When: July 5-7, 2006
Where: ISI Foundation, Villa Gualino, Torino, Italy, how to reach us
Contact: Gilles Daniel, gilles @ isi.it
* Motivations
* Prospectus
* Programme
* Talks slides
* List of participants
The goal of this workshop is to bring together practitioners and scholars involved in laboratory experiments and computer simulations of financial markets. While everyone will be given an opportunity to present their ongoing research, focus will be on group discussions regarding what and how practitioners and scholars from complementary fields can learn from each other.
This meeting will be followed by a Workshop on Agent-Based Modeling of Socio-Economic Systems (with Direct and Indirect Interactions) -- July 8-13, 2006
Talks slides
| Giulio Bottazzi | Expectations formation |
| Johannes Kaiser | Determinants of Foreign Exchange Speculation |
| Enrico Scalas | Introduction to continuous-time finance |
| Ami Elstein | Business line of Olive Tree Capital hedge fund |
| Ted Theodosopoulos | Problems in high frequency finance: can artificial markets help? |
| Michele Marchesi | Artificial Stock Markets |
| Marco Raberto | Genoa Artificial Stock Market |
| Gilles Daniel | Tick-by-tick simulations of financial markets |
Motivations
The price formation mechanism of speculative assets (which can be freely bought and sold) is of prime importance to practitioners. Nevertheless, for many years, financial economists regarded it as a solved problem: in markets where information was freely available, the presence of rational arbitrageurs would ensure that the market price of a share, for instance, would fluctuate randomly around its fair value, computed in terms of economic data and affected only by the arrival of new, unexpected information.
In an effort to go further than the normative approach of traders rationality and perfect foresight, laboratory experiments conducted on a limited number of human subjects give us a precious insight on how people actually make economic decisions. On the other hand, computer simulations of artificial stock markets explain macroscopic price fluctuations in terms of emergence from the microscopic interactions between thousands of artificial agents.
Those two approaches appear deeply complementary: Experimental Finance needs to generalise their results from small laboratory markets to real markets, while Computational Finance strives to refine the behaviour of their artificial agents.
This workshop will bring together scientists involved in both fields and will aim at promoting crossbreeding, giving an opportunity to everyone to present and discuss its ongoing research and fostering future collaboration.
List of confirmed participants
| Giulio Bottazzi | Sant'Anna School Of Advanced Studies, Pisa, Italy |
| Olivier Brandouy | Universite des Sciences et Technologies de Lille, Lille, France |
| David Bree | University of Manchester, UK |
| Gilles Daniel | ISI Foundation, Italy / University of Manchester, UK |
| Ami Elstein | Olive Tree Capital, Hedge Fund, Israel |
| Leor Gruendlinger | Weizmann Institute of Science, Israel |
| Johannes Kaiser | Max Plank Institute, Germany |
| Michele Marchesi | University of Cagliari, Italy |
| Marco Raberto | University of Genoa, Italy |
| Enrico Scalas | University of East Piedmont, Alessandria, Italy |
| Angelo Secchi | Sant'Anna School Of Advanced Studies, Pisa, Italy |
| Eitzik Smouha | Day Trader, Israel |
| Sorin Solomon | ISI Foundation, Italy / Hebrew University of Jerusalem, Israel |
| Ted Theodosopoulos | IKOS Asset Management, Cyprus |
| Bence Toth | ISI Foundation, Italy / University of Budapest, Hungary |
| Jorgen Vitting-Andersen | University of Nice, France |
| Joseph Wakeling | University of Fribourg, Switzerland |
| Roger Waldeck | ENST Bretagne, France |
Contact: Gilles Daniel gilles @ isi.it
