Didier Sornette: Catalogue data in Spring Semester 2018
|Name||Prof. em. Dr. Didier Sornette|
Professur f. Entrepreneurial Risks
ETH Zürich, SEC F 7
|Department||Management, Technology, and Economics|
|363-0564-00L||Entrepreneurial Risks||3 credits||2G||D. Sornette|
|Abstract||-General introduction to the different dimensions of risks with|
emphasis on entrepreneurial, financial and social risks.
-Development of the concepts and tools to understand these risks,
control and master them.
-Decision making and risks; human cooperation and risks
|Objective||We live a in complex world with many nonlinear|
negative and positive feedbacks. Entrepreneurship is one of
the leading human activity based on innovation to create
new wealth and new social developments. This course will
analyze the risks (upside and downside) associated with
entrepreneurship and more generally human activity
in the firms, in social networks and in society.
The goal is to present what we believe are the key concepts
and the quantitative tools to understand and manage risks.
An emphasis will be on large and extreme risks, known
to control many systems, and which require novel ways
of thinking and of managing. We will examine the questions
of (i) how much one can manage and control these risks,
(ii) how these actions may feedback positively or negatively
and (iii) how to foster human cooperation for the creation
of wealth and social well-being.
Depending on the number of students and of the interest, the exam
will consist in a project, one for each student or in small groups,
focused on the application of the concepts and tools developed in this
class to problems of practical use to the students in their varied fields.
The choice of the subjects will be jointly decided by the
students and the professor.
|Content||This content is not final and is subjected to change|
and adaptation during the development of the course
in order to take into account feedbacks from the
students and participants to the course.
1- Risks in the firm and in entrepreneurship
-What is risk? The four levels.
-Conceptual and technical tools
-Introduction to three different concepts of probability
-Useful notions of probability theory
(Frequentist versus Bayesian approach,
the central limit theorem and its generalizations, extreme value theory)
-Where are the risks for firms? Downside and upside
-Diversification and market risks
2-The world of power law risks
-power laws and beyond
-scale invariance, fractal and multifractals
-mechanisms for power laws
-Examples in the corporate, financial and social worlds
3-Risks emerging from collective self-organization
-concept of bottom-up self-organization
-bifurcations, theory of catastrophes, phase transitions
-the hierarchical approach to understanding self-organization
4-Measures of risks
-coherent and consistent measures of risks
-origin of risks
-dependence structure of risks
-measures of dependence and of extreme dependences
-introduction to copulas
5-Conceptual and mathematical models of risk processes
-self-excited point processes of economic and financial shocks
-agent-based models applied to collective emergent behavior
in organization of firms and societies and their risks
6-Endogenous versus exogenous origins of crises
-mild crises versus wild catastrophes: black swans and kings
-the dynamics of commercial sales
-the dynamics of Youtube views and internet downloads
-the dynamics of risks in the financial markets
-strategic management and extreme risks
7-Why do markets burst and crash?
-collective behavior, imitation and herding
-humans as social animals and consequence of risks
-bubbles and crashes in human affairs, innovation, new technologies
8-Limits of predictability, of control and of management
-the phenomenon of ``illusion of control''
-the world is a whole: irreducible risks from lack of diversification
-intrinsic limits of predictability
-the concept of pockets of predictability
-political, financial, economics, natural risks
-elements on theories of decision making
-Human cooperation and its lack thereof, mechanisms and design
|Lecture notes||The lecture notes will be distributed a the beginning of |
|Literature||I will use elements taken from my books |
Critical Phenomena in Natural Sciences,
Chaos, Fractals, Self-organization and Disorder: Concepts and Tools,
2nd ed. (Springer Series in Synergetics, Heidelberg, 2004)
-Y. Malevergne and D. Sornette
Extreme Financial Risks (From Dependence to Risk Management)
(Springer, Heidelberg, 2006).
Why Stock Markets Crash
(Critical Events in Complex Financial Systems),
(Princeton University Press, 2003)
as well as from a variety of other sources, which will be
indicated to the students during each lecture.
|Prerequisites / Notice||-A deep curiosity and interest in asking questions and in attempting to |
understand and manage the complexity of the corporate, financial
and social world
-quantitative skills in mathematical analysis and algebra
for the modeling part.
|364-1058-00L||Risk Center Seminar Series |
Number of participants limited to 50.
|0 credits||2S||A. Bommier, D. Basin, D. N. Bresch, L.‑E. Cederman, P. Cheridito, P. Embrechts, H. Gersbach, H. R. Heinimann, M. Larsson, W. Mimra, G. Sansavini, F. Schweitzer, D. Sornette, B. Stojadinovic, B. Sudret, U. A. Weidmann, S. Wiemer, M. Zeilinger, R. Zenklusen|
|Abstract||This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling and governing complex socio-economic systems, and managing risks and crises. Students and other guests are welcome.|
|Objective||Participants should learn to get an overview of the state of the art in the field, to present it in a well understandable way to an interdisciplinary scientific audience, to develop novel mathematical models and approaches for open problems, to analyze them with computers or other means, and to defend their results in response to critical questions. In essence, participants should improve their scientific skills and learn to work scientifically on an internationally competitive level.|
|Content||This course is a mixture between a seminar primarily for PhD and postdoc students and a colloquium involving invited speakers. It consists of presentations and subsequent discussions in the area of modeling complex socio-economic systems and crises. For details of the program see the webpage of the seminar. Students and other guests are welcome.|
|Lecture notes||There is no script, but the sessions will be recorded and be made available. Transparencies of the presentations may be put on the course webpage.|
|Literature||Literature will be provided by the speakers in their respective presentations.|
|Prerequisites / Notice||Participants should have relatively good scientific, in particular mathematical skills and some experience of how scientific work is performed.|