Presentation/discussion by Didier Sornette
ETH Zurich, Professor of Finance (Chair of Entrepreneurial Risks), Director of the Financial Crisis Observatory , Member of the Swiss Finance Institute co-founder of the Competence Center for Coping with Crises in Socio-Economic Systems, (videolectures.net/didier_sornette)
Theme: "A solution of the excess volatility puzzle: a generic emergent property of collective agent models"
7th September, Tuesday
12:00 – 14:00
Venue: Pokrovskiy boulevard, 11, auditorium G-513
Presentation/discussion by Didier Sornette
ETH Zurich, Professor of Finance (Chair of Entrepreneurial Risks), Director of the Financial Crisis Observatory , Member of the Swiss Finance Institute co-founder of the Competence Center for Coping with Crises in Socio-Economic Systems, (videolectures.net/didier_sornette)
Theme: "A solution of the excess volatility puzzle: a generic emergent property of collective agent models"
Abstract: Disorder-induced volatility'' (DIV) describes the enhanced fluctuations of collective behaviors exhibited by bistable systems in the presence of a rapidly fluctuating external signal. At the DIV resonance, a defining characteristics is that the response of the system becomes uncorrelated with the external driving noise, making DIV resonance different from stochastic resonance. Numerical simulations and an analytical theory of a stochastic dynamical version of the Ising model on regular and random networks demonstrate the ubiquity and robustness of DIV, which is proposed as a possible cause of excess volatility in financial markets. Other applications include enhanced effective temperatures in a variety of out-of-equilibrium systems and the strong selective responses of immune systems of complex biological organisms.
During the visit of Prof. Didier Sornette also the following event will take place:
Pass can be ordered by:
tel. +7 (495) 621-67-62
e-mail: risk@hse.ru
contact: Olga Sedova
