Program (*** updated 2010/11/03 ***)

	11/04	11/05	11/06
08:30 - 09:00	Registration & Opening
09:00 - 09:50	Keynote Speech: Chiarella, Carl	Keynote Speech: Kaizoji, Taisei	Parallel Session (M,N)
09:50 - 10:10	Coffee Break
10:10 - 12:40	Parallel Session (A,B)	Parallel Session (G,H)	10:15 - 10:30	Coffee Break
			10:30 - 11:45	Parallel Session (O,P)
12:40 - 14:00	Lunch		11:50 - 12:50	Keynote Speech: Dawid, Herbert
				Ending
14:00 - 14:50	Keynote Speech: Di Matteo, Tiziana	Keynote Speech: Kim, Seunghwan
14:50 - 16:05	Parallel Session (C,D)	Parallel Session (I,J)
16:05 - 16:20	Coffee Break
16:20 - 18:25	Parallel Session (E,F)	Parallel Session (K,L)
18:25 - 18:50		Banquet at Agora Garden on 19:30
18:50 -

 

Keynote Speech (11/04, 09:00 - 09:50)
Chairman: Li,Sai-Ping
09:00 - 09:50	Chiarella, Carl (University of Technology, Sydney)
	Title: The Market Impact of Boundedly Rational Traders

Parallel Session A (11/04, 10:10 - 12:40)
Chairman: Ghoulmie, Francois
10:10 - 10:35	Ghoulmie, Francois (Academie de Versailles)
	Title: Statistical modeling of strategic behaviors: advances in microstructure
10:35 - 11:00	Baek, Yongjoo (Korea Advanced Institute of Science and Technology)
	Title: Strategy Preference and Profitability in Stock Markets (reference)
11:00 - 11:25	Yu, Tongkui (Beijing Normal University)
	Title: Market Crowd Trading Conditioning and Its Measurement
11:25 - 11:50	Vuttivorakulchai, Kantawong (Mahidol University)
	Title: The Behavioral Dynamics of Price Index Changes of Stock Markets: Physics Approach
11:50 - 12:15	Morton de Lachapelle, David (Swissquote Bank and Ecole Polytechnique Federale de Lausanne)
	Title: Long-memory covariance matrices and their use in portfolio allocation
12:15 - 12:40	Ahn, Sanghyun (Korea Advanced Institute of Science and Technology)
	Title: Identifying the Structure of Group Correlation in the Korean Financial Market

Parallel Session B (11/04, 10:10 - 12:40)
Chairman: Dannenberg, Olavi
10:10 - 10:35	Dannenberg, Olavi (University of Eastern Finland)
	Title: Lagrangian mechanics of a simple economic model
10:35 - 11:00	Lucheroni, Carlo (University of Camerino)
	Title: Financial models for tight markets: the case of power markets, spikes and antispikes
11:00 - 11:25	Cichy, Krzysztof (Adam Mickiewicz University)
	Title: A simulational model of a Ramsey-type economy with randomness
11:25 - 11:50	Matsumoto, Akio (Chuo University)
	Title: Delay Differential Neoclassical Growth Model
11:50 - 12:15	Hsu, Yu-Lin (National Taiwan University)
	Title: Corporate finance: from the viewpoint of complex system
12:15 - 12:40

 

Keynote Speech (11/04, 14:00 - 14:50)
Chairman: Li,Sai-Ping
14:00 - 14:50	Di Matteo, Tiziana (King's College London and The Australian National University)
	Title: The use of dynamical correlated networks to investigate volatile markets

Parallel Session C (11/04, 14:50 - 16:05)
Chairman: Ishii, Akira
14:50 - 15:15	Ishii, Akira (Tottori University)
	Title: Mathematical model of hit phenomena
15:15 - 15:40	Hsu, Jiann-wien (National Tainan Institute of Nursing)
	Title: Some interesting statistics in Chinese Journal of Physics
15:40 - 16:05	Mizuno, Takayuki (Hitotsubashi University)
	Title: On the Evolution of the House Price Distribution

Parallel Session D (11/04, 14:50 - 16:05)
Chairman: Ellis, Craig A.
14:50 - 15:15	Ellis, Craig A. (University of Western Sydney)
	Title: Scaling Properties of Foreign Exchange Returns
15:15 - 15:40	Sharma, Balgopal (Govt. Science College Raipur)
	Title: Application of Multiscale entropy analysis to verification of the applicability of Efficient Market Hypothesis
15:40 - 16:05	Sharma, Ravi (Arts & Commerce Girls College Devendranagar)
	Title: Study of scaling behavior of NIFTY using detrended fluctuation analysis

 

Parallel Session E (11/04, 16:20 - 18:50)
Chairman: Batten, Jonathan
16:20 - 16:45	Batten, Jonathan (Hong Kong University of Science & Technology)
	Title: Is There a Link between Intraday Volatility and Long Term Dependence? Evidence from the Nikkei
16:45 - 17:10	Kostanjcar, Zvonko (University of Zagreb)
	Title: Relationship between bid-ask spreads and fluctuations in market prices
17:10 - 17:35	Rak, Rafal (University of Rzeszow)
	Title: Characteristics of fluctuations for the stock and currency markets
17:35 - 18:00	Lai, Yu-Chan (Kainan University)
	Title: Chaotic Behavior Of Exchange Rate: Perspectives on Large Lyapunov Exponent of USD-NTD Time Series
18:00 - 18:25	Sandoval, Leonidas Junior (INSPER)
	Title: Shocks in financial markets, price expectation, and damped harmonic oscillators
18:25 - 18:50

Parallel Session F (11/04, 16:20 - 18:50)
Chairman: Schafer, Rudi
16:20 - 16:45	Schafer, Rudi (University of Duisburg-Essen)
	Title: Correlations in high-frequency financial data: Compensating asynchrony and tick-size effects (ref1, ref2)
16:45 - 17:10	Kwon, Okyu (APCTP)
	Title: Asymmetric information flow between market index and individual stocks
17:10 - 17:35	Tanaka-Yamawaki, Mieko (Tottori University)
	Title: Extracting Principal Components from Pseudo-Random Data by Using Their Randomness
17:35 - 18:00	Yi, Il Gu (Sungkyunkwan University)
	Title: Group structure identification in a stock market based on cross correlation
18:00 - 18:25	Yalamova, Rossitsa (University of Lethbridge)
	Title: Self-organization and Emerging Structures in Bubble Build-up Regime in the Stock Market-Resilience Engineering Perspective
18:25 - 18:50	Namaki, Ali (University of Tehran)
	Title: comparing TEPIX as an emerging market with mature market by Random Matrix Approach

 

Keynote Speech (11/05, 09:00 - 09:50)
Chairman: Li,Sai-Ping
09:00 - 09:50	Kaizoji, Taisei (International Christian University, Tokyo)
	Title: Power Laws and Financial Crisis

Parallel Session G (11/05, 10:10 - 12:40)
Chairman: Cheong, Siew Ann
10:10 - 10:35	Cheong, Siew Ann (Nanyang Technological University)
	Title: Bernanke's 2010 US Economic Recovery: Evidence from a Minimal Spanning Tree Study
10:35 - 11:00	Maskawa, Jun-ichi (Seijo University)
	Title: Large Correlations as a Signal of Instability in Stock Market
11:00 - 11:25	Sandoval, Leonidas Junior (Insper, Instituto de Ensino e Pesquisa)
	Title: Correlation of financial markets in times of crisis
11:25 - 11:50	Oh, Gabjin (Chosun University)
	Title: Measuring complexity based on integration and modularity in financial markets
11:50 - 12:15	Drozdz, Stanislaw (University of Rzeszow and Polish Academy of Science)
	Title: World markets: log-periodic view on their past, present and future development
12:15 - 12:40	Kim, Soo Yong (Korea Advanced Institute of Science and Technology)
	Title: Tendency of correlations in foreign exchange markets

Parallel Session H (11/05, 10:10 - 12:40)
Chairman: Kristoufek, Ladislav
10:10 - 10:35	Kristoufek, Ladislav (Charles University in Prague)
	Title: Distinguishing between types of multifractality: Evidence from high-frequency data
10:35 - 11:00	Kim, Beom Jun (Sungkyunkwan University)
	Title: Fractal nature of the profit landscape
11:00 - 11:25	Kim, Hongseok (POSTECH)
	Title: Multifractal Analysis of Korean Agricultural Market
11:25 - 11:50	Saakian, David (Academia Sinica and Yerevan Physics Institute)
	Title: Statistical mechanics of multi-fractal walk models: fluctuating stock as REM in the Lee-Yang-Fisher phase
11:50 - 12:15	Son, Woo-Sik (Sogang University)
	Title: Delay effect on the dynamical model of a financial system
12:15 - 12:40	Kim, Sehyun (Korea Advanced Institute of Science and Technology)
	Title: Dependence structure of commodity and stock market, and relevant multi spread strategy

 

Keynote Speech (11/05, 14:00 - 14:50)
Chairman: Li,Sai-Ping
14:00 - 14:50	Kim, Seunghwan (POSTECH)
	Title: TBA

Parallel Session I (11/05, 14:50 - 16:05)
Chairman: Estola, Matti
14:50 - 15:15	Estola, Matti (University of Eastern Finland)
	Title: Measuring and Testing Economic Laws of Production
15:15 - 15:40	Ishikawa, Atushi (Kanazawa Gakuin University)
	Title: Total factor productivity in firms around the globe
15:40 - 16:05	Inoue, Hiroyasu (Osaka Sangyo University)
	Title: An Analysis of Transaction and Joint-patent Application Networks

Parallel Session J (11/05, 14:50 - 16:05)
Chairman: Yamamoto, Ryuichi
14:50 - 15:15	Yamamoto, Ryuichi (National Chengchi University)
	Title: Belief changes and expectation heterogeneity in buy- and sell-side professionals in the Japanese stock market
15:15 - 15:40	Tseng, Jie-Jun (Academia Sinica)
	Title: Quantifying volatility clustering in financial time series
15:40 - 16:05

 

Parallel Session K (11/05, 16:20 - 18:25)
Chairman: Vacha, Lukas
16:20 - 16:45	Vacha, Lukas (Academy of Sciences of the Czech Republic)
	Title: How do skilled traders change the structure of the market
16:45 - 17:10	Yang, Chun-Yi (Yuan Ze University)
	Title: Do Price Limits Hurt the Market?
17:10 - 17:35	Yu, Wei-Te (National Central University, Taoyuan)
	Title: TAIPEX Platform and the On-line Market Experiment
17:35 - 18:00	Pan, Wei (National Chung Cheng University)
	Title: The probabilistic view of group purchase
18:00 - 18:25	Huang, Yi-ping (Soochow University)
	Title: Liquidity Cost of Market Orders in Taiwan Stock Market: A Study based on An Order-Driven Agent-Based Artificial Stock Market

Parallel Session L (11/05, 16:20 - 18:25)
Chairman: Saakian, David
16:20 - 16:45	Saakian, David (Academia Sinica and Yerevan Physics Institute)
	Title: Exact probability distribution function for multi-fractal random walk models
16:45 - 17:10	Barunik, Jozef (Charles University in Prague)
	Title: Monte Carlo-based tail exponent estimator
17:10 - 17:35	Yim, Kyubin (POSTECH)
	Title: Charateristics of trading interval in double auction market
17:35 - 18:00	Ohnishi, Takaaki (The Canon Institute for Global Studies)
	Title: Detecting and analyzing nonstationarity in foreign exchange market
18:00 - 18:25	Molnar, Peter (Norwegian School of Economics and Business Administration)
	Title: Properties of range-based volatility estimators

 

Parallel Session M (11/06, 09:00 - 10:15)
Chairman: Komatsu, Takanori
09:00 - 09:25	Komatsu, Takanori (National Defense Academy, Japan)
	Title: Optimal Diffusion in Evolutionary Designed Networks
09:25 - 09:50	Yu, Tongkui (Beijing Normal University)
	Title: Altruistic punishment works in promoting cooperation
09:50 - 10:15	Kampouridis, Michael (University of Essex)
	Title: Market Fraction Hypothesis: A Proposed Test

Parallel Session N (11/06, 09:00 - 10:15)
Chairman: Mendes, Fabio Macedo
09:00 - 09:25	Mendes, Fabio Macedo (University of Brasilia)
	Title: The effect of savings and taxation on money distribution
09:25 - 09:50	Lee, Jae Woo (Inha University)
	Title: Asymmetric wealth flow of international trade
09:50 - 10:15	Sokolov, Andrey (University of Melbourne)
	Title: Australian Interbank Network

 

Parallel Session O (11/06, 10:30 - 11:45)
Chairman: Sato, Aki-Hiro
10:30 - 10:55	Sato, Aki-Hiro (Kyoto University)
	Title: Patterns of Regional Travel Behavior: An Analysis of Japanese Hotel Reservation Data
10:55 - 11:20	Jung, Woo-Sung (POSTECH)
	Title: Statistical analysis of the Korean transportation system
11:20 - 11:45

Parallel Session P (11/06, 10:30 - 11:45)
Chairman: Politi, Mauro
10:30 - 10:55	Politi, Mauro (International Christian University)
	Title: Optimizing a basket against the efficient market hypothesis
10:55 - 11:20	Chen, Wenjin (Hong Kong University of Science and Technology)
	Title: Two-stock Portfolio Management with Periodic Trading
11:20 - 11:45	Zapart, Christopher (The Institute of Statistical Mathematics, Tokyo)
	Title: Low-entropy trading

Keynote Speech (11/06, 11:50 - 12:40)
Chairman: Chen, Shu-Heng
11:50 - 12:40	Dawid, Herbert (Bielefeld University)
	Title: An Agent-Based Perspective on Technological Change and Economic Growth