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Agent based modelling and complex financial markets April 2008


Complex Markets


Workshop and Conference

Warwick


March 31st –April 5th 2008


The Workshop and Conference will take place in Scarman House, Scarman Road, University of Warwick. All accommodation has been booked in Scarman House and each delegate will be allocated office space in break-out rooms close the lecture theatre (Lecture Room 10) where the presentations will take place. During the Workshop and Conference all delegates will be able to take advantage of Warwick Sports facilities - just show your room key on at Reception. There is a large swimming pool, gym, squash, badminton courts and an indoor tennis centre with 6 courts apart from running tracks and various circuits around the University. Close by we have Stratford-on-Avon, home of the Royal Shakespeare Company and tickets may be organised for you if needed. Breakfast, lunch and dinner will be provided in Scarman House. Also Warwick Arts Centre on the main Campus has a full schedule of films, music and theatre.


The workshop will run from Monday 31st March to Thursday 3rd April with two presentations a day - one in the morning and one in the afternoon leaving plenty of time for interaction and preparations of the final report. The schedule for the Workshop is currently as follows:


EU NEST WORKSHOP on Agent Based Models and Complex Markets


Monday 31st March:


7.30am Breakfast in the Restaurant

10.00am Tea/ Coffee in the Lounge

12.00pm Lunch: Self Service in the Restaurant

3.00pm Tea/ Coffee in the Lounge

4.00pm Presentation L10: Wing Wah Tham (Warwick)

Price Discovery in the Foreign Exchange Market

7.00pm Dinner in the Restaurant



Tuesday April 1st


7.30am Breakfast in the Restaurant

10.00am Tea/ Coffee in the Lounge

10.30am Presentation L10: Wei Pang (Warwick & Newcastle) and Roman Kozhan Warwick)

Asymmetric Momentum Effects and Ambiguity

11.15am Presentation L10: Juliette Rouchier and Alan Kirman (GREQEM, Marseille)

Moscow Sellers Discovering about Markets

12.00pm Lunch: Self Service in the Restaurant

3.00pm Tea/ Coffee in the Lounge

4.00pm Presentation L10: Sylvie Thoron (Marseille)

How Risk Aversion yields Bargaining Agreement

4.45pm Presentation L10: Jean-Benoit Zimmermann( Marseille)

Open Source Markets

7.00pm Dinner in the Restaurant




Wednesday April 2nd


7.30am Breakfast in the Restaurant

10.00am Tea/ Coffee in the Lounge

10.30 Presentation L10: Eric Guerci (Genoa and Marseille)

Artificial auction markets

12.00pm Lunch: Self Service in the Restaurant

3.00pm Tea/ Coffee in the Lounge

4.00pm Presentation L10: Paolo Pin (Trieste)

Excess Covariance and Dynamic Instability in a Multi-Asset Model

7.00pm Dinner in the Restaurant


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Thursday April 3rd


7.30am Breakfast in the Restaurant

10.00am Tea/ Coffee in the Lounge

10.30am Presentation L10: Patrick Leoni (Marseille)

Monte-Carlo Estimation of the Downside Risk of Derivative Portfolios

12.00pm Lunch: Self Service in the Restaurant

3.00pm Tea/ Coffee in the lounge

4.00pm Presentation L10: Alan Kirman (Marseille)

Born under a Lucky Star

7.00pm Dinner in the Restaurant



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Conference Programme


Complex Markets


Warwick Business School


Friday April 4th 2008


Lecture Room:10

Scarman House


9.15 Registration and Coffee


9.30 Guilia Iori (City)

Numerical and Empirical Analysis of Interbank Lending and Systemic Risk


10.15 Ignmar Nolte ( Konstanz)

Panel Intensity models with latent factors; an application to trade dynamics in Foreign Exchange Markets


11.00 COFFEE


11.30 Cars Hommes and Mikhail Anufriev (Amsterdam)

Complex Evolutionary Systems


12.15 Thomas Lux (Kiel)

Bounded Rationality in Complex Markets; learning and strategic behaviour in Cobweb experiments


1.00 LUNCH


2.00 Mishael Milakovic (Kiel)

The Empirical Distribution of Firms 'Profit Rates'


2.45 Simone Alfarano (Kiel)

A Statistical Equilibrium Model of Competitive Firms


3.30 TEA


4.00 Matteo Marsili (Trieste)

Choice and Opportunity in Social Networks


4.45 Mark Salmon and Roman Kozhan (Warwick)

The Forward Premium under Loss Aversion; is it still a puzzle?


5.30 END DAY 1



Complex Markets


Saturday April 5th



9.00 Michele Marchesi (Cagliari)

A multi-market model for assessing the impact of the interplay among different markets


9.45 Florian Wagener (Amsterdam) (with William Brock and Cars Hommes)

More hedging instruments may destabilise markets


10.30 COFFEE


10.45 Tiziana Assenza ( Amsterdam) (with Domenico Delli Gatti and Andrea Monticini)

Financially Driven Growth and Fluctuations; does heterogeneity matter?


11.30 Luca Gelsomini (Warwick)

Market Manipulation


12.15 LUNCH


END