of mutual funds, where the regulation is quite October, the 9th th less constraining than the one for the banks. 10:20-10:50 Mutual funds can have an active style of investment; or a passive one, trying to replicate the benchmark. This implies quite an overlap of Keyn ynot ote: Mau auro o Galle llegati ti (Economics, portfolios, beside strategic asset allocation. Marche Polytechnic University, Italy) : This work adopts a complex networks Liaisons dangereuses between firms and perspective for the analysis of the structure of banks the overlap, herding, which exposes the system to potential higher fluctuations. 10:50-11:02 __________________________________ 11:14-11:26 Mar arcel l Ausloos oos (Economics, University of Leicester, UK) : Risk control in peer-to-peer Mar ario o Ebol oli (Economics, Università degli (P2P) e-lending studi "G. dÁnnunzio" Chieti-Pescara, Italy) : This paper discusses the risk control in several Liquidity Flows in Interbank Networks P2P e-lending schemes. First, we compare This paper characterises the interbank deposit different P2P e-business models and intrinsic network as a flow network that is able to risk control styles. We give cases for UK, USA, channel liquidity flows among banks. These and PRChina. It is shown, as somewhat flows are beneficial, allowing banks to cope expected, that a successful and trustable P2P with liquidity risk. First, we analyse the platform should have both good internal and efficiency of three network structures--star- external control. We find disadvantages in shaped, complete and incomplete--in some PRChina case. Second, using a logistic transferring liquidity among banks. The star- regression analysis technique, we prove that shaped interbank network achieves the some information on borrower could predict complete coverage of liquidity risk with the the default rate; the most important smallest amount of interbank deposits held by determinant is the credit grade. Moreover, each bank. This result implies that the star- there is a strong correlation between credit shaped network is most resilient to systemic grade and interest rate. Finally, we discuss the risk. Second, we analyse the banks' credit rating system, finding that the (USA decentralised interbank deposit decisions for a based) "Lending Club" platform would give a given network structure. We show that all fixed interest rate for the different borrowers network structures can generate an according to its credit grade. In fact, our inefficiently low amount of interbank deposits. quantitative analysis allows to conclude that However, the star-shaped network induces the Lending Club uses a good internal control banks to hold an amount of interbank deposits way to control credit risk. This allows us to that is the closest to the efficient level. These suggest the most appropriate or optimized risk results provide a rationale for consistent control schemes. empirical evidence on sparse and centralized 11:02-11:14 interbank networks. 11:26-11:38 Giu iuli lia a Ro Rotu tundo (Mathematics, Sapienza Università di Roma, Italy) : Portfolio Jessic Je ica a Ri Riccion oni (Economics, University of overlapping and herding in mutual funds: Macerata, Italy) : Rational expectations for threats to financial stability systemic risk and stochastic systems One of consequences of the financial crisis of This paper proposes a stochastic model for the 2008 has been an increase of monitoring describing rational expectations in a context of and regulation on the banks system. In turn, systemic risk. We consider a system which is a many investments that the banks don't united entity but is composed by individual perform any more are nowadays competences 1
interconnected components. The components 13:12-13:24 of the system and the system itself can fail. We assume that the failure of the system depends Yas asuko ko Kaw awah ahata ta (Physics, Gunma on the way its components fail. Components University, Japan) : Social risk prediction are weighted, to capture the different levels of using search behavior analysis of people of relevance of them. We define the failure society condition of the system and the rule of failure of its components. Once one has the failure of In recent years, devices such as public one of the components, then there is a networks and smartphones have spread all reallocation rule reassigning to the survivors over the world. We were able to easily know the weight of the failed component. Thus, the the real-time weather and social situation. set of the components along with their weights Likewise, in the case of a social crisis, many is time dependent, and it is a configuration. people hypothesized that there are increasing Rational expectations are obtained by cases of conducting searches related to the considering the expected time of failure of the crisis. We aim to quantitatively clarify the system conditioned to each configuration. influence from media in search behavior by Extensive simulations support the theoretical analyzing trends in the risk of social crisis by setting. socio-physical method of search behavior. In this research, using a mathematical model of 13:00-13:12 search behavior, we propose a method to analyze search behavior by using Google Akir ira a Ishii ii (Physics, Tottori University, Trends data as search number. By using Japan) : Opinion dynamics theory which analysis of search behavior, it is possible to adopted positive and negative trust relation capture a sign of social crisis far more quickly than knowing its signs with blogs and Twitter's Opinion dynamics is important in analyzing number of writes. In addition, it is possible to social consensus formation and majority know the influence of writing of blog and formation. Consensus formation will also be Twitter on search behavior by mathematical important in the sense of avoiding the social model of search behavior. crisis. In this research we present new opinion dynamics theory. The characteristic of this new 13:24-13:36 opinion dynamics theory is that the relationship between people and people has Serge Gal Se alam am (Physics, Centre de Recherches introduced trust and sluggishness in the trust Politiques de Sciences Po, France) : Why relationship. In traditional opinion dynamics bubbles form and eventually collapse ? theory, it was a difference whether there was trust or not, so it was ignored. In our opinion At odd with prevailing views questioning the dynamics theory, we assume that opinions of validity of the neoclassical theory with respect people who do not trust each other will to the repeated occurrence of bullish and become more and more distant from each perish dynamics I show how the basic concepts other. Also, modeling of opinion is a discrete of invisible hand and rational agent produce a value such as +1 and 0, so that the appearance combination of bubbles and subsequent of opinion moving little by little as positive and crashes. The underlining mechanism relies on a negative real numbers also can be reflected. step by step aggregation of rational individual This theory is extremely versatile, it can deal choices, which in turn reveals the existence of not only with social consensus building but also an elasticity in the market efficiency. While problems such as division of society, isolation elasticity allows the rational formation of among groups, or rebellion against public bubble, it also drives the bubble burst when relations by government and mass media. reaching its limit, thus materialising the invisible hand at work. 2
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