Time
|
Duration
|
Type
|
Presenting person
|
Title
|
November 19th, Friday |
|
| 11:00 |
Personal registration and coffee, tea and cakes |
| 12:15 |
Official Opening of the Symposium: Professor Katarzyna Chałasińska-Macukow Pro-Rector of Warsaw University and Vice-President of the Polish Physical Society |
| 12:20 |
Introduction of President of the PTF Section: Physics in Economy and Social Sciences (FENS) - Janusz A. Hołyst |
| 12:35 |
TIME-SERIES ANALYSIS & MARKETS MODELING I - Ryszard Kutner - Warsaw University, Department of Physics, Pasteur 7 Str., Room 17 (ground-floor)
|
| 12:35 |
00:25:00 |
oral |
Krzysztof Urbanowicz |
How much noise is at stock markets ? |
| 13:00 |
00:25:00 |
oral |
Dariusz Grech |
Properties of old and new techniques of detrended analysis in time series. |
| 13:25 |
00:25:00 |
oral |
Paweł Oświęcimka |
A comparative study of the applicability of the MF-DFA and the wavelet methods in the context of financial data |
| 13:50 |
00:25:00 |
oral |
Ryszard Wojnar |
From Riemann zeta through L-functions, random matrices, quantum chaos, brownian diffusion, critical collective phenomena ... to financial correlations |
| 14:15 |
00:25:00 |
oral |
Urszula Skornik-Pokarowska |
Effective portfolios. Econometrics and statistics in search of profitable investments. |
| 14:40 |
Coffee, tea and cakes |
| 15:10 |
TIME-SERIES ANALYSIS & MARKETS MODELING II - Dariusz Grech - Warsaw University, Department of Physics, Pasteur 7 Str., Room 17 (ground-floor)
|
| 15:10 |
00:25:00 |
oral |
Arkadiusz J. Orłowski |
Analysis of fluctuations in financial time series |
| 15:35 |
00:25:00 |
oral |
Ryszard Kutner |
Non-linear long-term autocorrelations present in empirical and synthetic high-frequency financial time-series. Possibility of risk classification |
| 16:00 |
00:25:00 |
oral |
Jarosław Kwapień |
Statistical properties of stock market eigensignals |
| 16:25 |
00:25:00 |
oral |
Danuta Makowiec |
Statistics on emergent markets |
| 16:50 |
00:25:00 |
oral |
Andrzej S. Dyka |
Optimum Finite Impulse Response (FIR) low pass-filtering of market quotations |
| 17:15 |
Dinner |
| 18:20 |
NETWORKS, GRAPHS, EXTREMES & MARKET DYNAMICS - Danuta Makowiec - Warsaw University, Department of Physics, Pasteur 7 Str., Room 17 (ground-floor)
|
| 18:20 |
00:25:00 |
oral |
Wojciech Wislicki |
An outline of equilibrium thermodynamics for network games |
| 18:45 |
00:25:00 |
oral |
Arkadiusz Majka |
Statistical thermodynamics for choice models on graphs |
| 19:10 |
00:25:00 |
oral |
Andrzej Palczewski |
Truncated Levy flights on Warsaw Stock Exchange |
| 19:35 |
00:25:00 |
oral |
Piotr Jaworski |
On tail expansions of copulas and modeling multivariate extremes. |
| 20:00 |
00:25:00 |
oral |
Rafał Rak |
Measuring subtle effects of persistence in the stock market dynamics |
November 20th, Saturday |
|
| 08:30 |
Coffee, tea and cakes |
| 08:50 |
Opening of the second day of the Symposium: Professor Mirosław Karpierz Pro-Dean of Faculty of Physics, Warsaw University of Technology |
| 08:55 |
GAMES & NETWORKS - Wojciech Wislicki - Warsaw University of Technology, main building, pl.Politechniki 1, room 208 (2nd floor) |
| 08:55 |
00:25:00 |
oral |
Janusz A. Hołyst |
Log-periodic oscillations in degree distributions of hierarchical scale-free networks |
| 09:20 |
00:25:00 |
oral |
Magdalena A. Zaluska-Kotur |
Playing with Minority Games |
| 09:45 |
00:25:00 |
oral |
Grzegorz Wilk |
Information theory point of view on stochastic networks |
| 10:10 |
00:25:00 |
oral |
Krzysztof Malarz |
Matrix representation of evolving networks |
| 10:35 |
00:25:00 |
oral |
Janusz Miśkiewicz |
Correlations between the most developed economies - network analysis |
| 11:00 |
Coffee, tea and cakes |
| 11:30 |
ARBITRAGE PRICING, RISK & PROFIT - Janusz A. Hołyst - Warsaw University of Technology, main building, pl.Politechniki 1, room 208 (2nd floor) |
| 11:30 |
00:25:00 |
oral |
Karol Krzyżewski |
On a new approach to the arbitrage pricing theory |
| 11:55 |
00:25:00 |
oral |
Wojciech Otto |
Insurer's surplus model with varying risk parameter and delayed reporting |
| 12:20 |
00:25:00 |
oral |
Łukasz Stettner |
Remarks on risk neutral and risk sensitive portfolio optimization |
| 12:45 |
00:25:00 |
oral |
Katarzyna Sznajd-Weron |
Sznajd model and its applications |
| 13:10 |
Lunch |
| 14:15 |
SOCIAL DISTANCE, WEALTH CONDENSATION & BUSINESS - Olaf W. Morawski - Warsaw University of Technology, main building, pl.Politechniki 1, room 208 (2nd floor) |
| 14:15 |
00:25:00 |
oral |
Krzysztof Kułakowski |
The Heider balance and social distance |
| 14:40 |
00:25:00 |
oral |
Barbara Pabjan |
Measuring of social relations: the social distance in social structure and communication - a study of prison community |
| 15:05 |
00:25:00 |
oral |
Zdzislaw Burda |
Wealth condensation in Pareto macro-economy |
| 15:30 |
00:25:00 |
oral |
Barbara Kołodziejczyk |
Problems of the electric power market |
| 15:55 |
00:25:00 |
oral |
Łukasz J. Kociuba |
Beyond Business Intelligence. Integration of business knowledge and technology in xIS Solutions |
| 16:20 |
00:25:00 |
oral |
Roman Szwed |
From physics to business |
| 16:45 |
Coffee, tea and cakes |
| 17:15 |
ROUND-TABLE DISCUSSION & SUMMARY - Janusz A. Hołyst, Ryszard Kutner |
| 18:00 |
SKŁADANIE DEKLARACJI O CZŁONKOSTWO W FENS - Janusz A. Hołyst |
| 19:00 |
ZEBRANIE ZARZĄDU FENS - Janusz A. Hołyst |
