JORGEN VITTING ANDERSEN

jorgeruitting.andersen htt : math.unice.fr CIF

maiLcom

1

Senior Researcher, Centre national de recherche scientifique (CNRS), France Centre d'Economie de la Sorbonne (CES), Paris i

Languages : Danish, English, French, Ge rnan

QUALIFICATIONS

Senior Researcher in Econophysics, Ouantitative Behavioural Econornics and Finance. Interdisciplinary methods (Statistica' Physics, Psychology and Sociology) are used to understand human decision making in financial markets seen as complex systems.

CURRENT RESEARCH PROJECTS

Experimental and Quantitative Behavioural Economics / Finance Using game theory and computer simulations to understand human decision making in a trading floor at HEC Montreal. On-going 2011-2012.

Prediction in Complex Systems/Financial Markets Author of several papers suggesting detection of pockets of predictability in Financial markets (cited in New Scientist, interviewed by BBC's "Horizon" scientific flagship program).

Quantitàtive Behavioral Finance Applying key concepts from Behavioural Finance, like consensus, anchoring, framing, in a quantitative manner to get new insights on human decision making ín financial markets.

Portfolio Theory of Extreme Events Development of an outstanding new Portfolio optimization technique for Non Normal Distributed (Non Gaussian) assets.

APPOINTMENTS

CNRS — Centre d'Economie de la Sorbonne, Paris 1, France 2012--.

Senior Researcher

Collège interdisCiplinaire de la finance (CIF) - Nice University, France 2007-2012

Co-director (http://math.unice.fr/CIFD ■ CNRS Dept. of Physics, Nice University, France 2007-2012

Senior Researcher

■ CNRS — `Dept. of Economics, Paris X University, France 2001-2006

Senior Researcher

CNRS Dept. of Physics, Nice University, France 2000-2001

Associate Researcher

APPOINTMENTS (Visiting Prof. positions)

University of Tianjin, China University of LUISS, Italy University of Warsaw, Poland University of Cagliari, Italy

APPOINTMENTS (other positions)

• Warsavv University, Poland Associate Professar

• Catalyst Investment, London, UK Senior Consultant

• NORDITA (Nordic Institute of Theoretical Physics), Copenhagen Denmark Fellow Researcher

Imperial College, London, United Kingdom Recipient: Individuai grant by the European Union

■ CNRS Nice University, France Post doc: grant " Human Capital and Mobility " attributed by the EU Post doc: grant attributed by the Danish Research Council

▪ McGiII University, Montreal, Canada Post doc: Intil grant attributed by the National Research Council of Canada

■ Institut polytechnique de Grenoble, France Post doc: Maxwell grant attributed by the Academy of Science, France

Dec, 2012 Spring 2012 Spring 2011 Spring 2007

2012-.„

2007-2010

1998-3-999

1996-1997

1996

1995 1993-1994

1992

EDUCATION

Ph.D., Physics (1991), Technical university of Denmark (DTU) 1988-1991 M.A., Physics (1988), University of Aarhus, Denmark 1986-1988 B.A., Mathematics, Physics, Computer Science (1986), Universities of Aarhus/Copenhagen, Denmark 1982-1986

EDITORIAL BOARD

Journal of dynamics of socioeconornic sys ems 201

BOOKS

"An introductory to Quantitative Behavioural Finance (working title), J. Vitting Andersen and A. Nowak (Springer, forthcoming 2013)

CHAPTERS IN BOOKS

"From Minority Games to s-Games", J. Vitting Andersen, invited contribution, chapter in "Handbook on Cornputational Economics and Finance", eclited by Shu-Heng Chen and Mak Kaboudan, Oxford University press (forthcoming 2012).

"Short Selling and the Equity Premium Puzzle", J. Vitting Andersen, invited contribution, chapter

34 in Handbook on Short Selling, edited by Greg N. Gregoriou, McGraw-Hill, in press 2011.

"Models of Investment Decision Making in Finance ", J. Vitting Andersen invited contribution to "Encyclopedia .of Complexity and System Science", D01:10.1007/978-0-387-30440-3_296, edited by Robert A.Meyers.(978-o-387-75888-6) Volume 5 of. uPages 4971-4983 Springer, New York, 2009.

SELECTED PUBLICATIONS in ECONOPHYSICS

"A theoretical framework for trading experiments", M. Soumare, J. Vitting Andersen, F.

Bouchard, A. Elkaim, D. Guégan, J. Leroux, M. Miniconi and L. Stentoft, submitted to Journal of

Economie Behaviour and Organisation (2022).

"Pricing Stocks with Yardsticks and Sentiments", S. Martinez, J. Vitting Andersen, M. Miniconi,

A. Nowak, M. Roszczynska and D. Bree, Algorithmic Finance I, 183-190 (2011). The article can be

retrieved from the site: http://papers.ssrn.com/sol3/papers.cfm?abstract id=1936o51 or http://a rxiv.orgiabs/floq.6qoq.

" "Price-Quakes" Shaking the World's Stock Exchanges", J. Vitting Andersen, A. Nowak, G.

Rotundo, L. Parrot and S. Martinez, PLoS ONE 6 (2011): e26472.

Doi:1o.1371/journal.pone.0026472 (2011). The article can be retrieved from the sites: http://www.plosone.orgiartiele/infooMAdoi%2F3.o.ivi%2Fjournal.pone.0026472 and http://arxiv.org/abs/o912,771.

"Short and Long Term Investor Synchronization Caused by Decoupling", M. Roszczynska, A.

Nowak, D. Kamieniarz, S. Solomon and J. Vitting Andersen, PLoS ONE 7(2(312): e5o7oo.

doho.1371/journal.pone.005o700. The article can be retrieved from the site: http://dx.plos.org110.1q71/journal.pone.0o5o7oo and http://arxiv.org/abs/0806.2124.

"Detecting anchoring in financial markets", J. Vitting Andersen, Journal of Behavioral Finance,

Volume 11, Issue 2 Aprii 2010, pages 129-33. The article can be retrieved from the site: http:Ilarxiv.org/abs/o7og.quq.

Discussion of the paper entitled "Non-parametric Determination of Real-Time Lag Strutture between Two Times Series: The 'Optimal Thermal Causai Path' Method with Appiications to

Economie Data " by Wei-Xing Zhou and Didier Sornette. J. Vitting Andersen, Journal of Macro

Economics 28, 1, p.225 (2006).

" Modelling financial markets with agents competing on different time scales and with different of information ", J. Wohlmuth and J. Vitting Andersen, Physica A363, 459 (2006).

"A Mechanism for Pockets of Predictability in Complex Adaptive Systems ", J. Vittìng Andersen

and D. Sornette, Europhysics Lett. 70, 697 (2005). The article can be retrieved from the site:

http://arXív.orglabsicond-mat/o410762 The results of the article was described in New Scientist,

latest issue Feb. 2005.

" Could Short Selling Make Financial Markets Tumble? ", J. Vitting Andersen, International Journal

of Theoretical and Applied Finance Vol.8, No.4, 509-521 ( 2005). The article can be retrieved from the site: http://arXiv.orglabslcond-mation8q48

"Estimating the Level of Cash Invested in Financial Markets", J. V. Andersen, Physica A 344, 168 (2004).

"Fearless Versus Fearful Speculative Financial Bubbles", J. V. Andersen and D. Sornette, Physica A

337, 565, (2004).

"Response Functions to Criticai Shocks in Social Sciences: An Empirical and Numerical Study,B.

M. Roehner, D. Sornette and J. V. Andersen, int. J. Mod. Phys. C3.5, 6, (2004)

" The Dollar Game ", J. V. Andersen and D. Sornette, Eur.Phys. J. B 31, 141. (2003). The article was chosen "paper of the month" (aug. 2003) at the website http://www.unifr.ch/econophysics/.

" Cornprendre et •gérer les risques extrémes dans les marchés financiers ", L V. Andersen, Malevergne and D. Sornette, RI.SQUES, (Spring 2002).

" A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles ", D. Sornette and J. V. Andersen, Int. Mod. Phys. C 11 2 (2001).

" Increments of Uncorrellated Time Series Can be Preclicted with a Universal 75% probability of success ", D. Sornette and J. V. Andersen, Int. J. Mod. F'hys. C n (4), 713-720 (2000)•

" Have your Calce and Eat it too : Increasing Returns while Lowering Large Risks i ", J. V. Andersen and D. Sornette, Journal of Risk Finance, p. 7o (spring 2001).

" Minimizing Volativity Increases Large Risks ", D, Sornette, J. V. Andersen and P. Simonetti, International Journal of Theoretical and Applied Finance 3, (3), 523-535 (2000). The article can be retrieved from the conci, mat archieve: cond-mat/9811292.

'fq -Field theory for Portfolio Optimisation "Fat-Tales' and Non-Linear Correlations ", D. Sornette, P. Simonetti and J. V, Andersen, Phys. Report 335 (a), ig-g2 (2000). The article can be retrieved froim the site http ://vvww.nordita/Adm/Activities/pre99/9913.ps.gz

" Fundamental Framework for Technical Analysis ", J, V. Andersen, S, Gluzman and D Sornette, EVI". Phys. Journal B3.4, 579`601(2000).

SELECTED INVITED TALKS in ECONO-PHYSICS

i "Quantitative Behavioral. Finance" invited talk at McGill University, .Mpntreal, Canada, February .2011 and June 2010.

"Predicting crisis in Physics and Finance", invited talk at the conference "Windows to Complexity" organized by Center for Non-Linear Science, Munster, Germany, June 2010.

"Physics applied to Behavioral Finance", invited talk at the conference "Behavioral Finance 2007" organized by The Technical Analyst, London, UK, Nov. 2007.

"Po.ckets of Predictability" invited tali< at IKOS Research (a hedge fund) E3righton, UK September 2006

"Using Agent Based Models to Predict the Market" invíted talk at the workshop 'Agent-Based Modeling of Socio-Economic Systems" !SI foundation, Torino Italy July 2006.

"Pockets of Predictability" invited talk at the "First International Workshop ori Intelligence Finance" Melbourne Australia - December 2004.

"Using Agent-based Models to Probe the State of the Market" invited talk at the SPHINX Econophysics Workshop, Oxford University, UK - September 2004.

Structure and superconductivity of Co doped Y Ba2Cu306,", N. H. Andersen, J. V. Andersen, L. Borjesson, R. Hadfield, M. Kakihana, R. McGreevy, O. G. Mouritsen and. H. F. Poulsen, Physica, kumcds of Alloys and Compounds, 295, 327 (1993),

CONFERENCE ORGANIZER in ECONO-PHYSICS

"Quantitative Eìehavioral Finance", University of Nice December 8-1o, 2olo (http:/lmath.unice.fr/CIF/inclex fichiesjEa~ 7.htm).

"Bridging Mathematics, Natura] Sciences, Social Sciences and Finance", International University of Monaco, April 2008 (http://math.unice.fri-minlconi/workshop 11/workshop08.html).

"Mise en piace du Collège interdisciplinaire en Finance", University of Nice, France, June 2007.

"Bridging Finance Physics and Sociology", International University of Monaco, Aprii 2007.

PUBLICATIONS in PHYSICS

Oxygen ordering in .High-Tc superco.nductors -.

" Kinetics of diffusion-controlled oxygen ordering in a lattice-gas model of Y E3a2Cu307-6,, J. Andersen, H. Bohr and O. G. Mouritsen, Phys. Rev, B42, 283 (1990).

" Computer simulation of phase separation and ordering processes in lovv-dirnensional systems ", O. G. Mouritsen, J. V. Andersen, H. F. Poulsen and H. Bohr, Phys. Scr. T38, 55 (1991).

" Lattice gas simulation of oxygen ordering in Y Ba2Cu306.1-x shovving dynamical scaling ", H. F. Poulsen, N. H. Andersen, J. V. Andersen, H. Bohr and O. G. Mouritsen, Modern Physics Letters B 5, 827 (1991) (review articie, invited contributlon)

Dynarnical scaling of oxygen ordering inBa~Cu307 H. F. Poulsen, 19, H. Andersen, J. V. Andersen, H. Bohr and O. G. Mouritsen, Phys. Rey, Lett. 66, 465 (2992).

Relation •between superconducting transition temperature and .oxygen ordering in Y 13a2Cu307- b", H. F. Poulsen, N. H. Andersen, J. V. Andersen, H. Bohr and O. G. Mouritsen, Nature 349, 594 (1991).

" Model simulation study of the structural stability of oxygen arder in the Y Ba,Cu 06+x

superconductor ", J. V. Andersen, H. Bohr and 0. G. Mouritsen, Comp. Mat. Sci. a, 25 (2.992).

" Effects of. Co, Fe, and Al doping on the oxygen disordering and superconducting transition temperature in Y Ba2Cu306.„< ", J. V. Andersen, N. H. Andersen, O. G. Mouritsen and H. F. Poulsen, Physica C 214, 143 (1993).

" Oxygen ordering phenomena in the Y Ba,Cu306, studied by Monte Carlo simulation ", T. Fiig, J. V. Andersen, N. H, Andersen, P. A. Linclgàrcl, 0. G. Mouritsen and H. F. Poulsen, Physica C 217, 34 (1993).

"Effects of phase transitions and fluctuations on mass transport ", J. V. Andersen and O. G. Mouritsen in Phase transitions in soft- condensed matter, edite par T. Riste and D. Sherrington (Plenum, New York, 1989), p. 342.

" Steady-state prope.rties of a finite system driven .by a chernical-potential gradient ", J. V. Andersen and O. G, Mouritsen, Phys. Rev. Lett, 65, 440 (199o),

" Lifshitz-Slyozov kinetics of a nonconserved system that separates into phases of different density ", O. G. Mouritsen, P. H. Shah and J. V. Andersen, Phys. Rev. _42, 4506 (1,990).

Computer Simulation of Mass Transport in .a Driven Diffusive System ", J. V. Andersen and O. G. Mouritsen, Phys. Scr. T33141(1990)•

" Crossover in the power spectrum of a driven diffusive lattice gas model ", J. V. Andersen, H. J.

Jensen and O. G. MouritsenI I Phys. Rev. B44 439 (rapid communication) (1991)

" Effects of translational symmetry breaking induced by the bounclaries in a driven diffusive

system ", J. V. Andersen and K.-T. Leung, Phys. Rev. B43, 8744 (rapid communication) (1991),

- Self-Organized Criticality -

" Self-Organization of Domain Growth in the Ising Model with Impurities ", J. V. Andersen and O. G. Mouritsen, Phys. Rev. A45, R5331 (rapid communication) (1992).

" Self-organized criticality in stick-slip models with periodic boundaries ", K.-T. Leung, J. V.

Andersen and D. Sornette, Phys. Rev, Lett. 8o, 1916 (1998).

" Self-organized criticality in an isotropical driven mode) approaching equilibrium K.-T. Leung, J. V. Andersen and D. Sornette, Physica A 254, 85 (1998).

Nnning of interfaces

"New macroscospic Hamiltonian for wetting of :a solid by a liquid in the immersion geornetry ", V. Andersen and Y. Bréchet, Phys. Rev. Lett. 73, 2087 (1994),

" Pinning of a solid-liquid-vapour interface by stripes of obstac es ", J. V. Andersen and Y. Bréchet, Phys. Rev. E 53, 5006 (1996).

" Pinning of a solid-liquid-vapour interface J. V. Andersen, review article Modern Physics Letters B lo, 359 (1996) (invited contribution).

" Gravitational dependence of contact angle hysteresis for a solid defect pinning a liquid vapour interface ", J. V. Andersen and H. J. Jensen, Phys. Rev. Lett, 8o, 3555 (1998).

Fracture of Materials -

" Fracturing described by a spring-block model ". J. V. Andersen, Y. Bréchet and H. J. Jensen, Europhys. Lett., 26,13 (1994).

" Dynamical mean-field theory for a spring-block model of fracture ", V. Andersen, Phys. Rev. B

49, 9981(1994)•

Generalization of . a Two-dimensional Burridge-Knopoff Model of Earthquakes", Leung, MiAller and J. V. Andersen, J. de Phys. 1, 423 (1997).

" behaviour in rupture induced by disorder", J. V. Andersen, D. Sornette and K.-T. Leung, Phys. Rev. Lett. 78, 2140 (1997).

" Phase transition in a spring-block model of surface fractu e ", K.-T. Leung and. J. V,. Andersen, Europhys. Lett. 38, 589 (1997)•

New model for surface fracture ìnduced by dynamical stress" J. V Andersen and L. Lewis, (rapid cornmunication), Phys. Rev. E 57, 1211 (1998).

" Scaling with respect to disorder in time-to-failure ", D. Sornette and J. V. Andersen, Eur. Phys, Journal Bi, 353 (1998).

" Conditions for abrupt failure in the democratic fiber bundle model f,,D. Sornette, K.-T. Leung and J. V. Andersen, Phys. Rev. Lett. 8o, 3158 (1998).

Functional Renormalization Precliction of Rupture ", S. Gluzman, J. V. Andersen and D. Sornette, Computational Seismology, vol. 32, Ed, A. Levshin, ,G. Moichan, B. Naimark, Moscou, GEOS (Juin 2001),

" Slider-Block Friction Model for Landslides: Application to Vaiont and La Clapiere Landslides ", A. Helmstetter, D. Sornette, J. Vitting Andersen, 5, Gluzman, V Pisarenko, J. Geophys. Res., B02409, doi:10.3.029/2oo2JE3oo216o (2004). The article can be retrieved from the site: http://arXiv.orglabs/cond-mat/o20841.

" Towards Landslide Predictions: Two .cases studies ", D. Sornette, A. Helmstetter, i. Vitting Andersen, 5, Gluzrnan, J.-R. Grasso, Physica A 338, 605-632 (2004). The article can be retrieved from the site: http://arXiv.orgiabs .h sìcs o o o6

" Predicting failure using Conditioning on Damage History: Demonstration on Percolation and Hierarchical Fiber Bundles ", J. V. Andersen and D. Sornette, Phys. Rev. E 72, 056124 (2005). The article can be retrieved from the site: http://arXiv.orgiabs/cond-mat/o5o8424.

—Optimal Prediction of Time-to-Failure from Information Revealed by Damage" D. Sornette and J. V. Andersen, Europhysics Letters 74 (5), 778 (2006). The article can be retrieved from the site: http://a rXiv. o rg/a bs/cond - m at/o53.1134.