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5th International Conference
June 29 - July 1 2006, Torino, Italy |
Welcome and History
The 5 th in the series entitled
International Conference ‘Applications of Physics in Financial
Analysis’ will be held in Torino, from June 29 to July 1,
2006. The aim of the conference is to bring together
scientists, both economists and physicists, interested in problems
in economics and finance. Previous meetings (Dublin 1999, Liege
2000, London 2001
and Warsaw 2003) have
served to build the community and foster links with disciplines such
as econometrics and statistics. A wide range of topics has been
covered including, for example, analysis of time series, option
pricing, agent models and game theory. |
Scope
It is now increasingly recognised by both the
physics and economic communities that a number of conceptual and
methodological approaches based on tools of statistical mechanics
may be employed to understand particular economic phenomena in terms
of the underlying direct interaction of agents and to model
the dynamics of heterogeneous populations of economic agents. In
addition to traditional economic notions of coordination via the
price system and strategic interaction, models of collective
phenomena are now making their appearance in many branches of
microeconomics to decribe, for example, herding behavior in
financial markets. Other instances of the complexity
approaches, which is familar to physicists appear in evolutionary
game theory, demand theory, behavioral economics and social
economics. In macroeconomics and econometrics, there is a new
appreciation of the role of individual heterogeneity which has
provided new insights into economic aggregation. New models of the
theory of growth, based on non-linear and stochastic processes have
emerged and are being tested against real data. In finance, the
analysis of time series, distributions of asset prices and price
returns with attendant phenomena, such as scaling and universality,
is leading to radically new insights and new questions, both
theoretical and empirical, about the functioning of financial
markets. All these approaches employ analytical and numerical
tools from what has become known as the science of complexity, a new
interdisciplinary approach, initially used for the analysis of
systems with strongly interacting subunits in physics, biology,
engineering. The aim of this interdisciplinary conference is
to provide a forum for discussion that can examine the potential
these tools and technologies offer, strengthen existing links and
build new ties between the physics and economics communities.
Thereby we hope to contribute to further new progress and
developments in these important areas of
science.
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Scientific Committee
Preben
Alstrom Niels Bohr Institute, Denmark |
Sheri Markose
University of Essex, UK |
Marcel
Ausloos University of Liege, Belgium |
Matteo
Marsili SISSA, Italy |
Jean P.
Bouchaud Cea-Saclay, France |
Peter
Richmond Trinity College, Dublin Ireland |
Anna Carbone
Politecnico di Torino, Italy - Chair |
Geoff Rodgers
Brunel University, UK |
Werner
Hildebrand University of Bonn, Germany |
Enrico Scalas
Università del Piemonte Orientale, Italy |
Janusz Hołyst
Warsaw University of Technology, Poland |
Antonio
Scarfone Politecnico di Torino, Italy |
Giorgio
Kaniadakis Politecnico di Torino, Italy |
Sorin Solomon
Hebrew University, Israel |
Janos Kertesz
University of Budapest, Hungary |
H. Eugene
Stanley Boston University, USA |
Thomas Lux
University of Kiel, Germany |
Hideki
Takayasu Sony Computer Science, Japan |
Rosario
Mantegna Università di Palermo, Italy |
Yi-Cheng
Zhang Freiburg University,
Switzerland | |
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Invited Speakers
Masanao
Aoki UCLA, USA |
Reconstructing macroeconomics from the
perspective of statistical physics |
Marcel
Ausloos University of Liege, Belgium |
Clusters or networks of economies? A
macroeconomy study through GDP correlations
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Sergey
Buldyrev Yeshiva University,
USA |
The Growth of Business Firms:
Theoretical Framework.
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Bikas
K. Chakrabarti Saha Institute, Kolkata, India
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Econophysics of Income Distributions: A
Kinetic Model with Saving Propensity |
Damien
Challet Oxford University, UK |
Minority games with heterogeneous
timescales |
Silvano
Cincotti Genova University, Italy |
Market power and collusive behavior in
an artificial power exchange |
Michel
Dacorogna Converium, Switzerland
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The price of risk in
insurance |
Christophe
Deissemberg GREQAM, France
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Money, Space, and
Time |
Tiziana Di
Matteo The Australian National University |
A suitable correlation filtering
procedure for an optimal portfolio |
Doyne Farmer
Santa Fe Institute, USA
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A quantitative explanation of the
distribution of price returns |
Xavier
Gabaix Department of Economics, MIT, USA
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To be announced
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Mauro
Gallegati Ancona University, Italy
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Emergent Macroeconomics
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Shlomo
Havlin Bar-Ilan University,
Israel |
Complex networks: Self similarity and
superhighways |
Janusz Holyst
Warsaw University,
Poland |
Coherent oscillatory patterns as system
equilibrium in a simple congestion game
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Mogens H.
Jensen Niels Bohr Institute, Denmark
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Asymmetry and synchronization in stock
markets. |
Janos Kertesz
Budapest University,
Hungary |
Size matters: some stylized facts of
the market revisited |
Alan
Kirman School of Social Science, Princeton, USA
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Individual and Aggregate Behaviour on
Financial Markets |
Sheri
Markose University of Essex,
UK |
Black Wednesday and collapse of ERM
currency peg |
Matteo
Marsili ICTP, Trieste, Italy |
Dynamic instability in a
phenomenological model of correlated assets
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Joe
McCauley Houston University,
USA |
Markov processes, Hurst exponents,
nonlinear diffusion equations and option pricing
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Fabio
Pammolli Inst. Markets Tech., Lucca,
Italy |
The growth of business firms:
theoretical framework and empirical
evidence. |
Joachim
Peinke Oldenburg University,
Germany |
Medium and small scale analysis of
financial data |
Luciano
Pietronero La Sapienza University,
Italy |
Roughness and Hidden Forces in
Stockprice Dynamics |
Peter
Richmond Trinity College, Dublin Ireland
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Wealth distributions: a review of
models and empirical data. |
Enrico
Scalas Piemonte Orientale University, Italy |
Growth and inequality processes:
equilibrium and non equilibrium models in Physics and
Economics |
Sorin Solomon
Hebrew University, Israel |
Complexity Emergence in Economics:
theory and applications |
Didier
Sornette UCLA, USA |
Importance of Positive Feedbacks and
Over-confidence in a Self-Fulfilling Ising Model of Financial
Markets |
H. Eugene Stanley
Boston University, USA |
The Growth of Business Firms:
Theoretical Framework and Empirical Evidence |
Dietrich
Stauffer Cologne University,
Germany |
Opinion
dynamics |
Hideki
Takayasu Sony Computer,
Japan |
Analysis of consumer purchasing
data. |
Victor
Yakovenko University of Maryland,
USA |
Distribution of log-returns in the
Heston model obtained by subordination to the fluctuating
number of trades | |
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List of Presentations
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Program (under construction)
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Abstract Booklet
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Poster Size
Poster Size: width=95cm,
height=215 cm
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Abstract
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Proceedings
The invited talks and the
contributions, accepted after standard referral process, will be
published in the Proceedings of the Conference, as a special issue
of an International Journal. The submission of a paper implies that
it represents original work not previously published and not
considered for publication elsewhere. A copy of the Proceedings will
be sent to every registered participant. The deadline for manuscript
submission is 30 July 2006. Details concerning manuscript length
and format are posted here . The Proceedings of the previous
editions can be downloaded here:
APFA 4 Physica
A, 344, Issue: 1-2, (2004).
APFA 3 European
Physical Journal B, 27, (2002).
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Deadlines
1 March
2006 |
Abstract
Submission Deadline |
30 March
2006 |
Abstract Acceptance
Notification |
30 April
2006 |
Early Registration
Deadline (reduced rate) |
29 June - 1 July
2006 |
APFA5
Conference |
30 July
2006 |
Full-length Paper
Submission Deadline | |
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Registration
The registration fee for scientists includes: Admission to all
scientific sessions, Conference Kit, Abstract Booklet, 1 volume of
Proceedings, Welcome Reception (on 28 June), Coffee Breaks, Lunches,
Gala Dinner. The registration fees are: Full 400 €
Individual Ordinary Members of EPS 300 € (more info) Members
of National Physical Societies 350 € PhD Student 300 €
Accompanying Person 200 € Please fill your REGISTRATION
FORM
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Payment
Payment of the
registration fee and of the hotel (deposit + balance) must be made
by bank transfer to :
APFA5 Conference - Dip. Fisica -
Politecnico di Torino BANK NAME: UNICREDIT BANCA S.p.A. - Agenzia
Politecnico 60 ACCOUNT NUMBER: 000002551101 ABI:
02008 CAB: 01160 SWIFT CODE (BIC):
UNCRITB1AG0 IBAN: IT51N0200801160000002551101 BANK ADDRESS:
via Enrico D'Ovidio 6, I-10129 Torino, ITALY
Alternatively,
the balance for the accommodation can be paid 'cash' at the arrival.
We regret that we cannot accept payment by credit card. VAT
NUMBER (Politecnico di Torino): 00518460019
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Accommodation
Room reservation is made
only for registered people after the registration
fee and a deposit of 150 € per person per room have been
received. Please book your room filling the online ROOM
RESERVATION FORM The rates, for reservation made by 20 May
2006, are : Villa Gualino, viale Settimio Severo, 63,
Torino (3 stars) (Rates are in Euros, per room, per night.
Breakfast and 10% V.A.T. included. Located in the hills of Torino.)
: Single room € 80 (Single Rooms at
Villa Gualino are fully booked! No More Available Option!!)
Double room € 110 Double room (single use) € 100
Hotel Concord, via Lagrange, 47, Torino (4 stars)
(Rates are in Euros, per room, per night. American buffet breakfast
and 10% V.A.T. included. Located in the city center of Torino and
connected to Villa Gualino twice a day by shuttle busses. Public
transportation is also available) : Single room € 110 Double room € 130 Double room (single use) €
120 IMPORTANT NOTE:
(1) The room must be reserved for 4 nights, check in 28 JUNE
2006 - check out 2 JULY 2006. (2) The quotes are per day (bed
and breakfast). Alternative accommodations can be found
at the website: Turismo
Torino
Bus Transfer
Shuttle bus transfers
from and to Turin Caselle Airport will be provided
respectively on 28 June (arrival) and 2 July (departure). The bus
transfer will be available exclusively: for a minimum number of 8
registered passengers and upon explicit reservation by email by 5
June 2006 To book your transfer: Please fill the
online BUS
RESERVATION form. Please specify: (i) flight number, (ii)
airline and (iii) arrival/departure time in the body of the email.
The BUS transfer timetable can be downloaded here starting
on 5 June 2006 TRANSFER
SCHEDULE:TIMETABLE Transfers will be reserved on a "first
come, first served" basis. |
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Venue
The Conference will be
held at the conference facility Villa
Gualino, viale Settimio Severo, 63 Tel. +390116603555
Torino. Torino is located in the north-western part (Region
Piedmont) of Italy and can be reached easily through its airport
( how
to reach Torino by plane), by train ( how
to reach Torino by train) and by car ( how
to reach Torino by car). Further information can be found
at: more
infoThe Region is called Piedmont ( more
info) because it lies at the foot of the mountains with many
famous ski resorts such as Sestriere. In 2006 Turin will be host of
the XX Winter Olympic Games ( XX
Winter Olympic Games) Piedmont has a number of natural
beauties: impressive mountains, gentle hills, green lowlands and
charming lakes. The whole area is also rich with history and art.
For instance Turin is a centre of Baroque art and has one of the
world's most important Egyptian Museums. And its Cathedral holds the
"Holy Shroud", believed to have been Christ's shroud. Furthermore,
delicious food, good wines and the famous truffles abound in Turin
and throughout Piedmont. The Roman Emperor Augustus built Turin
(Augusta Taurinorum) two thousand years ago as a camp for the troops
he sent to protect the Roman state’s northern borders. It remained
almost unchanged, complete with its ancient walls, for centuries,
during the domination both of the Longobards and later of the
Franks, as well as during the early middle ages, until it was reborn
under Duke Emanuele Filiberto, who in 1563 made it the Capital of
the Dukedom of Savoy. In 1720 events led to the creation of the
Kingdom of Sardinia under the sovereignty of Vittorio Amedeo II.
From 1861 to 1865, Turin was the first capital of the kingdom of
Italy elevated by King Vittorio Emanuele II. |
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Contact
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