Normal 0 false false false /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Обычная таблица"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Times New Roman"; mso-ansi-language:#0400; mso-fareast-language:#0400; mso-bidi-language:#0400;} ‘From Adam Smith to financial failures: dragon-kings vs. black swans, diagnostics and forecasting of the World financial crisis' . Master class by Didier Sornette.
On September 8th Professor Didier Sornette will give a master class entitled ‘From Adam Smith to financial failures:dragon-kings vs. black swans, diagnostics and forecasting of the World financial crisis'. The event has been organized by the HSE Financial Engineering &Risk Management Lab.
Prof. Sornette is Director of the Financial Crisis Observatory, member of the Swiss Finance Institute and Co-Founder of the Competence Center for Coping with Crises in Socio-Economic Systems.
ABSTRACT
Extreme fluctuations or events are often associated with power law statistics. Indeed, it is a popular belief that "wild randomness''is deeply associated with distributions with power law tails characterized by small exponents. In other words, power law tails are often seen as the epitome of extreme events. Here, we document in many different systems that there is life beyond power law tails:power laws can be superseded by "dragon-kings'', monster events that occur beyond the power law tail. Dragon-kings reveal hidden mechanisms that are only transiently active and that amplify the normal power law fluctuations. We will present evidence of the dragon-king phenomenon on the statistics of financial losses, economic geography, hydrodynamic turbulence, material rupture, avalanches in random directed polymers, earthquakes, epileptic seizures, and cyber risks. The special status of dragon-kings open a new research program on their predictability, based on the hypothesis that they belong to a different class of their own and express specific mechanisms amplifying the normal dynamics via positive feedbacks. We will present evidence of these claims for the predictions of material rupture, financial crashes and epileptic seizures. The dragon-king approach allows us to understand the present World financial crisis as underpinned by two decades of successive financial and economic bubbles. We will demonstrate how market risk management can be enlarged by combining strategic, tactical and time-varying risk analysis.
Videos from Didier Sornette's lectures:videolectures.net/didier_sornette.
Working language:English.
Start time:3.30 p.m.
Everyone interested is welcome to attend!
If you need a pass to the HSE, please contact Olga Sedova, Engineer at the Financial Engineering &Risk Management Lab, by phone:+7 (495) 621-67-62, +7 (926) 505-87-38 or via e-mail:risk@hse.ru.
Address:Room G 513. 11 Pokrovskiy Bulvar.