The following keynote speakers have been
confirmed:
Stefan Thurner
(Medical
University of Vienna, Head
of Section for Science of Complex Systems)
Volker
Grimm
(Helmholtz Center for Environmental
Research
- UFZ, Leipzig, Germany)
Miguel Onorato
(University
of Turin,
Department of Physics)
____________________________________________
Stefan
Thurner
Full professor of Science of Complex Systems at the Medical
University of Vienna and external professor at the Santa Fe Institute (New
Mexico, USA).
He has published more than 120 articles in fundamental
physics, applied mathematics, complex systems, life sciences, econophysics,
and social sciences, with a strong focus on computer simulation of complex
systems. He holds two patents and is active in quantitative financial
consulting for financial institutions, especially for automated trading
strategies.
Preventing collapse of financial networks through systemic risk taxes
- answers from agent based models
abstract
Financial markets are exposed to systemic risk (SR), the risk that the
system ceases to function and collapses. Since recently, it is possible to
quantify SR in terms of underlying financial (multiplex) networks where
nodes represent financial institutions, and links capture financial
contracts such as loans, credits, or derivatives. We show that it is
possible to quantify in real data the SR of individual transactions in a
financial network. We propose a tax on individual transactions that is
proportional to their contribution to the overall SR. If a transaction does
not increase SR, it is tax free. We demonstrate with an agent based model
(CRISIS macro-financial model) that the proposed Systemic Risk Tax (SRT)
leads to a self-organized re-structuring of financial networks that are
practically free of SR. ABM predictions agree remarkably well with the
empirical data and can be used to understand the relation of credit risk and
SR.
____________________________________________
Volker
Grimm
Professor of Theoretical Ecology and is doing research on computer
simulation in ecology and model documentation and standardization.
With S.
F. Railsback, he published the influential book “Individual-based modeling
and ecology” (Princeton University Press, 2005), where he popularized the
use of computer simulation in ecology and paved the way for a new alliance
between ecology, computer and social sciences.
Patterns, protocols, and predictions: agent-based modelling as
a multi-scope for analysing complex systems
abstract
Systems comprised of decision-making agents such as ecosystems or
financial markets are complex. Nevertheless, they generate patterns in
structure and dynamics which can be observed at different hierarchical
levels and scales. Modellers, though, often focus on only one pattern, which
usually is not sufficient to select among alternative model formulations.
Therefore, pattern-oriented modelling (POM) has been developed as a general
strategy for using multiple observed patterns for the multi-criteria design,
selection and calibration of models of complex systems. Instead of using
models as a ‘micro-scope’ focussing on individuals, or ‘macro-scope’
focussing on systems dynamics, POM uses agent-based models as ‘multi-scopes’
to capture the interaction between the whole system and its building blocks.
I will present examples from ecology and other domains. I will demonstrate
that models developed according to POM usually have a high level of
structural realism, i.e. a high chance of capturing the internal
organization good enough to make robust predictions of system responses to
new conditions. Still, POM models are often tied to specific systems and
observations. To proceed to a more general theory of agent-based complex
systems, the ODD protocol for communicating agent-based models can be used
to systematically relate the structure and processes of models to broad
classes of patterns, or stylized facts, observed in different systems.
____________________________________________
Miguel
Onorato
Leading researcher in nonlinear waves, turbulence and wave
forecasting models, where he combined laboratory research and numerical
simulations.
He had
an influential role at the European Centre for Medium-Range Weather
Forecasts in developing and improving the wave
forecasting system.
Numerical Simulation of surface gravity waves
abstract
The dynamics of surface gravity waves, i.e. waves at the interface between
water and air, is governed by the Navier-Stokes equations that account for
the conservation of momentum and mass of a small but macroscopic element of
fluid. Boundary conditions at the free surface are required in order to
describe the dynamics of the interface. The numerical simulations of the
Navier-Stokes equations is in general not an easy task, especially if the
Reynolds number is large enough and turbulence takes place. In the specific
case of surface gravity waves, the computation is even more complicated by
the fact that two fluids (air and water) are part of the domain. Moreover,
waves are generated by a turbulent wind and waves may go through a breaking
process in which air is entrapped in water forming bubbles. In the talk I
will present the state of the art of the simulations of ocean waves and
discuss some recent results obtained using 1) a level set method (in
collaboration with A. Iafrati) and 2) boundary-fitted approach (in
collaboration with F. Zonta)