This weekend I had the opportunity to attend an interdisciplinary conference at the Perimeter Institute. The goal of the conference was to bring together leading economists, biologists, mathematicians, physicists, programmers, and financial professionals to explore the opportunities for bringing economic theory into closer contact with the more traditional sciences as the basis for ongoing work, partnership, and collaboration.

Invited speakers
Richard Alexander, University of Michigan
Emanuel Derman, Columbia University and Prisma Capital Partners
Andrew Lo, MIT
Nouriel Roubini, New York University
Nassim Taleb, Distinguished Professor of Risk Engineering, NYU-Poly Institute and Principal, Universa Investments
Eric Weinstein, Natron Group

The excellent presentation of Dr. Andrew Lo on “The Adaptive Markets Hypothesis and Financial Crisis” reminds me of the butterfly effect and Jules Henri Poincaré in Science et methode, in 1909:

“A very small cause which escapes our notice determines a considerable effect that we cannot fail to see, and then we then say the effect is due to chance. If we exactly knew the laws of nature and the situation of the universe at the initial moment, we could predict exactly the situation of that same universe at a succeeding moment. But even if it were the case that the natural laws had no longer any secrets for us, we could still know the situation approxiamative. If that enabled us to predict the succeeding situation with the same grade of approximation, that is all we require, and we sould say that the phenomenon had been predicted, that it is governed by the laws. But it is not always so; It may happen that small differences in the initial conditions produces very great ones in the final phenomena. A small error in the former will produce an enormous error in the latter. Predictions become impossible, we stand before a random phenomenon.”

For the panel discussions and presentations click here.

|See how J. Doyne Farmer, of the Santa Fe Institute and Prediction Company, described how Physicists attempt to scale the ivorytowers of finance.

August 6, 2009: J. Doyne Farmer and Duncan Foley published an article in Nature titled The economy needs agent-based modelling.