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Info-Metrics Institute | Workshop Program, 2012 March

Information and Econometrics of Networks

All events March 30 and March 31 at American University

 

FRIDAY MARCH 30 (Location: MGC 4 & 5)  

8:30 AM (Shuttle service provided from Dupont Circle to American University departs The Churchill Hotel no later than 8:35 AM)  

 

8:30-9:30 AM Registration-Coffee-Refreshments

 

9:30-9:35 AM Welcoming Remarks

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

 

9:35-10:00 AM Info-Metrics and Workshop's Objectives

Amos Golan (American U)

 

10:00-12:00 PM SESSION I: Info-Metrics, Systemic Risk and Finance - I

Session Organizer – Michael J. Stutzer                                 

Chair: Duncan Foley (New School for Social Research and Santa Fe Inst.)

1. Entropy in Financial Network Contagion Research Michael J. Stutzer (U. Colorado)

2. Systemic Risk and Network Formation in the Interbank Market Ethan Cohen-Cole (U. Maryland)

3. Contagion and systemic risk in interbank networks Rama Cont (Columbia)

4. Trading Networks Celso Brunetti (Federal Reserve Board)

 

 12:10-1:00 PM SESSION II: Network Groups and Econometrics

Chair: Robin Lumsdaine (American U)

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

 

1:00-2:00 PM LUNCH (Provided)

 

2:00-3:15 PM SESSION III: Economic and Decision Networks

Chair: Robert Lerman (American U and Urban Institute)

1. Linear Social Network Models, Steven N. Durlauf (U. Wisconsin), Lawrence Blume, 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)

 

3:15-3:30 PM Coffee Break

 

3:30-4:30 PM 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 Angelo Mele (Johns Hopkins)

4. The Role of Reciprocation in Social Network Formation, with an Application to Blogging, Alexia Gaudeul (Friedrich Schiller University) and Caterina Giannetti (University of London)

 

4:30-4:40 PM Coffee Break  

 

4:40-6:10 PM SESSION V: Complex and Information Networks

Chair: Aman Ullah (UC Riverside)

1. Complex Systems and Economics -- A Network Theoretic Approach Daniel N. Rockmore (Dartmouth)

2. Unawareness, Information Theory, and Multiagent Influence Diagrams David Wolpert (Santa Fe Inst. and Information Sciences Group, Los Alamos National Laboratory)

  

6:15-7:45 PM Reception (Butler Boardroom)

 

SATURDAY MARCH 31 (Location: Ward 2)

8:00 AM (Shuttle service provided from Dupont Circle to American University departs The Churchill Hotel no later than 8:05 AM)

 

8:00-9:00 AM Coffee-Refreshments

 

9:00-10:00 AM 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 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)

 

10:05-10:50 AM 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 Daniel Signori (Simon Fraser University) and Ramazan Gencay (Simon Fraser University)

3. Point Process Modeling for Directed Interaction Networks Patrick J. Wolfe joint work with Patrick Perry, NYU (University College London, Harvard University)

 

10:50-11:10 AM Coffee Break

 

11:10-12:00 PM SESSION VIII: Complex Information Networks - II

 Chair: Nathan Harshman (American U)

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

 

12:00-1:00 PM LUNCH (Provided)

 

1:00-1:45 PM SESSION IX: Economic and Financial Networks - Applications

Chair: Simon Sheng (American U.)

1. Nonparametric Analysis of Two-Sided Markets Senay Sokullu (University of Bristol)

2. Endogenous Response to the Interbank Loan 'Network Tax': Stability and Efficiency José Pedro Fique (Universidade do Porto, Portugal)

2. A Model of Endogenous Extreme Events Loran Grady Chollete (University of Stavanger)

  

1:45-3:30 PM 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)  

 

3:45 PM (Shuttle service provided from American University to Dupont Circle departs the Ward building at approximately 3:45 PM)