Financial Networks and Systemic Risk
http://www.econophysics.jp/fnet13 kyoto
July 17th–19th, 2013
Kyoto University, Kyoto, Japan
Conference Program (final version)
Supported by
• “Forecasting Financial Crisis”, the European Community Seventh Framework Programme (FP7/
2007-2013) under Socio-economic Sciences and Humanities, Grant agreement no. 255987 (FOC-II),
Europe.
• “The Program for Promoting Methodological Innovation in Humanities and Social Sciences by
Cross-Disciplinary Fusing”, MEXT, Japan.
• “Dynamics, Energy and Environment, and Growth of Small- and Medium-sized Enterprises” under
RIETI Research Project “New Industrial Policy”, RIETI, Japan.
• “Study of Innovation Strategies Conducive to Creating Future Industries”, R&D program on Science of Science, Technology and Innovation Policy, JST-RISTEX, Japan.
• The Kyoto University Foundation.
Program
Tuesday, July 16th
17:30–19:30
Pre-registration and Reception
The Clock Tower Centennial Hall, Kyoto University
Wednesday, July 17th
9:30–10:00
10:00–10:10
10:10–10:40
10:40–11:00
11:00–11:20
11:20–11:40
11:40–12:00
12:00–13:30
13:30–14:00
14:00–14:20
14:20–14:50
Registration and Coffee
Opening Address
Hideaki Aoyama
“FOC – Forecasting Financial Crisis” Session I
Chair: Tsutomu Watanabe (University of Tokyo, RIETI)
Guido Caldarelli
Financial Networks
DebtRank Analysis of Japanese Credit Stefano Battiston
Network
DebtRank-Transparency: Controlling
Sebastian Poledna
Systemic Risk in Financial Networks
Systemic Importance of Global Financial Irena Vodenska
Markets and Distress Propagation
Hiroshi Iyetomi
Temporal Evolution of Community
Structure in a Japanese Credit Network
Kyoto University,
RIETI
IMT, Lucca
ETH, Zurich
Medical University
of Vienna
Boston University
Niigata University
Lunch
Chair: Hiroshi Iyetomi (Niigata University)
Credit markets as networked markets:
Rosario N. Mantegna
the cases of bank-firm credit relationships in Japan and in the European interbank market
Measuring the Systemic Risk in Interfirm Makoto Hazama
Transaction Networks
Coffee
Central European
University
Hitotsubashi University
14:50–15:20
15:20–15:40
15:40–16:00
16:00–16:20
16:20–16:40
16:40–17:00
RISTEX: “Science of Science, Technology and Innovation Policy”
Chair: Schumpeter Tamada (Kwansei Gakuin University)
Toward redesigning the structure of so- Masahiro Kuroda
ciety and economy, how to assess and
evaluate impacts of R&D investment on
productivity gains
A General theory toward breakthrough
Eiichi Yamaguchi
innovation
Study of the innovation strategy for
Shinya Yamamoto
Japanese pharmaceutical and biotech industry
Yuji Fujita
Time-lapse of academic landscape
Analysis of citation networks
Wataru Souma
Revealing the intricate effect of collabo- Hiroyasu Inoue
ration on innovation
Session
Keio University
Doshisha University
Doshisha University
Nihon University
Nihon University
Osaka Sangyo University
Thursday, July 18th
9:30–10:00
Chair: Yoshi Fujiwara (University of Hyogo)
Enrico Scalas
Semi-Markov graph dynamics
10:00–10:20
A model of macroprudential policy
Hiroshi Yoshikawa
10:20–10:40
Artificial Lend-Redeem Model on Irregular Topologies
Ranaivo Razakanirina
Universita del
Piemonte Orientale
University of Tokyo,
RIETI
University of Geneva
10:40–12:00
Poster Session
1. Network Approach to Dynamic Correla- Yuta Arai
tions in Stock Markets
2. The joint probability density function of Shouji Fujimoto
firms revealed by supervised landform
classification
3. Total factor productivity and patent
Atushi Ishikawa
quality
4. Detecting Correlation Structure of Stock Takashi Isogai
Returns by Network Clustering
5. The Ownership Network Structure in
Yong Hyun Kwon
Business Group: Evidence from Korean
Chaebol
6. Analysis of a Bidirected Bipartite Credit Yuki Matsuura
Network Formed by Banks and Listed
Firms in Japan
7. Stochastic model for order book dynam- Takayuki Mizuno
ics in online product market
8. Knowledge Map in Japan
Yusuke Naito
9. Causality Data Mining for the Time Series of Financial Futures on Crude Oil in
Japan
10. Parameter estimation methods of a multiplicative stochastic process for an analysis of financial time series
11. Attacking Dynamic Asset Selection
Problems through On-line Machine
Learning Techniques
12. The origin of the ARCH and GARCH
models from the dealer model
13. The Complex Network Study of Money
and CO2 Emission Flows between Industrial Sectors in Asian Countries using
Input-Output Table
14. Comparative Study of Community Structures in Stock Correlation Networks
Lukas Pichl
Niigata University
Kanazawa
University
Gakuin
Kanazawa Gakuin
University
Bank of Japan
KAIST
Niigata University
National Institute of
Informatics
Artificial Life Laboratory, Inc.
International Christian University
Aki-Hiro Sato
Kyoto University
Kazunori Umino
Tokyo Institute of
Technology
Kenta Yamada
Waseda Institute for
Advanced Study
Tokyo University of
Information Sciences
Kazuko Yamasaki
Takeo Yoshikawa
Niigata University
12:00–13:30
13:30–14:00
14:00–14:20
14:20–14:40
14:40–15:00
15:00–15:30
15:30–16:00
16:00–16:20
Lunch
“FOC – Forecasting Financial Crisis” Session II
Chair: Stefano Battiston (ETH, Zurich)
An agent based model of leveraged credit Mauro Gallegati
network vulnerability
Connectivity and Systemic Risk in the
Sergio R. S. Souza
Brazilian Payment System
Yuichi Ikeda
Direct Evidence for Synchronization in
International Business Cycle
Bootstrapping topological properties and Andrea Gabrielli
systemic risk of complex networks using
the fitness model
Coffee
Chair: Wataru Souma (Nihon University)
New Metrics for Economic Complexity: Matthieu Cristelli
Measuring the Intangible Growth Potential of Countries
Countries’ production spectroscopy and Andrea Tacchella
the network of products
Polytechnic University of Marche
Central Bank of
Brazil
Kyoto university
ISC, CNR
ISC, CNR
ISC, CNR
16:30 Leaving for Banquet (Chartered bus leaves in front of the Clock Tower)
18:00 Banquet at The SODOH Higashiyama Kyoto (http://www.thesodoh.com/en/)
Friday, July 19th
9:30–10:00
10:00–10:20
10:20–10:40
10:40–11:00
11:00–11:20
11:20–11:40
11:40–13:10
13:10–13:30
13:30–13:50
13:50–14:10
14:10–14:30
Chair: Anirban Chakraborti (Ecole Centrale Paris)
Economics 2.0: Towards a SelfDirk Helbing
Regulating, Participatory Market Society to Counter Complexity and Extreme
Events
A network analysis of production and its Yuji Aruka
renewal
Systemic Risk: Shock Propagation in Akira Namatame
Core-Periphery Networks
From Power-Law to Log-Normal? Struc- Ji Young Park
tural Information Distortion by Human
Agent and Its Effect on Networks Based
on the Case of Facebook
Risk-Sharing Networks
Eunyoung Moon
Dynamics of Trust in Networks and Systemic Risk
Lunch
Chair: Duk Hee Lee
Market-wide price co-movements around
crashes in Tokyo stock exchange
Dynamic Interaction Between Asset
Prices and Bank Behavior: A Systemic
Risk Perspective
Visualization and analyses of comovement of stocks during a financial
crisis
Financial market risk analysis through
cross-correlation’s eigenvector components distribution
Joao da Gama
Batista
ETH, Zurich
Chuo University
National Defense
Academy
University of Tokyo
University of Liverpool
Ecole Centrale Paris
(KAIST)
Jun-ichi Maskawa
Seijo University
Aki-Hiro Sato
Kyoto University
Anirban Chakraborti
Ecole Centrale Paris
Quang Nguyen
Vietnam National
University
14:30–15:00
Coffee
Chair: Irena Vodenska (Boston University)
15:00–15:20
15:20–15:40
15:40–16:00
16:00–16:20
Risk of Herd and Phase Transition in a
Sequential Voting Experiment
Transaction costs, network topologies,
and information cascades in the financial
markets
Co-evolution of Portfolio Investment
Networks and Indicators for Financial
Crises
Closing Remark
Shintaro Mori
Kitasato University
Joohyun Kim
KAIST
Andreas Joseph
City University of
Hong Kong
Stefano Battison
ETH, Zurich