Berlin 2005 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 13: Financial Markets and Risk Management I

AKSOE 13.1: Hauptvortrag

Mittwoch, 9. März 2005, 10:00–10:45, TU P-N203

Self-Organized Complexity in Economics and Finance — •Luis A. Nunes Amaral — Department of Chemical and Biological Engineering, Northwestern University, Evanston, IL 60208, USA

In my talk I will first discuss the reason why I use the word "complexity". In particular, I will differentiate between complicated and complex. Then, I will briefly review the set of tools and concepts that appear to be particularly useful when studying complex systems. I will then present some arguments for how uncertainty, on one hand, and the network of interactions, on the other, determine the type of strategies implemented by the agents. I will then discuss a simple model that illustrates the constraints imposed by uncertainty and connectivity on strategy evolution and selection. [1] Complex networks - augmenting the framework for the study of complex systems. Amaral, LAN, & Ottino, JM, Eur. Phys. J. B 38, 147-162 (2004). [2] Efficient system-wide coordination in noisy environments. Moreira, AA, Mathur, A, Diermeier, D, & Amaral, LAN, Proc. Natl. Acad. Sci. U. S. A. 101, 12085-12090 (2004). [3] Different scaling behaviors of commodity spot and future prices. Matia, K, Amaral, LAN, Goodwin, SP, & Stanley, HE, Phys. Rev. E 66, art. no. 045103, 1-4 (2002). [4] Application of statistical physics methods and concepts to the study of science & technology systems. Amaral, LAN, Gopikrishnan, P, Matia, K, Plerou, V, & Stanley, HE, Scientometrics 51, 9-36 (2001). [5] Inverse cubic law for the distribution of stock price variations. Gopikrishnan, P, Meyer, M, Amaral, LAN, & Stanley, HE, Eur. Phys. J. B 3, 139-140 (1998). [6] Power law scaling for a system of interacting units with complex internal structure. Amaral, LAN, Buldyrev, SV, Havlin, S, Salinger, MA, & Stanley, HE, Phys. Rev. Lett. 80, 1385-1388 (1998). [7] Universal features in the growth dynamics of complex organizations. Lee, YK, Amaral, LAN, Canning, D, Meyer, M, & Stanley, HE, Phys. Rev. Lett. 81, 3275-3278 (1998). [8] Scaling behaviour in the growth of companies. Stanley, MHR, Amaral, LAN, Buldyrev, SV, Havlin, S, Leschhorn, H, Maass, P, Salinger, MA, & Stanley, HE, Nature 379, 804-806 (1996).