS EK BALLET EVENING: A SORT OF (Polish premiere)/CARMEN (revival)
(see http://www.teatrwielki.pl/readme.php?book=wydarzenia&book_id=512&book_name=wydarzenie_matsek
)
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 http://www.mazurkas.pl/apfa4/
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1P Macroeconomical Models
| Authors | Preliminary Title | |
| 1 | Adam Krawiec, Marek Szydłowski | Dynamics of simple economic growth models. |
|
2 |
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
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 | |
| 1 |
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. |
| 5 |
Misako Takayasu |
|
| 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
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. |
