Regensburg 2007 – wissenschaftliches Programm

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AKSOE: Arbeitskreis Physik sozio-ökonomischer Systeme

AKSOE 14: Financial Markets and Risk Management III

Donnerstag, 29. März 2007, 14:00–17:45, H8

	14:00	AKSOE 14.1	Noise Reduction by Power Mapping for Improved Portfolio Optimization — •Rudi Schäfer, Nils Fredrik Nilsson, and Thomas Guhr
	14:30	AKSOE 14.2	Downside Risk metrics for Hedge Funds: an empirical and a theoretical approach — •Josep Perelló
	15:00	AKSOE 14.3	An evolving Potts model of financial markets with threefold imput agents — •Georges Harras and Didier Sornette
	15:30	AKSOE 14.4	Endogenous drawdown outliers in the limit-order-book — •Gilles Daniel and Didier Sornette
	16:00		15 min. break
	16:15	AKSOE 14.5	Scaling behavior of Student-Lévy processes — •Oliver Grothe and Rafael Schmidt
	16:45	AKSOE 14.6	Correlation matrices of synthetic continuous time random walks — •Daniel Fulger, Enrico Scalas, and Guido Germano
	17:15	AKSOE 14.7	Theoretical predictions and empirical observations of eigenvalue spectra of time-lagged correlation matrices — •Christoly Biely and Stefan Thurner