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Resumen

Professor Mantegna will discuss the modeling of financial markets in terms of institutions performing information aggregation. Specifically, He will show the simultaneous presence of information and noise in multivariate return time series of stocks traded in a stock market and I discuss some successful methods of information filtering. They are filtering methods based on hierarchical clustering or random matrix theory. The complexity of the process of aggregation of information that is both endogenous and exogenous to the market is highlighted by considering the reaction of different categories of investors to market indicators and financial news. This is obtained by investigating a special database daily reporting the ownership of financial assets of legal entities of an entire country.