On Wednesday (March 13) at 3 p.m. the IFISC Colloquia on Complex Systems seminar series will continue with the seminar "Noise and information in economic and financial systems" by Rosario N. Mantegna (Palermo University). The seminar can be followed by streaming on the web: 

https://ifisc.uib-csic.es/en/events/seminars/noise-and-information-in-economic-and-financial-sy/


Abstract

I will first briefly introduce some basic concepts of Econophysics modelling of financial markets. I will therefore discuss the modeling of financial markets in terms of institutions performing information aggregation. Specifically, I will consider the nature and value of dispersed information that is aggregated in a market during the process of price discovery. As a case study, I will show the simultaneous presence of information and noise in multivariate return time series of stocks traded in a stock market and I will discuss some successful methods of information filtering. The complexity of the process of aggregation of information that is endogenous or exogenous to the market will be highlighted by considering the reaction of different categories of investors to market indicators and financial news.