Lundin Gold March 2024 Corporate Presentation - PDAC v1.pdf
Systemic risk caused by synchronization
1. Systemic Risk caused by
Synchronization
SYstemic Risk TOmography:
Signals, Measurements, Transmission Channels, and
Policy Interventions
Jorgen Vitting Andersen, CNRS, Centre d´Economie de la Sorbonne, Université
Paris 1 Panthéon-Sorbonne
Collaborators:
L. Bellenzier, P. Dellaportas, S. Galam, A Nowak, P. de Peretti, M.
Roszczynska, G. Rotundo, R. Savona, S. Stefani, and I. Vrontos
SYRTO Project Final Conference, Paris – February 19, 2016
3. “Will consider human decision making to happen in
two different ways
i) direct communication between people
or
ii) indirect communication between people through
a medium, say price index (Finance)
-1st level: communication between individuals
- 2nd level: communication between groups of
individuals
16. Understanding Excessive Risk Taking Seen in
Experiments on Financial Markets
• Jørgen Vitting Andersen, CNRS,
Centre d’Economie de la Sorbonne,
University of Paris 1.
• Research in progress, collaborators:
Yifang Liu, Philippe de Peretti, Maxim
Frolov, Roberto Savona, Hayette Gatfaoui,
Rania Kaffel
17. Individual versus collective risk taking
• Individual risks: Men are known to be more risk loving
compared to women. For real market traders see e.g. :
“Endogenous steroids and financial risk on a London
trading floor”, J. M. Coates and J. Herbert, PNAS, V.105,
16, 6167-72 (2008); “A note on trader Sharpe Ratios”, J.
M. Coates and L. Page, PLoSONE, V.4, 11, e8036 (2009)
• Collective risks: how does a group of traders with
heterogeneous risk profiles influence the formation of
market risks?
18. Setup of experiments
• Before each experiments individual risk profiles of participants were
obtained from lotteries (C. A. Holt, S. Laury, The American Economic
Review, V. 92, 1644 (2002)
29. Taking the «temperature» of the market: predicting big
price «swings »
• Internal state of water? Insert a thermometer into the
liquid.
• Internal state of market? «slave » an agent based model to
the price evolution.
• Market in a “hot” or “cold” state.
45. Link between communication and its impact
on the markets
• r(t) the return of the market, RB(t)=[B(t)-
B(t-1)]/B(t), and η(t) Gaussian distributed
with zero mean and std. dev.:
51. This project has received funding from the European Union’s
Seventh Framework Programme for research, technological
development and demonstration under grant agreement n° 320270
www.syrtoproject.eu
This document reflects only the author’s views.
The European Union is not liable for any use that may be made of the information contained therein.