Berlin 2018 – wissenschaftliches Programm

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DY: Fachverband Dynamik und Statistische Physik

DY 1: Tutorial: Dynamics and Fluctuations in Economic and Financial Markets (joint session SOE/DY/TUT/AKjDPG)

DY 1.2: Tutorium

Sonntag, 11. März 2018, 16:50–17:40, H 0104

Maximum-entropy models in economics and finance — •Tiziano Squartini — IMT School for Advanced Studies Lucca, P.zza San Francesco 19, 55100 Lucca (IT)

Entropy-maximization represents the unifying concept underlying the definition of a number of methods which are now part of the discipline known as "network theory". Despite the perfect generality of this approach, a particularly fruitful application of it has been observed in disciplines like economics and finance. This tutorial will be devoted to illustrate the methodological aspects of the aforementioned approach, with particular emphasis on the definition of null models. The latter can be employed in a number of applications, ranging from pattern detection to network reconstruction: examples will be provided of both, by taking as case studies real-world systems, as the World Trade Web and the Dutch Interbank Network. The aforementioned framework also allows one to properly model fluctuations: the latter can be interpreted as errors affecting the estimation of the quantities of interest and strongly depend on the kind of constraints defining the maximization procedure. In order to illustrate how different reconstruction algorithms perform, a comparison of proposed approaches on the aforementioned real-world systems will be also carried out.