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Info-Metrics Institute | Workshop Proceedings, March 2012

Proceedings: Information & Econometrics of Networks

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Complete Proceedings & Presentation Materials


Friday March 30


Welcoming Remarks

Peter Starr (Dean of College of Arts & Sciences, American U.)

Info-Metrics and Workshop’s Objectives

Amos Golan (American U.)


SESSION I: Info-Metrics, Systemic Risk and Finance - I

Session Organizer – Michael J. Stutzer (U. Colorado)  
Chair: Duncan Foley (New School for Social Research and Santa Fe Inst.)

1. Entropy in Financial Network Contagion Research presentation
Michael J. Stutzer (U. Colorado)
2. Systemic Risk and Network Formation in the Interbank Market
presentation Ethan Cohen-Cole (U. Maryland)
3. Contagion and systemic risk in interbank networks presentation
Rama Cont (Columbia)
4. Trading Networks presentation
Celso Brunetti (Federal Reserve Board)


SESSION II: Network Groups and Econometrics

Chair: Robin Lumsdaine (American U)

1. Exponent of Cross-sectional Dependence: Estimation and Inference presentation
Natalia Bailey (Cambridge), George Kapetanios (U. London), M. Hashem Pesaran (Cambridge and U. of Southern California)


SESSION III: Economic and Decision Networks

Chair: Robert Lerman (American U and Urban Institute)

1. Linear Social Network Models, Steven N. Durlauf presentation (U. Wisconsin), Lawrence Blume (Cornell), William Brock, and Rajshri Jayaraman
2. Main Street vs. Wall Street: A Comparison of Views
Robin Lumsdaine (American U) and Rogier J.D. Potter van Loon (Erasmus U)


SESSION IV: Social Networks

Chair: Anil Bera (U. Illinois)

1. Identification and Estimation of Social Interactions through Variation in Equilibrium Influence Mikko Packalen (University of Waterloo)
2. A Social Interactions Model with Endogenous Friendship Formation and Selectivity Chih-Sheng Hsieh and Lung-Fei Lee (Ohio State University)
3. A Structural Model of Segregation in Social Networks presentation Angelo Mele (Johns Hopkins)
4. The Role of Reciprocation in Social Network Formation, with an Application to Blogging presentation Alexia Gaudeul (Friedrich Schiller University) and Caterina Giannetti (University of London)


SESSION V: Complex and Information Networks

Chair: Aman Ullah (UC Riverside)

1. Complex Systems and Economics -- A Network Theoretic Approach presentation
Daniel N. Rockmore (Dartmouth)
Unawareness, Information Theory, and Multiagent Influence Diagrams
David Wolpert (Santa Fe Inst. And Information Sciences Group, Los Alamos National Laboratory)



SESSION VI: Info-Metrics, Systemic Risk and Finance - II

Session Organizer – Michael J. Stutzer   
Chair: Michael J. Stutzer (U. Colorado)

1. Finding diverse and manageable sets of plausible yet severe financial system scenarios presentation
Craig Friedman (S&P)
2. Credit Default Swaps and Systemic Risk
Andreea Minca (Cornell)
3. Strategic Behavior and Endogenous Risk of Contagion in a Financial Network: A Network Formation Game
Pallavi Baral (Indiana University)


SESSION VII: Financial and Social Networks

Chair: Dennis Glennon (OCC)

1. Market Microstructure Implications of Financial Networks
Naomi Boyd (West Virginia University), Abel Rodriguez (University of California-Santa Cruz), Brenda Betancourt (University of California-Santa Cruz)
2. Economic Links and Counterparty Risk: The Network Determinants of Credit Spreads presentation
Daniel Signori (Simon Fraser University) and Ramazan Gencay (Simon Fraser University)
3. Point Process Modeling for Directed Interaction Networks
Patrick Wolfe (University College London, Harvard University)


SESSION VIII: Complex Information Networks - II

Chair: Nathan Harshman (American U)

1. Mining Heterogeneous Information Networks: Do We Need New Metrics? presentation
Jiawei Han (U. Illinois at Urbana-Champaign)

SESSION IX: Economic and Financial Networks - Applications

Chair: Simon Sheng (American U.)

1. Nonparametric Analysis of Two-Sided Markets presentation
Senay Sokullu (University of Bristol)
2. Endogenous Response to the Interbank Loan ’Network Tax’: Stability and Efficiency presentation
José Pedro Fique (Universidade do Porto, Portugal)
3. A Model of Endogenous Extreme Events presentation
Loran Grady Chollete (University of Stavanger)


Round Table – Info-Metrics: Information Processing across the Sciences

Moderator: Robin Lumsdaine (American U)
Anil Bera (U Illinois)
Duncan K. Foley (New School for Social Research and Santa Fe Inst.)
Nicholas Kiefer (Cornell U)
M. Hashem Pesaran (Cambridge and U. of Southern California)
Michael Stutzer (U Colorado)