Plenary Lecture

Using Software Agents to Simulate How Investors' Greed and Fear Emotions Explain the Behavior of a Financial Market

Professor Filippo Neri
Department of Computer and System Science
University of Naples "Federico II"
via Claudio 21
80125 Napoli (NA)
Italy
E-mail: filipponeri@yahoo.com

Abstract: The flexibility and the adaptability of the software agent paradigm when coming to the study and the simulation of complex systems, allowed us to direct our research effort, that aims to understand the basic drivers of emergent behavior in complex systems, to the investigation of financial markets.
In particular, we have focused our attention to the following research question: how the sentiments of greed and fear in investors affect the overall behaviour of a financial market?
Essentially, we want to understand:
a) if and how the volatility in a financial market, as that observed in 2008, could be explained in term of the spread of fear and of greed among the population of investors;
b) and, also, how effective a software agent simulator would be in reproducing the behaviour of a financial market by exploiting a well thought interaction among simple investors-agents.
During the talk we will also show and comment about some of the empirical simulations conducted so far.

Brief biography of the Speaker:
Prof. Filippo Neri is currently a professor in Computer Science at the Department of Computer and System Science of University of Naples "Federico II".
Prof. Filippo Neri has wide experience in the area of artificial intelligence, machine learning, and software agent simulation. He had the opportunity to work both in academic and industrial environments including Ericsson's and Unlever's R&D centers and across three countries in the European Union (Italy, Ireland and UK). He is currently setting up a spin-off company providing consulting services for information technology strategy and management while at the same time advancing his academic career.
He has studied and visited at several important academic institutions including Carnegie Mellon University, MIT, Imperial College London, University of Milano, University of Torino.
He is a Marie Curie Fellow and an ADI associate, the Italian PhD association. He is a founding member of initiatives aiming to close the gap between academia and the business application of research results.
Finally he has served in the program committees and as reviewer at several international conferences and he is author of more than 50 internationally reviewed publications.