Homepage

	Home Page
	Preliminary Programme !
	Submission of Abstracts
	Venue
	Registration
	Hotels
	Local information
	Conference Committies
	Contacts
	Support
	Preliminary titles and ABSTRACTS

Preliminary titles and ABSTRACTS of already submitted confererence contributions
(the list was last updated on 6 Oct 2003)

Authors	Preliminary Title
A. Carbone, G. Castelli and H.E. Stanley	Time-Dependent Hurst Exponent Calculated by Detrending Analysis.
Jacek Juzwiszyn	Three-dimensional finance market trajectories.
Adam Zawadowski, Janos Kertesz, Gyorgy Andor	Large changes on small scales: Exogeneous versus endogenuous.
Adam Krawiec, Marek Szydłowski	Dynamics of simple economic growth models.
Paul Ormerod, Bridget Rosewell, Laurence Smith	An Agent-Based Model of the Evolution of Market Structure and Competition.
Roma Cont	An agent-based model of heterogenity and feedback in speculative markets
Taisei Kaizoji and Michiyo Kaizoji	A mechanism leading bubbles to crashes.
D. Helbing and M. Shoenhof	The competition for restricted goods: experiment and simulation of decision dynamics.
P. Weber and B. Rosenow	An order book approach to the price impact function.
L Xu, M. Dixon, B. Eales, B. Read and F. F. Cai	Barrier Option Pricing Using Neural Network Model.
Arkadiusz Orlowski, Zbigniew Struzik, Ewa Syczewska, Magdalena Zaluska-Kotur	Fluctuations dynamics of exchange rates on emerging markets.
Przemyslaw Repetowicz and Peter Richmond	Modelling share price evolution as a continuous random walk with non-independent waiting ttimes and price returns.
Diane Wilcox and Tim Gebbie	Analysis of cross-correlations in South African financial market data.
K. Urbanowicz and Janusz A. Hołyst	Minimization of the noise level in a portfolio: a novel investment strategy.
V.V. Popkov, D.B. Berg and K.A. Becklemishev	Phase diagram for bussiness-cycles analysis.
Dariusz Grech and Zygmunt Mazur	Can one make any predictions in finances using the Hurst exponent?
Giulia Iori, Saqid Jafarey and Ovidiu Precup	An analysis of liquidity and systematic risk in alternative settlement architectures.
Gabriele Susinno and Augusta Miceli	Ultrametricity in Hedge fund Selection and Fund of Funds Diversification.
Emmanuel Haven	’Non-Classical’ Uncertainty and the Existence of Valued Preferences for Risk.
Emmanuel Haven	The Schrodinger Option Price versus the Black-Scholes 0ption Price: A Discussion.
Diego Garlaschelli, Maria I. Loffredo	Complex networks in economic and financial systems.
Ryszard Kokoszczyński	Macroeconomic Modeling at the National Bank of Poland.
S. Rawal and G.J. Rodgers	Modelling inflation as a random process.
Amador Muriel	Short-term predictions of foreign exchange rates using a new kinetic equation.
Domenico Delli Gatti, Corrado Di Guilmi, Edoardo Gaffeo, Mauro Gallegati, Gianfranco Giulioni, Antonio Palestrini	Scaling Laws in the Macroeconomy.
Jorgen Vitting Andersen	Could short selling make financial markets tumble?
V. Gafiychuk, B. Datsko, J. Izmailova and O. Ponomaryov	Analysis of data clusters obtained by self-organization methods.
Maria Jadamus-Hacura and Andrzej Hacura	Bayesian Approach to a Portfolio Selection Problem.
Sheri M. Markose	Novelty and surprises in complex adaptive system (CAS) dynamics: a computational theory of actor innovation.
Boris Podobnik, Plamen Ch. Ivanov, Kaushik Matia, Ivo Grosse, H. E. Stanley	ARCH-GARCH approches to modeling high-frequency financial data.
V.P. Budaev	Turbulence in magnetized plasmas and financial markets: comparative study of multifractal statistics.
Peijie Wang	Statistical Distributions of Time Series in the Frequency Domain and the Patterns of Violation of White Noise Conditions.
David Collings and Nicola Baxter	Telecommunications bandwidth market design, using agent based modelling.
Ghassan Dibeh	Nonlinear Speculative Dynamics and Currency Crisis in Lebanon.
Kyungsik Kim and Seong-Min Yoon	Multifractal features in financial markets.
Kyungsik Kim and Seong-Min Yoon	Dynamics of the minority game for patients.
J. Kwapień, S. Drożdż and J. Speth	Financial correlations viewed from different time scale.
Maris Karima Rahadiyan	The Resilience of Finance Analysis in Time Series Perspective: Case Study in Volatility of Indonesian Currency Rate.
Bing-Hong Wang, Weisong Yang and Chin-Kun Hu	Sub-strategy updating evolution in minority game.
Bing-Hong Wang, P.M. Hui, Chin-Kun Hu	Two Way Selection Traffic Flow: Mean Field Theory.
Bing-Hong Wang, Kan Chen and Baosheng Yuan	Theory of Phase Transition in the Evolutionary Minority Game.
Bing-Hong Wang, Yi-ming Wei, Shang-jun Ying, Ying Fan	The effect of investment intent on stock market - an analysis based on cellular automaton.
Filippo Petroni and Maurizio Serva	High frequency foreign exchange market and time series.
T. Mart and Y. Surya	Statistical properties of the Indonesian stock exchange index
Pragya Shukla	Application of Random Matrix Theory in Financial Analysis.
Robert Axtell	The 'Scaling Puzzle' of Firm Growth from an Individual Agent Perspective.
D. Subbarao and Harvinder Singh	A simple mean-field model for stockmarket polarization.
Bing-Hong Wang	The effect of investment intent on stock market: An analysis based on cellular automaton.
Hideaki Aoyama	Kinematics and Dynamics of Pareto-Zipf's and Gibrat's laws.
Yoshi Fujiwara, Hideaki Aoyama, Corrado DiGuilmi, Wataru Souma, Mauro Gallegati	Gibrat and Pareto-Zipf revisted with European firms.
M. Ausloos and K. Ivanova	Tsallis nonextensive statistical mechanics and Beck turbulence model for S&P500 in large time windows.
Peter Richmond	Langevin processes, agent models and socio-economic systems.
Hokky Situngkir, Yohanes Surya.	Neural Network Revisited: Perception on Modified Poincare Map of Financial Time Series Data.
Florentin Paladi and Vitalie Eremeev	Agent-Based Computational Approach to the Evolution of Market Structure.
S.V. Malynovska	Stochastic integral models for equilibrium and non-equilibrium markets.
N.S. Loboda	Market modelling: Time series multi-fractal and stochastic algorithm analysis.
A.V. Glushkov, A.I. Pavlovsky	Financial neural network on the basis of photon echo.
A.V. Glushkov, S.V. Ambrosov, A.I. Pavlovsky	Multi-fractal features in the turbulent regime of governing by financial operations.
Kaushik Matia and H. Eugene Stanley	Statistical Properties of Commodity Price Fluctuations.
Paul De Grauwe and Marianna Grimaldi	Exchange rate puzzles. A tale of switching attractors.
Krzysztof Jajuga	Quantitative models in finance – a prospective of economics.
H. Eugene Stanley	Econophysics: understanding large economic fluctuations.
Jerzy Jurkiewicz	Signal and Noise in a Gaussian Correlation Matrix.
Kyungsik Kim, Seong-Min Yoon	Dynamics of the Minority Game for Patients.
Kyungsik Kim, Seong-Min Yoon	Multifractal Features in Financial Markets.
Huba Laszlo Szoecs	A method of transformation of degenerate stochastic processes as well time-series into ordinary processes and theirs analysis.
Huba Laszlo Szoecs	A method of transformation of degenerate stochastic processes as well time-series into ordinary processes and theirs analysis.
Megan Khoshyaran	The New Capitalists: A Structural Change from the Stock Market Economy to the Free Market Economy.
Silvio M. Duarte Queiros	Correlation and Non-Gaussianity in Financial Time Series- Analisys under Generalized Statistical Physics.
Silvio M. Duarte Queiros	Anomalous distribution in intra-day time series using Generalized Statistical Physics.
Yohanes Surya, Hokky Situngkir	Neural Network Revisited: Perception on Modified Poincare Map of Financial Time Series Data
Vikentia Provizionatou	A semi-parametric Approach to Value-at-Risk using the Generalised Pareto Distribution to account for fat tails in financial asset returns.
Nicolas Million	Are Central Bankers opportunistic? A threshold cointegration investigation.
V.R.Niculescu, Michaela Dobre, Catalin Stancu	A correlation dimension for Romanian rate exchange.
E. Bronshtein, E. Prokudina	The investment projects at active alternative.
Wataru Souma, Yoshi Fujiwara, Hideaki Aoyama	Random matrix approach to shareholding networks.
Haven Emmanuel	The Schrodinger Option Price versus the Black-Scholes 0ption Price: A Discussion.
Amador Muriel	Short-term predictions of foreign exchange rates using a new kinetic equation .
Avetis Abel Sadoyan	Application of method for approximate solutions of set of partially differential equations in numerical relativity to market modelling.
Vladimir V. Uchaikin, Dmitry V. Uchaikin	Levy motion as an intermediate asymptotics for Brownian motion.
Andrzej Dyka	Identification of stocks performing better than the market.
Katalin Martinas	Learning in Economics
Sorin Solomon	Pioneers on a New Continent: Crossing the Ocean between Physics and Economics.
Hideki Takayasu	Physics of foreign exchange fluctuations.
Janos Kertesz, Adam Zawadowski and Gyorgy Andor	Large changes on the stock market: Exogenous versus endogenous causes.
M. Ausloos, P. Clippe, J. Miskiewicz, A. Pekalski	A logistic map approach to economic cycles.
Taisei Kaizoji	Inflation and deflation in financial markets.
Misako Takayasu	Basic properties of self-modulation processes in market.
G. Rotundo	Neural Networks for large financial crashes’ forecast.
Ary A. Perez Jr.	Fingerprints of multifractality in the dollar-Brazilian real exchange currency market.
E. Alessio, V. Frappietro, M.I.Krivoruchenko, and L.J. Streckert	Probability density functions of returns and volatility forecasting for financial markets.
O. Hudak	On behaviour of agents on emerging capital markets.
Fernando F. Ferreira and Matteo Marsili	Is the market really a minority game?
Matteo Marsili, Fernando Vega-Redondo, and Frantisek Slanina	The Rise and Fall of a Networked Society.
Luis Chavez Guzman	The collision of masses and the way prices react to expectations.
Takaaki Ohnishi, Kazuyuki Aihara, Misako Takayasu, Hideki Takayasu	Statistical properties of the moving average price in dollar-yen exchange rates.
Andrzej Dyka	Psychology related phenomena in capital market.
Y. Aiba, N. Hatano, H. Takayasu	Triangular Arbitrage in the Foreign Exchange Market
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.
Aki-Hiro Sato	Time intervals between successive tradings in yen/dollar foreign currency market: from microscopic model to macroscopic model.
J.D Wichard, M.J. Ogorzałek, and C. Merkwirth	Entool - a toolbox for ensemble modelling
J.D Wichard, M.J. Ogorzałek, and C. Merkwirth	Ensemble mathods for time series analysis and prediction.
Danuta Makowiec	Follow the leader or contend him: Imitation or competition among traders in the percolation model of stock market.
Boon Leong Lan and Ying Oon Tan	Statistical Analysis of the Malaysian Stock Exchange Index.
J V Healy, M Dixon, B J Read and F F Cai	Risk-neutral Density Extraction from Option Prices: A New Non-parametric Approach.
J.D. Wichard, M.J. Ogorzałek	Detecting correlation in stock indices with nonlinear cross prediction.
Piotr Gnaciński and Danuta Makowiec	Another type of log-periodic oscillation on Polish stock market?
Paul Ormerod Bridget Rosewell	The evolution of competition and market structure: an agent based approach.
J V Healy, M Dixon, B J Read and F F Cai	Confidence Limits for Data Mining Models of Options Prices.
Lorenzo Sabatelli and Peter Richmond	Random noise and stylised facts in a Sznajd world
M. G. Zimmermann, V. M. Eguiluz, M. San Miguel	Complex evolving and adaptive networks.
Antonios Antoniou and Constantinos Vorlow	Recurrence quantification analysis of wavelet pre-filtered index returns.
V. Gontis and B. Kaulakys	Modelling financial market by the multiplicative sequence of trades.
Ras B.Pandey, Hui Wang	A new technical analysis on DJI stocks.
Andreia Dionisio	Mutual Information: a Measure of Dependency for Nonlinear Time Series.
Rafał Weron	Risk management in the power market: seasonality, price spikes, mean-reversion and long-term predictions.
Yuichi Ikeda	Forecast of Business Performance using an Agent - based Model and its Application to Decision Tree - Monte Carlo Business Valuation.
Damien Challet, Markus Chromik, Gabriele Ottino, Yi-Cheng Zhang	Minority mechanism in commodity markets and money lending.
Enrico Capobianco	Volatility Multi-scale Stochastic Dynamics and Scaling Sources.
Kestutis Staliunas	Bose-Einstein Condensation in Financial Systems.
Efim Bronshtein, Elena Prokudina	The Investment Projects at Active Alternative.
Ralf Remer, Reinhard Mahnke	Application of Heston model and its solution to German DAX data.
Mingzhi Zhang	The Dynamic Mechanism of Constructing the Community of Scientific Research-industry.
J. Kisiel, B. Kozusznik, S. Mielimaka, E. Popiel, A. Ratuszna	Licentiate studies of econophysics in University of Silesia.
Rui Menezes, Andreia Dionisio	Asymmetric price transmission within the Portuguese stock market.
Ovidiu V. Precup, Giulia Iori	High-Frequency Cross-Correlation Dynamics in US Equity Markets.
Urszula Skórnik-Pokarowska	An Application of an Ultrametric Distance to Portfolio Taxonomy. Critical Analysis and Comparison with other Methods.
P. Gopikrishnan, V. Plerou, X. Gabaix and H. E. Stanley	Price changes, Trading Frequency, and Volume
Smirnov A.P., Shmelev A.B., Sheinin E. Ya	Analysis of Fokker-Planck Approach for Foreign Exchange Market Statistics Study.
Katarzyna Brzozowska-Rup, Arkadiusz Orłowski.	Applications of bootstrap to detecting chaos in financial time series.
Giulia Iori, Carl Chiarella	Modelling Limit Order Trading.
Andrei Leonidov	Long Memory in Stock Trading.
S. Jain	Phenomenological Models for the Time Evolution of Financial Markets.
Chipo Mlambo, Nicholas Biekpe	Predicting stock price changes on frontier African stock markets: A non-linear model approach.
Xavier Gabaix	A theory of large movement in stock market activity.
Victor M. Yakovenko et al.	Analytical derivation of the truncated Levy distribution from the Heston model of stochastic volatility and quantitative comparison with the stock-market fluctuations data for time lags from few minutes to a year.
Takayuki Mizuno, Tohru Nakano, Misako Takayasu, Hideki Takayasu	Statistical laws and dynamics of an open market in vary short time scales.
A. Krawiecki, J.A. Holyst, D. Helbing	Volatility Clustering and Scaling for Financial Time Series due to Attractor Bubbling.
A. Krawiecki and J.A. Holyst	Stochastic resonance as a model for market crashes and bubbles.
Janos Kertesz	Networks in economy from financial data.
O. Hudak	Topology and capital market agent's behaviour.
P.Repetowicz, P.Richmond	Modelling share price evolution as a Continuous Random Walk with non-independent price changes and waiting times.
Ary A. Perez Jr.	Multifractality underlying the dollar-Brazilian real exchange currency market.
S. V. Bulanov, E. Y. Echkina, I. N. Inovenkov	The nonlinear dynamics of the business center in Beckmann's model.
Andreia Dionysio, Rui Menezes, Diana Mendes	Mutual Information: a Dependence Measure for Nonlinear Time Series.
Thomas Lux	Forecasting Financial Volatility with the Multi-Fractal Model
S.S. Kharintsev and M.Kh. Salakhov	Wavelet-Based Nonlinear Prediction and Control of Chaotic Time Series.
R.Kutner, F. Świtała	Possible origin of long-term correlations in financial time series.
Vladimir Litvin	Multifractality in Transition Economies.
Vladimir Litvin	Multiscaling behaviour of Transition Economies before and after 1998 Russian Financial Crisis.
Jaume Masoliver and Josep Perelló	A comparison between correlated stochastic volatility models.
G. J. Rodgers	Kinetic Models of Growing Networks and Herding Phenomena
R. Rothenstein, K. Pawelzik	Efficient Market Hypothesis in a Stock Market Model

Paul Ormerod, Bridget Rosewell, Laurence Smith