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Complexity in Finance and Economics

Author: Tiziana di Matteo

Abstract

In this talk I will discuss about Complexity in both financial and economic data sets [1] and present our recent contribution to the Economic Fitness and Complexity field [2]. I will introduce Network filtering procedures and show that these are valuable tools for risk management and portfolio optimization [3-5] and they allow to construct probabilistic sparse modeling for financial systems that can be used for forecasting, stress testing and risk allocation [6-8]. Moreover I will also show how methods based on machine learning might be powerful in forecasting macroeconomic variables.

References

[1]  R. J. Buonocore, N. Musmeci, T. Aste, T. Di Matteo, "Two different flavours of complexity in financial data", Eur. Phys. J. Special Topics 225, 310 5–3113 (2016).

[2] Orazio Angelini and T. Di Matteo, in preparation 2018.

[3] Guido Previde Massara, T. Di Matteo, Tomaso Aste, Journal of Complex networks, volume 5, number 2 (2016)  161.

[4] N. Musmeci, Tomaso Aste, T. Di Matteo, Journal of Network Theory in Finance 1(1) (2015) 1-22.

[5] N. Musmeci, T. Aste, T. Di Matteo, PLoS ONE 10(3): e0116201 (2015).

[6] N. Musmeci, T. Aste and T. Di Matteo, Scientific Reports 6, 36320; doi:1038/srep36320 (2016).

[7] Wolfram Barfuss, Guido Previde Massara, T. Di Matteo, T. Aste, Phys.Rev. E 94 (2016) 062306.

[8] Tomaso Aste and T. Di Matteo, Complexity, vol. 2017, Article ID 4518429, 13 pages, 2017.


Bio

Tiziana Di Matteo is Professor of Econophysics. A trained physicist, she took her degree and PhD from the University of Salerno in Italy before assuming research roles at universities in Australia and Britain. She works in the Department of Mathematics at King’s College London in Econophysics, complex networks and Data science. She has authored over 100 papers and gave invited and keynote talks at major international conferences in the US, across Europe and Asia, making her one of the world’s leaders in this field. She is member of the External Faculty of the Complexity Science Hub in Vienna. She is Editor-in-Chief for the Journal of Network Theory in Finance, Editor of the European Physical Journal B and Guest Editor of several other volumes. She is Co-founder of the Econophysics Network. She has been consultant for the Financial Services Authority and several hedge funds.