big data in finance and economics...big data is radically transforming our understanding of economic...
TRANSCRIPT
BIG DATA IN FINANCE AND ECONOMICS FABRIZIO LILLO SCUOLA NORMALE SUPERIORE (GUIDO CALDARELLI, IMT LUCCA)
Big Data is radically transforming our understanding of economic and financial systems
Observing and modeling the behavior and interaction of all the agents acting in a market
High resolution and throughput data (for research and business)
New tools based on complex network theory and computational agent based models
Joining the social and the economic dimension Toward a better understanding of financial and
economic crises
Systemic instability at high frequency in financial market
2000 2010
May 6, 2010 Flash Crash
News, sentiment, and finance How individual agents respond to news: Combining microdata with sentiment analysis
Web queries
The query volumes anticipate the trading volume "
G. Caldarelli IMT LUCCA, ISI Torino, ISC-CNR!
Ecology of real agents in financial markets
• Network of real investors in Finland • Clustered according to the similarity of their strategies
High Frequency Traders
Strategy space
Impact Centrality in networks can help assessing "Impact of bankruptcies"As financial distress propagate the impact changes"
G. Caldarelli IMT LUCCA, ISI Torino, ISC-CNR!
Controllability The interbank Market can be seen as a system to be controlled"
Central Bank can drive by inject liquidity"
Too connected to fail does not work"Neither the most connected"Nor the top lenders "correspond to drivers"
G. Caldarelli IMT LUCCA, ISI Torino, ISC-CNR!
Systemic risk: networks and agent based models
www.crisis-economics.eu
Forecasting financial crises
www.focproject.eu"
G. Caldarelli IMT LUCCA, ISI Torino, ISC-CNR!