'Mandelbrot’s propositions in economics and finance, and their legacy' (hybrid conference)
10-11 December 2024, Maison des Sciences Économiques, Paris
Mandelbrot’s propositions in economics and finance, and their legacy
10-11 December 2024
Venue: Maison des Sciences Économiques, 106-112 Bd de l’Hôpital, 75013 Paris
Contact: mandelbrotcentennial@gmail.com
Registration (mandatory): Enrollment form
Scientific Committee: Thomas Delcey (Université de Dijon), Jean-Sébastien Lenfant (Université Paris 1 Panthéon-Sorbonne), Emmanuel Picavet (Université Paris 1 Panthéon-Sorbonne), Guillaume Vuillemey, (HEC), Christian Walter (EHESS),
Organizing Committee: Véronique Deverly (former IBM), Dorian Jullien (U. Paris 1 Panthéon-Sorbonne), Jean-Sébastien Lenfant (U. Paris 1 Panthéon-Sorbonne), Emmanuel Picavet (U. Paris 1 Panthéon-Sorbonne), Xavier Vasques
Tuesday, 10 December
13h30-14h Welcome coffee and registration
14h-14h15 Welcome speech
14h15-14h30 Laurent Mandelbrot [chair: Christian Walter], Foreword
14h30-16h45 Session Œconomia. Representations of market dynamics [chair: Annie L. Cot, Université Paris 1]
14h30-15h15. Emiliano Ippoliti (Sapienza Università, Roma).The problem of Stock Market Mathematics and Mandelbrot’s bottom-up approach
15h15-16h. Robert Dimand (Brock University). Bachelier (1914) and Mandelbrot (1963): the issue of fat tails
16h-16h45. Thomas Delcey (Université de Bourgogne). Interwar agricultural economists and price efficiency
17h15-18h45 Witnesses [chair: Christian Walter]
17h15-18h. Xavier Vasques (IBM) Benoît Mandelbrot at IBM: Harnessing Fractals to Revolutionize Data, Finance, and Telecommunications
18h-18h45 Richard L. Hudson (Science|Business), The (Mis)behavior of Markets: A journalist’s insights into fractal finance
Wednesday, 11 December
10h15-12h30. Session Sorbonne Alliance. “Analysis of Mandelbrot’s papers” [chair: Jean-Sébastien Lenfant, Université Paris 1]
10h15-11h. Christian Walter (EHESS). Analysis of the compte rendu à l’Académie des sciences (1962) : ‘Sur certains prix spéculatifs : faits empiriques et modèle basé sur les processus stables additifs non gaussiens de Paul Lévy’.
11h00-11h45. Rosario Mantegna (University of Palermo). Lévy processes, Lévy flights and Truncated Lévy flights in physics and finance in the 1990s
11h45-12h30. Jean-Philippe Bouchaud (Académie des sciences). Mandelbrot at the origin of econophysics?
14h30-16h45. Session CHRONOS. Mandelbrot’s legacy [chair: Jean-Paul Laurent,
Université Paris 1]
14h30-15h15. Ernst Eberlein (University of Freiburg). Lévy driven financial models: Valuation of derivative securities.
15h15-16h. Dilip Madan (University of Maryland, Robert H. Smith School of Business). Brownian Motion: A Financial Contradiction and Discontinuous Continuity Modelling
16h-16h45. Laura Ballotta (Faculty of Finance, Bayes Business School (formerly Cass)). New challenges in financial modelling: beyond classical Lévy models
