WEHIA 2015 - Sciencesconf.org

Macroeconomics: comparing DSGE and ABM models

Room 138

Jakob Grazzini, Catholic University of Milan

› One Model to Rule Them All: a Dynamic Stochastic General Disequilibrium Agent-Based Model - Mattia Guerini, Scuola Superiore Sant'Anna 09:00-09:30 (30min)

› DSGE vs ABM: A Model Comparison in a Financial Accelerator Framework - Federico Giri, Università Politecnica delle Marche 09:30-10:00 (30min)

› Learning and heterogeneity in DSGE models: an agent-based approach - Jakob Grazzini, Catholic University of Milan 10:00-10:30 (30min)

Macroeconomics and Inequality

Room 139

Simone Righi, Università degli Studi di Modena e Reggio Emilia

› Inequality and the Financial Accumulation Process: A Computational Economic Analysis of Income and Wealth Dynamics - Simone Righi, Università degli Studi di Modena e Reggio Emilia 09:00-09:30 (30min)

› Wealth Inequality in a Macro Agent-Based Model - Maxime Gueuder, Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM) 09:30-10:00 (30min)

› Piketty's Fundamental Inequality in an AK Growth Model with Heterogeneous Agents - Pedro Albuquerque, KEDGE Business School, Aix-Marseille School of Economics 10:00-10:30 (30min)

Complexity Approaches in Finance and Economics

Room 140

Elena M. Tur, Institute of Innovation and Knowledge Management

› Transitions, percolation and social reinforcement - Elena M. Tur, Institute of Innovation and Knowledge Management 09:00-09:30 (30min)

› Hierarchical Causality in Financial Economics - Tim Gebbie, University of the Witwatersrand 09:30-10:00 (30min)

› Do not spread too much market information! Market inefficiencies in a consumer network-based model. - Bedogni Jacopo, University of Genova 10:00-10:30 (30min)

Industrial Organization: Models and Empirical Analyses

Room 141

Alessandro Sapio, Parthenope University of Naples

› The Impact of Credit Rating on Innovation in A Two-Sector Evolutionary Model - Pascal Assmuth, Centre d'économie de la Sorbonne, Bielefeld University 09:00-09:30 (30min)

› Common Statistical Features of the Dynamics of Corporate Profitability and Growth: An International Perspective - 09:30-10:00 (30min)

› The footprint of evolutionary processes of learning and selection upon the statistical properties of industrial dynamics - Maria Enrica Virgillito, Scuola Superiore Sant'Anna 10:00-10:30 (30min)

Financial markets: models and empirical analyses

Room 144

Dominika Kryczka, Swiss Finance Institute, University of Zürich

› A Quantum Model for the Stock Prices in a General Market - Tingting Gao, The University of Tokyo 09:00-09:30 (30min)

› Recursive equilibria in dynamic economies with stochastic production - Dominika Kryczka, Swiss Finance Institute, University of Zürich 09:30-10:00 (30min)

› REA Accounting Ontology & Stock-Flow Consistency: Modelling Complex Financial Instruments - Vehbi Sinan Tunalioglu, Universita degli studi di Genova - UNIGE (ITALY) 10:00-10:30 (30min)

Bubbles and Financial Networks

Room 145

Pietro Battiston, Scuola Superiore Sant'Anna

› Crashes of Housing Price Bubbles under Heterogeneous Expectations - Zichun Huang, Nanyang Technological University - NTU (REPUBLIC OF SINGAPORE) 09:00-09:30 (30min)

› Speculation in financial networks: it's not just fundamental - Pietro Battiston, Scuola Superiore Sant'Anna 09:30-10:00 (30min)

› Endogenous network topology in the interbank lending market - Andrea Deghi, Università degli Studi di Siena 10:00-10:30 (30min)

Coffee break

Special plenary session on Financial Networks, Systemic Risk and Regulation (Chair: Mauro Napoletano) - "The price of complexity"

Lecture Hall AXA

Stefano Battiston, University of Zürich, Switzerland

Special plenary session on Financial Networks, Systemic Risk and Regulation (Chair: Mauro Napoletano) - "Collateral Chains"

Lecture Hall AXA

Singh Manmohan, International Monetary Fund, Washington DC, USA

Lunch

Macroeconomics of climate change and production networks

Room 138

Antoine Mandel, Ecole d'Économie de Paris - Paris School of Economics

› Faraway, so close: an agent-based model for climate-change policies in high-end scenarios - Alessandro Sapio, Parthenope University of Naples 14:00-14:30 (30min)

› Criticality in an input-output model of heterogeneous firms - Giacomo Livan, University College London 14:30-15:00 (30min)

› Shock Diffusion in the European Production Network - Paolo Sgrignoli, University of Verona 15:00-15:30 (30min)

Agent-Based Macroeconomics

Room 139

Domenico Delli Gatti, Catholic University of Milan

› Dynamic Stochastic Generalised Aggregation in a Multisectoral Macroeconomic Model - Michele Catalano, Prometeia Associazione 14:00-14:30 (30min)

› A Multi-country Macro Agent Based Model - 14:30-15:00 (30min)

› Fiscal policies in an agent-based macro model - Marco Raberto, University of Genova 15:00-15:30 (30min)

Bubbles and Financial Networks

Room 140

Ruggero Grilli, Università Politecnica delle Marche

› Discovering SIFIs, a temporal complex approach - Alessandro Paolo Spelta, Università Cattolica del Sacro Cuore 14:00-14:30 (30min)

› Networks evolving towards small-world: a quantitative measure - Rosanna Grassi, University of Milano Bicocca 14:30-15:00 (30min)

› The synchronization game: how borrower strategies generate bubbles - Ruggero Grilli, Università Politecnica delle Marche 15:00-15:30 (30min)

Game-theory: Models and Experiments

Room 141

Moti Michaeli, European University Institute

› Transitivity matters. Norms Enforcement and diffusion using different neighborhoods in CAs. - Ilaria Bertazzi, Dipartimento di Economia e Statistica Università degli studi di Torino 14:00-14:30 (30min)

› From Peer Pressure to Biased Norms: Formation and Collapse - Moti Michaeli, European University Institute 14:30-15:00 (30min)

› The effect of strategic environments in beauty contest games - Angela Sutan, Burgundy School of Business 15:00-15:30 (30min)

Financial markets: models and empirical analyses

Room 144

Remco Zwinkels, VU University Amsterdam

› Investor Heterogeneity and Asset Migration: Assessing the Efficacy of Technological & Methodological Innovation in the Asset Management Industry Using Investor-Centric Allocation Strategy - Tolga Sezer, University of Genoa (DIME) 14:00-14:30 (30min)

› Investor Sentiment and Excessive Comovement of Chinese Stock Market - 14:30-15:00 (30min)

› Limitations to Sovereign Debt Speculation - Remco Zwinkels, VU University Amsterdam 15:00-15:30 (30min)

Financial markets: models and empirical analyses

Room 145

Tibor Neugebauer, University of Luxembourg

› Bubble-and-bust dynamics under walrasian asset pricing and heterogeneous traders - Jacopo Staccioli, Scuola Superiore Sant'Anna 14:00-14:30 (30min)

› Experimental Stock Market Dynamics: Excess demand, adaptation, and style investing in a call-auction with multiple multi-period lived assets - Tibor Neugebauer, University of Luxembourg 14:30-15:00 (30min)

› Assets pricing implication of unknown dividend process: focus on fair prices and fundamental comovements - Vivien Lespagnol, Aix-Marseille Université 15:00-15:30 (30min)

Coffee break

Agent-Based Macroeconomics

Room 138

Andrea Roventini, Scuola Superiore Sant'Anna

› Credit and Demand in a Dynamic Network of Balance Sheets: an AB-SFC macroeconomic model. - Alessandro Caiani, Marche Polytechnic University 16:00-16:30 (30min)

› AS-AD disequilibrium curves derived from a financially constrained agent based model - Luca Riccetti, Sapienza, Università di Roma 16:30-17:00 (30min)

› Outside the corridor: fiscal multipliers and business cycles into an agent-based model with liquidity constraints - Andrea Roventini, Scuola Superiore Sant'Anna 17:00-17:30 (30min)

Expectations, Bubbles and Policies in Agent-Based Models

Room 139

Tiziana Assenza, CLE, Department of Economic and Finance, Università Cattolica del Sacro Cuore

› Stabilization Policies and Long Term Growth: Policy Implications from an Agent-based Macroeconomic Model - Philipp Harting, Bielefeld University 16:00-16:30 (30min)

› Individual Expectations and Aggregate Macro Behavior - Tiziana Assenza, CLE, Department of Economic and Finance, Università Cattolica del Sacro Cuore 16:30-17:00 (30min)

› Bubbles, Crashes & the Financial Cycle: The Limits to Credit Growth - Sander van der Hoog, Bielefeld University 17:00-17:30 (30min)

Market Dynamics

Room 140

Thomas Fischer, Technische Universität Darmstadt

› Analysis of systemic risk in airline transportation: finding stylized facts and constructing a generating model - Jun-ichi Inoue, Hokkaido University 16:00-16:30 (30min)

› How to attract Customers to your website with word-of-mouth communication in social media - Jieliang Zhou, Tokyo Institute of Technology 16:30-17:00 (30min)

› Incentives and Inequality - Thomas Fischer, Technische Universität Darmstadt 17:00-17:30 (30min)

Bounded rationality and Learning

Room 141

Murat Yildizoglu, Groupe de Recherche en Economie Théorique et Appliquée (GRETHA)

› Coevolution of expectations and monetary policy in as simple Kydland&Prescott economy - Murat Yildizoglu, Groupe de Recherche en Economie Théorique et Appliquée (GRETHA) 16:00-16:30 (30min)

› Simple Forecasting Heuristics that Make us Smart: Evidence from Different Market Experiments - Tomasz Makarewicz, Amsterdam School of Economics, CeNDEF, University of Amsterdam 16:30-17:00 (30min)

› Ants and crickets: arbitrary saving rates in an agent-based model with dynasties of agents - Janos Vincze, Centre for Economic and Regional Studies of the Hungarian Academy of Sciences 17:00-17:30 (30min)

High-Frequency Finance and Market Microstructure

Room 144

Simone Alfarano, Universitat Jaume I

› High-Frequency Trading and the Emergence of Flash Crashes: some regulatory policy experiments - Sandrine Jacob Leal, ICN Business School, Nancy 16:00-16:30 (30min)

› Anomalous variance scaling in high frequency financial data - Noemi Nava, University College London - London's Global University 16:30-17:00 (30min)

› Impact of inventory-based electronic liquidity provision strategies within an agent-based modeling framework - Alexandru Mandes, Justus Liebig University Giessen, Chair of Statistics and Econometrics 17:00-17:30 (30min)

Financial markets: models and empirical analyses

Room 145

Massimo Molinari, Università degli Studi di Roma

› Detrended fluctuation analysis as a regression framework: Estimating dependence at different scales - Kristoufek Ladislav, Institute of Information Theory and Automation [Prague] 16:00-16:30 (30min)

› Market microstructure and trend-based trading strategies in the foreign exchange market - Lucio Idone, Systemic Risk Centre, University College London 16:30-17:00 (30min)

› Interbank operations among cooperative banks: a network approach - Massimo Molinari, Università degli Studi di Roma 17:00-17:30 (30min)

Round Table on Agent-Based Models and Complex Systems Analysis in Economics: Past Achievements and Future Challenges (Chair: Eric Guerci and Mauro Napoletano)

Lecture Hall AXA

Giovanni Dosi, Mauro Gallegati, Cars Hommes, Thomas Lux, Alan Kirman

Social Dinner