Wednesday 24 november, at 18 hour, in Turin, Honour Hall CRT Foundation, in via XX Settembre,31, Jean Philippe BOUCHAUD (CEA–Saclay,Fr) e Matteo MARSILI (SISSA - Trieste) will keep a lecture, on The very subtle nature of random price changes and on Toy financial markets: Fluctuations, efficiency and complexity, respectively.


JEAN PHILIPPE BOUCHAUD
Abstract

We will discuss the importance of a faithful statistical description of financial markets (that dates back to Bachelier 1900) in order to meet the needs of the financial industry, which grows more and more complex (risk control, derivative markets, etc.). We will emphasize the analogies between the complexity of financial time series and some physical processes (such as turbulence). Finally, we will discuss how a detailed analysis of trade by trade data allows one to establish that markets are, in a precise sense, in a critical state. These findings suggest that although prices are unpredictable, markets are not efficient in the rational sense.

MATTEO MARSILI
Abstract

We discuss simple models of heterogeneous adaptive agents who interact in Minority Game. Though highly stylized, the Minority Game provides a vivid picture of how financial markets operate which can be fully characterized with mathematical tools recently developed in theoretical physics. Furthermore these models reproduces quite realistically the main properties of anomalous fluctuations observed in real markets.