First Polish Symposium on E

ono- and So iophysi s

Warsaw University

Warsaw University of Te hnology

Warsaw, Poland

November 19-20, 2004

Programme
and
Book of Abstra ts
 pielaszek resear h tel: +(4822)7420281
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Contents

Prefa e 4
S ienti -Organizing Committee . . . . . . . . . . . . . . . . . . . . . . . . . 4
Symposium on E ono- and So iophysi s 5
Friday, November 19th . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Saturday, November 20th . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
Address Book 25

3
Prefa e

Wel ome in behalf of physi ists who try to look over bridge between the methods used
in physi s and analysis of e onomi al and so ial phenomena. This kind of physi ists
initiative rapidly develops in the re ent de ade as it is a part of the physi ists great
interdis iplinary interest in omplex systems. The promise of the s ien e of omplexity
is to provide at least ommon tools to ta kling omplex problems in natural and so io-
e onomi s ienti domains. This type of resear h a tivity is also stimulated by the
New and Emerging S ien e and Te hnology work programme as a part of the 6th
Framework Programme of the European Commission.
Our national Symposium takes pla e one year after the international onferen e
Appli ations of Physi s in Finan ial Analysis 4 organized by the Fa ulty of Physi s of
Warsaw University of Te hnology whi h proved that also in Poland there is an in reas-
ing ommunity interested in the interdis iplinary ooperation and studies. Moreover,
this Symposium takes pla e ten days after the Third Nikkei Workshop and Symposium:
Pra ti al Fruits of E onophysi s, where few of us presented results of our s ienti
studies.
The aim of our Symposium is to bring together Polish s ientists, give them op-
portunity to dis uss s ienti problems and stimulate reation of the national so iety
in this ontext. The more so an initial, formal step in this dire tion was re ently done
as a new se tion of the Polish Physi al So iety was reated under the ambitious name
Physi s in E onomi al and So ial S ien es. Moreover, we hope that our Symposium
will also stimulate young resear hers to their own eort.

S ienti -Organizing Committee

 Dariusz Gre h (University of Wro ªaw, Institute of Teoreti al Physi s)
 Janusz Hoªyst (Warsaw University of Te hnology, Fakulty of Physi s)
 Ryszard Kutner (Warsaw University, Department of Physi s)
 Danuta Makowie (Gda«sk University, Institute of Theoreti al Physi s and As-
trophysi s)
 Olaf Morawski (Hewlett-Pa kard Polska)
 Woj ie h Wi±li ki (Warsaw University, Interdys yplinary Centre for Matemati al
and Computational Modeling)

4
Symposium on E ono- and
So iophysi s
Warszawa, 19-20 November 2004

Friday, November 19th

Personal registration and oee, tea and akes

11:00 - 12:15

O ial Opening of the Symposium: Professor Katarzyna

Chaªasi«ska-Ma ukow Pro-Re tor of Warsaw University and
Vi e-President of the Polish Physi al So iety
12:15 - 12:20

Introdu tion of President of the PTF Se tion: Physi s in

E onomy and So ial S ien es (FENS) - Janusz A. Holyst
12:20 - 12:35

TIME-SERIES ANALYSIS & MARKETS MODELING I -

Ryszard Kutner
Warsaw University, Department of Physi s, Pasteur 7 Str.,
Room 17 (ground-oor)
12:35 - 14:40

How mu h noise is at sto k markets ? 12:35 - 13:00

Janusz A. Holyst
;
1 2)
, Krzysztof Urbanowi z
2)
Oral

1) Fa ulty of Physi s and Center of Ex ellen e for Complex Systems Resear h, Warsaw Uni-
versity of Te hnology, Koszykowa 75, Warszawa 00-662, Poland
2) Max-Plan k Institute for Physi s of Complex Systems (MPIPKS), Noethnitzer Strasse 38,
Dresden D-01187, Germany

5
 FRIDAY, NOVEMBER 19TH SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

Using a re ently developed method of noise level estimation [1℄ that makes use of properties of
the oarse grained-entropy we have analyzed the noise level for the Dow Jones index and some
sto ks from the New York Sto k Ex hange as well as Warsaw Sto k Ex hange. We have found
that the noise level ranges from 40 to 100 per ent of the signal varian e. The ondition of
the minimal noise level has been applied to onstru t optimal portfolios from sele ted shares
[2℄. We have observed that the level of noise is statisti ally orrelated with the sto k pri e
hanges and this fa t has been used to reate our investment strategy.

Using our method we have al ulated 40000 re ommendations for portofolio optimalization
for periods 4-7 days at Warsaw Sto k Ex hange. The annual return re eived in su h a way
after substra ting ommissions was around 23%.

[1℄ K. Urbanowi z and J. A. Holyst, Phys. Rev. E 67, 046218 (2003).

[2℄ K. Urbanowi z and J.A. Holyst, Pro eedings of the Conferen e Appli ation of Physi s in
Finan ial Analysis 4, Physi a A (2004).

Properties of old and new te hniques of detrended analysis in

13:00 - 13:25
time series.
Oral Zygmunt Mazur, Dariusz Gre h

Re ently introdu ed Detrended Moving Average (DMA) method is examined to al ulate

Holder-Hurst exponent for arti ial sto hasti time series of various length. Good agree-
ment with Detrended Flu tuation Analysis (DMA) method is onrmed for long time series
4
(N>=3x10 ), however for shorter series disagreements are found. We show on a statisti al
3 5
basis of 10 -10 time series, representing arti ial arithmeti and geometri Brownian mo-
tion of a given length, how results of DMA and DFA methods relate to ea h other. Finally,
the new method alled Modied Detrended Moving Average Analysis (MDMA)is introdu ed
whi h gives Holder-Hurst exponent results mu h loser to DFA method than DMA analysis
does. It might be of a big importan e, espe ially for short time series or if su ient number
of data in a time series is not avilable.

A omparative study of the appli ability of the MF-DFA and

13:25 - 13:50
the wavelet methods in the ontext of nan ial data
Oral Paweª O±wi imka
1)
, Jarosªaw Kwapie«
1)
, Stanisªaw Dro»d»
;
1 2)

1) Polish A ademy of S ien es, Institute of Nu lear Physi s (IFJ PAN), Radzikowskiego 152,
Kraków 31-342, Poland
2) University of Rzeszow, Institute of Physi s, Rejtana 16, Rzeszów 35-310, Poland
In re ent years new tools have been developed in order to investigate multifra tal properties of
experimental and simulated data. One of them is based on the s aling behaviour of partition
fun tion al ulated from the maxima of the wavelet transform oe ients. This method
seems to be very useful for unfolding in the spa e-s ale halfplane the hierar hi al stru ture of
fra tal data. Another method proposed in this ontext is a multifra tal generalization of the
detrended u tuation analysis (MF-DFA). Both methods are widely spread and ommonly
used for estimating the multifra tal spe tra of signals. We riti ally examine validity of ea h
method if it is applied to high-frequen y nan ial data and also ompare the results obtained
for some well-known mathemati al multifra tals.

From Riemann zeta through L-fun tions, random matri es,

quantum haos, brownian diusion, riti al olle tive
phenomena ... to nan ial orrelations
13:50 - 14:15
1)
Oral Ryszard Wojnar
1) Polish A ademy of S ien es, Institute of Fundamental Te hnologi al Resear h (IPPT PAN),

6
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS FRIDAY, NOVEMBER 19TH

‘witokrzyska 21, Warszawa 00-049, Poland

13
Computations of 10 zeros of zeta fun tion and many primes are the ri hest sour e of the
best data to study important orrelations.
May be the power of visual and audible per eption with use of animation and sound musi al
sequen es ould help to reveal some laws ommon to similar orrelations in random matri es
and in nan ial u tuations.
L-fun tion losest to Riemann zeta may permit to analyse the simplest model of rystalliza-
tion. Similarity of orrelation in random matrix eigenvalues to nan ial orrelations indi ates
a possible analogy between sto k pri e u tuations, brownian diusion and riti al olle tive
phenomena [1℄.

[1℄ H. E. Stanley et al., Self-organized omplexity in e onomi s and nan e, Pro . Natl.
A ad. S i. 99-Supp, 2561-2565 (2002).

Ee tive portfolios. E onometri s and statisti s in sear h of

protable investments.
14:15 - 14:40
1)
Urszula Skornik-Pokarowska Oral
1) Szkoªa Gªówna Gospodarstwa Wiejskiego (SGGW), Nowoursynowska 166, Warszawa 02-
787, Poland
Various methods of onstru ting ee tive portfolios are presented. More or less standard
methods based on e onometri s and mathemati al statisti s are presented and ompared with
the problem of on-line management of existing portfolios. As a by-produ t some interesting
observations regarding dierent lassi ation s hemes are provided.

Coee, tea and akes 14:40 - 15:10

TIME-SERIES ANALYSIS & MARKETS MODELING II -

Dariusz Gre h
Warsaw University, Department of Physi s, Pasteur 7 Str.,
Room 17 (ground-oor)
15:10 - 17:35

Analysis of u tuations in nan ial time series

15:10 - 15:35
1) 1) 1)
Arkadiusz J. Orªowski , Magdalena A. Zaluska-Kotur , Zbigniew Struzik Oral
1) Polish A ademy of S ien es, Institute of Physi s (IFPAN), al. Lotnikow 32/46, Warszawa
02-668, Poland
Various methods developed in statisti al physi s to study u tuations in nonlinear and non-
stationary time series are reviewed. Theoreti al on epts are illustrated by pra ti al analysis
of ex hange rates data oming from the Polish nan ial market. More standard e onometri
approa h is also presented for omparison.

7
 FRIDAY, NOVEMBER 19TH SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

Non-linear long-term auto orrelations present in empiri al and

syntheti high-frequen y nan ial time-series. Possibility of risk
lassi ation
15:35 - 16:00
Oral 1) 1) 1)
Ryszard Kutner , Marzena Kozªowska , Filip ‘witaªa
1) Warsaw University, Fa ulty of Physi s, Hoza 69 Str., Warszawa 00-681, Poland

We onsider the basis of the non-linear, long-term (power-law) auto orrelations present in
empiri al and our syntheti high-frequen y nan ial time series. The former was studied by
physi ists sin e more than one de ade [1,2, and refs. therein℄ while the syntheti time-series
was re eived by us from the re ently developed, hierar hi al, one-dimensional Continuous-
Time Random Walk model [3-8, and refs. therein℄.

This ombined model is dened by the non-separable Weierstrass walk whi h an be o asion-
ally intermitted by momentary lo alizations (WWRIL); the lo alizations themselves are also
des ribed by the Weierstrass pro ess. It should be emphasized that the steps of the walk as
well as momentary lo alizations are un orrelated. This approa h makes it possible to study
by hierar hi al sto hasti simulations the whole spatial-temporal region while analyti ally it
is possible to study only the initial, pre-asymptoti and asymptoti ones but not the very
important intermediate region.

The basi ontinuous-time series obtained from this sto hasti simulation is shown as a se-
quen e of ve tors in the temporal-spatial plane. These ve tors onne t the turning points
of a single realization random walk traje tory (given time-series) expanding in the positive
temporal and spatial dire tions as we study only the absolute values of sto k pri e variations.
This simulation is supported by the waiting-time distribution whi h is the main quantity of
our two-state (walking-lo alization) model. These states are again hara terized by their own
waiting-time distributions.

The syntheti , dis rete time-series was obtained by dis retization of the original (basi )
ontinuous-time series at xed time horizon. The auto orrelation fun tion was studied versus
time just for this dis rete time-series. We found that the auto orrelation exhibits a per-
sistent power-low relaxation both for the Gaussian and non-Gaussian basi pro esses. Our
study shows that this relaxation is the result of so- alled 'domino ee t' o urring within the
dis rete time-series. We suppose that this ee t is responsible for the analogous long-term
auto orrelatios ommonly o urring in the empiri al nan ial high-frequen y time-series.

For example, by applying the Continuous-Time Weierstrass Flights model [9℄ developed in the
framework of the nonseparable Continuous-Time Random Walks formalism, we onstru ted a
series of diusion phase diagrams of in reasing orders [9,6℄ on the plane dened by the spatial
and temporal fra tional dimensions of the Weierstrass ights. To dene the risk of a given
asset the moments of in reasing orders should be al ulated (by using a moving average) from
the time series represented the pri e dynami s of this asset. Hen e, we are able to lo ate the
asset on these phase diagrams and dene its global and lo al risk of arbitrary order as well as
the level of its mobility and a tivity again of arbitrary order [2℄.

Bibliography

[1℄ R.N. Mantegna and H.E. Stanley, An Introdu tion to E onophysi s. Correlations and
Complexity in Finan e. Cambridge Univ. Press, Cambridge 2000.
[2℄ J.-P. Bou haud and M. Potter, Theory of Finan ial Risks. From Statisti al Physi s to
Risk Management. Cambridge Univ. Press, Cambridge 2001.
[3℄ Levy Flights and Related Topi s in Physi s. LNP 450. Eds. M.F. Shlesinger, G.M. Za-
salavsky, U. Fris h, Springer-Verlag, Berlin 1995.
[4℄ Anomalous Diusion. From Basi s to Appli ations. LNP 519. Eds. R. Kutner, A. Pkalski,
K. Sznajd-Weron. Springer-Verlag, Berlin 1999.
[5℄ W. Paul, J. Bas hnagel, Sto hasti Pro esses. From Physi s to Finan e. Springer-Verlag,
Berlin 1999.
[6℄ R. Kutner, F. ‘witaªa, Study of the non-linear auto orrelations within the Gaussian regime.
Eur. Phys. J. B 33 (2003) 495-503; R. K. and F. ‘., Possible origin of the non-linear long-term
auto orrelations within the Gaussian regime, Physi a A 330 (2003) 177-188; R. K. and F. ‘.,
Sto hasti simulations of time series within Weierstrass-Mandelbrot walks, Quant. Finan e
3 (2003) 201-211; R. K., Extreme events as foundation of Levy walks with varying velo ity,
Chem. Phys. 284 (2002) 481-505.

8
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS FRIDAY, NOVEMBER 19TH

[7℄ W. S houtenes, Levy Pro esses in Finan e. Pri ing Finan ial Derivatives. Wiley Series in
Probability and Statisti s, J. Wiley & Sons Ltd., Chi hester 2003.
[8℄ K.I.Ilinski, Physi s of nan e. Gauge modeling in non-equilibrium pri ing. J. Wiley &
Sons Ltd., New York 2001.
[9℄ R. Kutner, Hierar hi al spatio-temporal oupling in fra tional wanderings. I. Continuous-
time Weierstrass ights, Physi a A 264 (1999) 84-106.

Statisti al properties of sto k market eigensignals

16:25 - 16:50
Jarosªaw Kwapie«
1)
, Paweª O±wi imka
1)
, Stanisªaw Dro»d»
;
1 2)
Oral
1) Polish A ademy of S ien es, Institute of Nu lear Physi s (IFJ PAN), Radzikowskiego 152,
Kraków 31-342, Poland
2) University of Rzeszow, Institute of Physi s, Rejtana 16, Rzeszów 35-310, Poland
One of the most hara teristi properties of omplex systems, in luding the sto k market, is
that their temporal evolution omprises both noisy and olle tive omponents. Despite the
overwhelming noise, dominating espe ially on short, minutely time s ales, identi ation of the
olle tive omponents is relatively easy by using the orrelation matrix analysis. In this ase
ea h orrelation matrix eigenvalue an be asso iated with an independent omponent of the
signal (so- alled eigensignal). Those omponents orresponding to the olle tive eigenvalues
an reveal dierent properties if ompared with the random ones. In the present study we
analyze statisti al hara teristi s of the eigensignals for the orrelation matri es al ulated for
sto ks of the largest ompanies listed either on the German or the Ameri an sto k market.
In parti ular, we examine the dieren es in properties of the eigensignals orresponding to
largest and smaller eigenvalues. We also analize fra tal features of the eigensignals.

Statisti s on emergent markets

16:50 - 17:15
1)
Danuta Makowie Oral
1) Gdansk University, Institute of Theoreti al Physi s and Astrophysi s, (IFTiA UG), Wita
Stwosza 57, Gda«sk 80-952, Poland
Properties of returns r(
t) dened as hanges in a pri e p(t) of some nan ial asset over a
time interval
t, have been arefully studied by e onophysi ists for the last de ade, see [1-3℄
for introdu tion and bibliography. The basi eort of investigations is aimed on the identi-
ation of some universal features in a time series of a nan ial asset hoping that these features
may give us a better understanding of the underlying me hanism that drives the dynami s of
the sto k market. The main features that have been found are:
(i) an absen e of short time orrelation in a series of returns and a persisten e of orrelation
when a series of absolute value of returns is investigated,
(ii) the wings of distributions of returns are hara terized by the power law de ay with the ex-
ponent value about 3. The listed properties are alled stylized-fa ts be ause they are present
independently of the kind of the nan ial asset: sto k, money or derivative, and independently
of the geographi lo ation of a market: Tokyo, New York or London.

However, in the studies of Polish sto k market (WSE) a lo al, emergent and ine ient market,
we have found at least four hara teristi s that are dierent from the ones des ribed above:
(A) The wings of distributions of returns de ay faster. The exponent value of this de ay is
about 4, [4℄
(B) The nonlinear short-time orrelation in daily returns investigated by Arti ial Insym-
metrized Patterns (AIP in short) indi ates at the Gaussian origin of the noise while the series
from the mature markets exhibit self-similarity to the Levy noise [5℄. Moreover, we show that
the present state of this market in the AIP presentation is ompletely dierent from famous
markets.
(C) The Polish market rash in April 2000 an be named the anti-bubble rash. Before that
rash the Polish sto k market had been a growing market sin e the Russian rash whi h hap-
pened in August of 1998. However, in ontrast to the before- rash ordinary log-periodi pri e

9
 FRIDAY, NOVEMBER 19TH SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

development, see [6℄, the pri e of Polish sto ks developed in the log-periodi style as the mar-
ket would suer from the Russian rash. That is, the log-periodi os illations were initiated
by the Russian rash. This pri e dependen e ended with the New Te hnology rash in April
2000. Su h the after- rash behavior observed before the rash is alled the anti-bubble rash,
[7℄.
(D) The de it in small returns is noti able. It appears that the zero-return peaks are a -
ompanied with valleys on the left always and sometimes on the right side. This feature is
observed not only in sto ks of ompanies with low apital and low liquidity or on the verge of
bankrupt y; the returns of liquid sto ks from the top of the volume also exhibit the des ribed
property, [8℄.

On poorly developed markets, su h as emergent and lo al markets, the investors deal with
assets of little liquidity. For example, on Polish sto k market the majority of sto ks (about
2/3 out of 235) are with less than 20 transa tions per session (data from 2002 [9℄). In addition,
the investors meet in their a tivity a strong politi al interferen e.

As the result, the investors ould de ide to:

- follow the leader: identify a well-informed agent: the leader, and form a team with the
leader. If it is impossible then observe the leader de isions to opy them as fast as it is
possible, [10℄.
- follow the trend: the present de ission of an investor is strongly onditioned by the last time
step pri e hange,[11℄

In both models the syn hronized de isions of many investors ee t in a noti eable de it in
small returns. To our study purpose we hoose the model of Cont and Bou haud [12℄ modied
to a latti e version by Stauer et al. [13℄. The intentional imitation me hanism an be easily
applied to other market models as, for example, Lux-Mar hesi [14℄ or Levy-Levy-Solomon [15℄

A knowledgement:
This work is supported by Gdansk University Proje t: BW/5400-5-0256-4

Optimum Finite Impulse Response (FIR) low pass-ltering of

market quotations
17:15 - 17:40
1) 1)
Oral Andrzej Dyka , Marek Ka¹mier zak
1) Gdansk University of Te hnology (PG), Narutowi za 11/12, Gda«sk 80-952, Poland
One of the most ommon operations performed on market data is a smoothing, low-pass
FIR (Finite Impulse Response) ltering, whi h enables us to obtain less noisy data. Su h a
ltering, however, results in delaying and distorting output data. Both, high noise- ontent
in original input data, and delay and distortion in output data have a negative impa t on
attempts of predi ting further market movements or attaining positive returns from invest-
ments. Therefore, it is important to hoose the appropriate lter impulse response to obtain
a reasonable tradeo between the delay and distortion on one hand, and the smoothness of
output data on the other hand. The goal of this ontribution is to ompare ommonly used
FIR lters impulse response, by using approximation theory based norms for the following
output parameters: delay, orrelation between input and output signal, and smoothness of
the output signal. The omparison is made for two lasses of the impulse response shape, i.e.,
symmetri (even fun tion), and asymmetri one. In the rst ase the fo us is on the minimum
of distortion i.e., maximum orrelation between input and output signal vs. smoothness of the
output signal. In the asymmetri ase the main goal is to attain a minimum delay between
lter output and input signal. Nine ases of impulse response are onsidered, namely re tan-
gular, triangular, Hanning, Hamming, Bla kman, and four Chebyshev windows. One-minute
quotations for the futures ontra ts on WIG 20, Warsaw Sto k Ex hange index, overing pe-
riod of time from O tober 30,2001 thru June 16, 2003, ( a. 145000 samples), has been used
for the omputations. The results indi ate that the most ommonly used lter of re tangular
impulse response shape is not ne essarily the best hoi e, and that depending upon assumed
performan e riteria other lters would perform better.

10
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS FRIDAY, NOVEMBER 19TH

Dinner 17:40 - 18:20

NETWORKS, GRAPHS, EXTREMES & MARKET

DYNAMICS - Danuta Makowie
Warsaw University, Department of Physi s, Pasteur 7 Str.,
Room 17 (ground-oor)
18:20 - 20:25

An outline of equilibrium thermodynami s for network games

18:20 - 18:45
1)
Woj ie h Wisli ki Oral
1) Warsaw University, Interdys yplinary Centre for Matemati al and Computational Model-
ing (ICM UW), Pawinskiego 5,building D,oor 5, Warszawa 02-106, Poland
A number of agents asking for resour es distributed over networks an be modelled as a n-
party game. A resour e broker denes the game payo matrix. Linearly transformed agents'
payos dene their utilities. Taking statisti al ensemble of su h systems, with agents playing
the role of subsystems, one an treat it in the framework of statisti al thermodynami s,
where an overall system's utility is an analog of the energy fun tion. However, for games
with no predened agent resour es, the systems are orrelated, the probability measure is not
Boltzmann-like, and the generalized, nonextensive thermodynami s has to be in orporated.
Among many elds of appli ation of this s heme, job s heduling on a omputing Grid with
distributed resour es is found parti ularly interesting.

Statisti al thermodynami s for hoi e models on graphs

18:45 - 19:10
1)
Arkadiusz Majka , Woj ie h Wisli ki Oral
1) Interdys yplinarne Centrum Modelowania Matematy znego i Komputerowego (ICM), ›wirki
i Wigury 93, Warszawa 02-089, Poland
The presented resear h is related to hoi e models whi h are of the great importan e for many
bran hes of e onomy, behavioral s ien es, politology and so ial s ien es. In dis rete hoi e
models, one assumes that there exists the hoi e set onsisting of a ountable and nite
set of omparable alternatives. These are related to preferen es of ea h de ision maker, what
mathemati ally is des ribed by so alled utility fun tion. It is itself a random variable for whi h
probability density fun tion has been found. I will show the analogy between properties of
the utility and the total energy fun tions of nite physi al systems thus enabling appli ations
of equilibrium thermodynami formalism to e onomi system analysis. The model will be
built in the framework of graphs. Some analyti al results and numeri al simulations for some
network topologies with dierent degrees of symmetry will be presented.

Trun ated Levy ights on Warsaw Sto k Ex hange

19:10 - 19:35
1) 1)
Andrzej Pal zewski , Emilia Rudzka Oral
1) Warsaw University, Fa ulty of Mathemati s, Computer S ien e and Me hani s (MIMUW),
Bana ha 2, Warszawa 02-097, Poland

11
FRIDAY, NOVEMBER 19TH SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

It is well known that Gaussian distributions an be a reasonable zero order approximation

in modelling nan ial data. It has been observed that a mu h better approximation an be
a hieved by Levy distributions. The superiority of Levy distributions over Gaussian an be
twofold. First, Levy distributions allowed for big jumps whi h are frequently observed on real
markets. Se ond, they have fat tails whi h again agrees with observations. Levy distribution
has however one unpleasant property: innite moments.

To remove the bad property while retaining other good ones, Mantegna and Stanley (1994)
introdu ed trun ated Levy distributions. Then Koponen (1995) dened a dierent trun ation
whi h is better suited for analyti al treatment. Finan ial data analyzed in re ent years show
however quite ompli ated behaviour. The empiri al distributions of returns on real markets
are symmetri near the origin but with mu h fatter left tail than the right one ( f. Cont
at al (1997), Mata z (2000)). This behaviour annot be obtained by Koponen's family. A
satisfa tory solution of this di ulty has been proposed by Boyar henko and Levendrovskii
(2000,2002).

Sin e the distribution fun tion of the Levy pro ess annot be represented analyti ally the
dis ussion is restri ted to the hara teristi fun tion of the pro ess. The starting point is the
Levy-Khint hine formula, whi h for a purely non-Gaussian driftless pro ess Xt has the form

t (k)=E[exp(izk)-1-z/(1+z2 )℄, (1)

where expe tation is taken with respe t to the Levy measure (dz) orresponding to the
underlying Levy pro ess Xt .

The idea of Koponen was to take a Levy measure for whi h the dened pro ess has bounded
variation. The measure with su h a property an be dened by the following density fun tion

f(z)= += 
exp(- |z|) |z|
1 , (2)

where + and orrespond to positive and negative values of z, respe tively. These onstants
are responsible for the asymmetry of the Levy pro ess and 
is the ut-o parameter, whi h
gives nite varian e. In parti ular letting 
to zero we obtain a standard Levy pro ess.

Formula (2) gives a trun ated Levy pro ess whi h only partially suits the analysis of nan ial
data. To obtain a symmetry near the origin we have to assume + = . But then also tails
be ame symmetri . To get nonsymmetri tails we should assume dierent ut-o parameters
for positive and negative values of z. This was already suggested by Mata z, who however
was unable to gure out how to insert these two parameters to the Koponen formula. The
same idea was risen also by Boyar henko and Levendrovskii, who introdu ed abstra t non-
symmetri Levy measures.

We have applied that approa h to the density fun tion of Koponen proposing its nonsym-
metri version

f(z)= += 
exp(- += |z|) |z|
1 . (3)

The obvious advantage of this formula is its simpli ity, whi h allows for analyti al al u-
lation of the integral in formula (1). Long al ulations lead to the following simple expression

t (k)= t 
(- )( (  
+ik) -   +   +  ) (4)
+ ( + -ik) - +

Taking in this expression + = but dierent values of + and  we an obtain a trun-

ated Levy pro ess whi h is symmetri near the origin but possesses nonsymmetri tails.

The obtained formula has been alibrated to the index data on Warsaw Sto k Ex hange
(stri tly speaking to WIG20 data). We have found quite satisfa tory agreement and good t
of trun ated Levy distribution to empiri al data.

Essentially there is no obsta le in using that alibration to option pri ing. It is however
not a very reasonable proje t for near future as options traded on WSE are not liquid enough
to ree t noarbitrage pri es.

Referen es

1. Boyar henko S.I. and Levendorskii S.Z. - Option pri ing for trun ated Levy pro esses,
Int.J.Theor.Appl.Finan e 3 (2000), 549-552.
2. Boyar henko S.I. and Levendorskii S.Z. - Non-Gaussian Merton-Bla k-S holes Theory,
World S ienti 2002.
3. Cont R., Potters M. and Bou haud J.P. - S aling in sto k market data: stable laws and
beyond, in S ale Invarian e and beyond, B.Dubrulle, F.Graner, D.Sornette Eds. Springer
1997, pp.75-85.

12
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS FRIDAY, NOVEMBER 19TH

4. Koponen I. - Analyti approa h to the problem of onvergen e of trun ated Levy ights
towards the Gaussian sto hasti pro ess, Phys.Rev. E 52 (1995), 1197-1199.
5. Mata z A. - Finan ial modeling and option theory with the trun ated Levy pro ess,
Int.J.Theor.Appl.Finan e 3 (2000), 143-160.
6. Montegna R.N. and Stanley H.E. - Sto hasti pro ess with ultraslow onvergen e to a
Gaussian: the trun ated Levy ight, Phys.Rev.Lett. 73 (1994), 2946-2949.

On tail expansions of opulas and modeling multivariate

extremes. 19:35 - 20:00
1)
Piotr Jaworski Oral

1) Warsaw University, Fa ulty of Mathemati s, Computer S ien e and Me hani s (MIMUW),

Bana ha 2, Warszawa 02-097, Poland
The theory of opulas provides a useful tool for modeling dependen e in risk management. In
insuran e and nan e, as well as in other appli ations, espe ially important is the dependen e
of extreme events, hen e there is a need for the detailed study of the tail behaviour of the
multivariate opulas.

In my presentation I am going to investigate the lass of opulas having regular tails whi h
allow the uniform expansion i.e. su h that near the origin they an be approximated by a
homogeneous fun tion L(u) of degree 1. Having introdu ed the notion of the uniform tail
expansion for the multivariate opulas I will des ribe its main properties and determine the
set of all possible leading parts L(u). Between others I will show that L is on ave. Next
I will deal with the measure indu ed by L. I will show that it is a produ t of the Lebesque
measure on the real half line and a measure on the unit simplex.

At the end I will present the example of an appli ation of the uniform tail expansion to
the problem of estimation of the extreme risk of the portfolio onsisting of long positions in
risky assets. The spe ial attention will be given to the Value at Risk (VaR).

Key words: opulas, fat tails, tail expansions, dependen e of extreme events, risk manage-
ment, portfolio theory.

MSC2000: 62H05 91B28 91B30 62E20 62H20

Measuring subtle ee ts of persisten e in the sto k market

dynami s
20:00 - 20:25
Rafaª Rak
1)
, Stanisªaw Dro»d»
;
1 2)
, Jarosªaw Kwapie«
2)
Oral
1) University of Rzeszow, Institute of Physi s, Rejtana 16, Rzeszów 35-310, Poland
2) Polish A ademy of S ien es, Institute of Nu lear Physi s (IFJ PAN), Radzikowskiego 152,
Kraków 31-342, Poland
The onventional formal tool to dete t ee ts of the nan ial persisten e is in terms of the
Hurst exponent. A typi al orresponding result is that its value omes out lose to 0.5, as
hara teristi for geometri Brownian motion, with at most small departures from this value
in either dire tion depending on the market and on the time s ales involved. We study the
high frequen y pri e hanges on the Ameri an and on the German sto k markets. For both
orresponding indi es, the Dow Jones and the DAX respe tively, the Hurst exponent analysis
results in values lose to 0.5. However, by de omposing the market dynami s into pairs
of steps su h that an elementary move up (down) is followed by another move up (down)
and expli itely ounting the resulting onditional probabilities we nd values typi ally lose
to 60%. This ee t of persisten e is parti ularly visible on the short time s ales ranging
from 1 up to 2 minutes, de reasing gradually to 50% and even signi antly below this value
on the larger time s ales. This indi ates a subtle nature of the nan ial persisten e whose
hara teristi s es ape dete tion within the onventional Hurst exponent formalism.

13
 SATURDAY, NOVEMBER 20TH
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

Saturday, November 20th

08:30 - 08:50
Coee, tea and akes

GAMES & NETWORKS - Woj ie h Wisli ki

Warsaw University of Te hnology, main building, pl.Polite hniki
1, room 208 (2nd oor)
08:55 - 11:00

A tive agents modelling of investors behaviour

08:55 - 09:20
1) 1)
Oral Janusz A. Holyst , Arkadiusz Potrzebowski
1) Fa ulty of Physi s and Center of Ex ellen e for Complex Systems Resear h, Warsaw Uni-
versity of Te hnology, Koszykowa 75, Warszawa 00-662, Poland
We have developed the model of a sto k market where heterogeneous agents buy or sell
shares depending on information they get from neighbours and the relation of a temporary
pri e to a fundamental pri e. Depending on the magnitude of the noise present in the system
(magnitude of market temperature) pri es os illate between the bull and the bear phases or
around a mean fundamental value. The os illation period in the rst ase an be al ulated
from the mean eld theory. In the presen e of a market leader the market os illations are
shifted towards lower or towards higher pri e values depending on a hara teristi value of a
fundamental pri e assumed by the market leader.

Playing with Minority Games

09:20 - 09:45
1)
Oral Magdalena A. Zaluska-Kotur
1) Polish A ademy of S ien es, Institute of Physi s (IFPAN), al. Lotnikow 32/46, Warszawa
02-668, Poland
The Minority Game was proposed as market model in 1997. The model turned out to be so
interesting, that still is a subje t of intensive investigations. Some of its properties an be
analyzed within the framework of statisti al me hani s of a disordered system. Dynami al
steady states are mapped onto the ground state properties of a spin glass model. An appli a-
tion of the repli a method allows nding riti al values for ontrol parameters of the Minority
Game. On using simple omputer simulations, it is easy to show that the riti al parameters
agree with the al ulated ones. We analyze how the observed riti al behavior of the system
hanges when model is modied. We dis uss the variation of the model in the ontext of the
ex hange rates dynami s on Polish nan ial markets.

Information theory point of view on sto hasti networks

09:45 - 10:10
1) 2)
Oral Grzegorz Wilk , Zbigniew Wlodar zyk
1) Soltan Institute for Nu lear Studies, Ho»a 69, Warszawa 00-681, Poland
2) Akademia Swietokrzyska, Instytut Fizyki (AS), Swietokrzyska 15, Kiel e 25-406, Poland

14
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS
SATURDAY, NOVEMBER 20TH

It has been widely re ognized sin e some time already that Nature is full of all kinds of
random networks of omplex topology, whi h des ribe su h apparently disparate systems as
biologi al, e onomi al, so iologi al or informati al ones. Their most hara teristi feature is
the apparent s ale-free hara ter of inter onne tions between the nodes. We shall look at then
from the information theory point of view and show that in this way we an easily des ribe a
wide spe trum of possible types of distributions in luding, in the ase of nonextensive version
of information theory, the power-like s ale-free distributions hara terist of omplex systems.

Matrix representation of evolving networks

10:10 - 10:35
1) 1)
Krzysztof Malarz , Krzysztof Kuªakowski Oral
1) AGH University of S ien e and Te hnology, Fa ulty of Physi s and Applied Computer S i-
en e (AGH), Mi kiewi za 30, Kraków 30-059, Poland
In re ent ten years, mu h attention has been paid to the problem of evolving networks - a
new area with many interdis iplinary appli ations in so ial- and e ono- s ien e among others.
Rapid progress in omputer abilities allows today to simulate networks of a tors and agents
with their omplex behaviour.

In the paper we present the onne tivity and distan e matrix evolution for dierent types
of networks: exponential, s ale-free and random ones. Statisti al and spe tral properties of
these matri es are in luded as well as topologi al features of the networks.

Correlations between the most developed e onomies - network

analysis
10:35 - 11:00
Janusz Mi±kiewi z
;
1 2)
, Mar el Ausloos
3)
Oral
1) Wro law University, Institute of Theoreti al Physi s (UW IFT), pl. M. Borna 9, Wro ªaw
50-204, Poland
2) University of Agri ulture, Physi s and Biophysi s Department, ul. Norwida 25, Wro ªaw
50-375, Poland
3) University of Liege, Institute of Physi s, SUPRATECS (ULg), B5, Liege B4000, Poland
The analysis of statisti al orrelation between the most developed ountries based on ho-
sen ma roe onomy parameters is performed. The main aim of this analysis is to investigate
similarities in the development pattern. The following set of ountries is onsidered: Austria
(AUT), Belgium (BEL), Canada (CAN), Denmark (DNK), Finland (FIN), Fran e (FRA),
Germany/footnote{Germany is onsidered as a one ountry. To have a re ord before onsoli-
dation the data are onstru ted as a sum of GDP of both German ountries.} (DEU), Gree e
(GRC), Ireland (IRL), Italy (ITA), Japan (JPN), the Netherlands (NLD), Norway (NOR),
Portugal (PRT), Spain (ESP), Sweden (SWE), Switzerland (CHE), United Kingdom (GBR)
and USA. The ountries are des ribed by theirs Gross Domesti Produ t (GDP), sin e in
most ountries GDP is onsidered as an o ial parameter of the e onomi situation. GDP is
usually dened as a sum of all nal goods and servi es produ ed in the ountry equal to total
onsumer, investment and government spending, plus the value of exports, minus the value
of imports [1℄. Additionally in order to dene a referen e ountry an arti ial All ountry
is onstru ted. GDP of All ountry is dened as a sum of GDP of all 19 ountries. So the
GDP in rement of All an be onsidered as a referen e level of development.

The GDP values for ea h of these ountries are rst normalised to their 1990 value given
in US dollars as published by the Groningen Growth and Development Center on their web
page [2℄. The data over the period between 1950 and 2003, i.e. 54 points for ea h ountry.

The GDP yearly in rement given by Eq.(1) is onsidered and its statisti al properties are
presented

GDP(t) = [GDP(t) - GDP(t-1)℄/[GDP(t-1)℄. (1)

15
SATURDAY, NOVEMBER 20TH
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

A distan e matrix is al ulated, where the distan e is dened as

d(i,j)(t;T ) = {[1- orr(t;T ) ( i , j )℄/2}

=
1 2
. (2)

The orrelation fun tion orr(t;T ) is

2 2 2
orr(t;T ) ( i , j ) = (< i j >(t;T ) - < i >(t;T ) < j >(t;T ) )/[(< i >(t;T ) - < i > (t;T ) )(< j >(t;T )
2
- < j > (t;T ) )℄
1 2= ,

where i denotes the time series of in rements of GDP for the i

th ountry, and < i >(t;T )
is the average of yearly GDP in rements in the time window (t,t+T) of size T. This deni-
tion gives the distan e, whi h is de reasing while orrelations are in reasing, so the shortest
distan e is between the ountries with the highest orrelation GDP in rements. Eq.(2) maps
the linear spa e of the series Ln of the length n onto the interval [0,1℄:

d: Ln x Ln ->[0,1℄,

where the distan e d takes the value 0 for orrelated time series and 1 for anti orrelated series.

The distan es between ountry are illustrated for a few (5y, 15y, 25y, 35y, 45y) time win-
dows, where y denotes years. It means that orrelations between su h ountries are measured
within very short, short, medium, long and very long time windows.

In order to obtain some quantitative information on the ountry orrelations, we have looked
for lusters or stru tures formation. Classi al way to sear h for luster is nd subgraphs with
high lustering oe ient [3℄. The alternative way is to build a well dened stru ture e.g.
Minimal Spanning Tree (MST) and look for a stru tures repeating in onse utive time win-
dows or to nd a set of nodes onne ted by short links. For the sake of simpli ity minimal
length path algorithm (MLP), whi h is a 1-D modi ation of the MST algorithm is used.
This algorithm emphasizes the strongest orrelation between entities with the onstraint that
the item is atta hed only on e to the network. This results in a la k of loops in the tree.
The onstru tion of more elaborate networks is left for further studies. Two dierent graphs:
the unidire tional (with a given initial point) and bidire tional minimal length paths (UMLP
and BMLP respe tively) are onstru ted, as a fun tion of time and for moving time windows
of various sizes. The size of time window is onstant during the displa ement.

The UMLP and BMLP algorithms are dened as follows:

[UMLP℄: The algorithm begins with hoosing an initial point of the hain. Here the initial
point is the All ountry. Next the shortest onne tion (in terms of the distan e denition -
Eq.(2) is looked for between the initial point and the other possible neighbours. The losest
possible one is sele ted and atta hed to the initial point. One sear hes next for the entity
losest to the previously atta hed one, and repeat the pro ess.

[BMLP℄: The algorithm begins with sear hing for the pair of ountries whi h has the shortest
distan e between them. Then these ountries be ome the root of a hain. In the next step
the loset ountry for both ends of the hain is sear hed. Being sele ted it is atta hed to the
appropriate end. Next a sear h is made for the losest neighbour of the new ends of the hain.
Being sele ted, the entity is atta hed, a.s.o.

Considering dierent time windows a sort of riti al orrelation time has been found. It
is pointed out that the size of the time window for whi h the orrelations are well seen should
not be shorter then 15y, but the most appropriate is 25y time window. This means that on
the level of global e onomy orrelations are well seen in the medium length time window and
o-operations between ountries form a stable relationship. In the ase of medium and long
time window formation of lusters, understood as a set of ountries with highly orrelated
GDP in rement is observed.

The properties of UMLP and BMLP algorithms are ompared and it is found that BMLP
algorithm is more sensitive to sear hing for a lustering patterns among onsidered entities,
while UMLP is suitable for ranking ountries ( ompanies) and ould be useful in solving port-
folio problems.

A new method for estimating a realisti minimal time window to observe orrelations in
ma roe onomy is thus suggested. This method ould be also applied to a sto k market anal-
ysis. The mean distan es analysis is expe ted to be useful in estimating the shortest time
window in analyzing orrelations on a sto k market as well. In su h a ase it should be om-
pared to moving average windows.

Bibliography

16
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS
SATURDAY, NOVEMBER 20TH

[1℄ http://www.investorwords. om/2153/GDP.html

[2℄ http://www.ggd .net/index-dseries.html#top
[3℄ R. Albert, A.-L. Barab'asi: Statisti al Me hani s of Complex Networks, Rev. Mod. Phys.
47 (2004) p.74

Coee, tea and akes 11:00 - 11:30

ARBITRAGE PRICING, RISK & PROFIT - Janusz A. Holyst

Warsaw University of Te hnology, main building, pl.Polite hniki
1, room 208 (2nd oor)
11:30 - 13:10

On a new approa h to the arbitrage pri ing theory

11:30 - 11:55
1)
Karol Krzy»ewski Oral
1) Warsaw University, Fa ulty of Mathemati s, Computer S ien e and Me hani s (MIMUW),
Bana ha 2, Warszawa 02-097, Poland
The Arbitrage Pri ing Theory (APT) on erns a entral problem of modern nan e theory
- the trade - o between risk and expe ted rate of asset return. It was dis overed by Ross
(1976). His proof of the approximate arbitrage pri ing formula was not based on a formal
denition of arbitrage. The rst pre ise proof without the estimation of pri ing errors was
given by Huberman (1982) and with that estimation by Chamberlein and Roths hild (1983).
A ne essary and su ient ondition for an analogue of approximate arbitrage pri ing, alled
`approximate fa tor pri ing', is given. The proof is very simple and is based on the Riesz
representation theorem of a ontinuous linear fun tional on Hilbert spa e. It gives the upper
and lower bounds on the pri ing errors. The lower bound is attained. As orollaries one
obtains the Chamberlain - Roths hild theorem on approximate arbitrage pri ing and the
Reisman theorem on approximate fa tor pri ing.

Insurer's surplus model with varying risk parameter and delayed

reporting
11:55 - 12:20
1)
Woj ie h Otto Oral
1) Wydziaª Nauk Ekonomi zny h Uniwersytetu Warszawskiego (WNE UW), Dluga 44/50,
Warszawa 00-241, Poland
The dis rete-time model of the insurer's surplus pro ess St typi ally assumes:

St =St 1 +Wt , t=1,2,...,

where W1 ,W2 ,..., are i.i.d. random variables, representing yearly premium less yearly ag-
gregate laims, and the initial surplus S0 is xed. The model is intended to produ e answers
on erning the event of ruin (probability of ruin, time of ruin, de it when ruin o urs et .).
Typi ally it is assumed that the premium omponent of Wt is onstant, and the distribution
of Wt is known.

In real life however, premium is written in advan e to over laims over the oming expo-
sure period that are often reported and paid a number of periods later. The inadequa y is
even more obvious in the ase of the ontinuous-time model, where the time elapsed between
re eiving premium and paying (eventually) ompensations is totally negle ted. In order to

17
 SATURDAY, NOVEMBER 20TH
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

restore orresponden e of the model to real life pro esses, we ould hange the interpretation
of variables involved. Premium inow less laims outlays appearing in the model as Wt ould
be interpreted as orresponding to a ounting on epts of premium earned (premium written
less in rement of the premium reserve) less laims o urred ( laims paid plus in rement of
the outstanding laims reserve). This leads to interpreting the surplus as the amount of free
assets, and onsequently the ruin as insolven y. Under this interpretation the surplus model
is meaningful for pra ti e, as in fa t it fo uses on phenomena of ru ial importan e for all
involved parties: shareholders, tax authority, poli yholders, and insuran e supervision. How-
ever, the problem arises when we take into a ount that:
I. outstanding laims amount is a random variable, and the orresponding reserve is in fa t
its point predi tor, based on information available at the a ounting date.
Additional problem that makes predi tions omplex is that:
II. in real life the risk parameter ( hara terising the laims pro ess) is not xed, so its pre-
di tions are needed as well for premium setting as for reserving purposes.

The paper on erns on in orporating the two above mentioned ompli ations into the model
of the insurers surplus. It is shown that (at the ost of ertain simplifying assumptions) the in-
orporation ould be presented as su h reinterpretation of the surplus St itself and the variable
Wt , that leaves lassi al relationships between these variables unae ted. So, in a way the
paper is fo used on  alibrating of the above elements of the model to the empiri al eviden e.

Te hniques used in the paper resembles in general those used by S heike (1992), who intro-
du ed the notion of fair premium for the laim pro ess with dependent in rements, applying
to this purpose the Doob-Meyer de omposition for sub-martingales. Assumptions have been
hosen so as to enable asting the model into the state-spa e form, whi h allows for expli it
expressions of premium and reserves as based on predi tors of respe tive laim payments.
Although using Kalman ltering te hniques for reserving purposes is not a new idea, their
appli ation for restoring the orresponden e of the simple surplus model to real life pro esses
is, to my best knowledge, new.

Remarks on risk neutral and risk sensitive portfolio optimization

12:20 - 12:45
1)
Oral Šukasz Stettner
1) Polish A ademy of S ien es, Institute of Mathemati s, ‘niade ki h 8, Warszawa 00-950,
Poland
Assume we are given market with m risky assets. Denote by Si (t) the pri e of i-th asset at time
t. We shall assume that the pri es of assets depend on k e onomi al fa tors xi (n), i=1,...,k,
with dynami s hanges in dis rete time moments denoted for simpli ity by n=0,1,...., in the
following way:
for t belonging to the interval [n,n+1),

dSi (t)/Si (t)=ai (x(n))dt+ j =1 k+m ij (x(n))dwj (t), (1)

where (w(t)=(w1 (t),w2 (t),..., wk +m (t)) is a k+m dimensional Brownian motion dened on
a given probability spa e (
,(Ft ),F). E onomi al fa tors x(n)=(x1 (n),...,xk (n)), satisfy the
equation:

xi (n+1)=xi (n)+bi (x(n))+ j =1 k+m dij (x(n))(wj (n+1)-wj (n))=g(x(n),W(n)), (2)

where W(n):=(w1 (n+1)-w1 (n),...,wk +m (n+1)-wk +m (n)).

We assume that 'a', 'b' are bounded ontinuous ve tor fun tions, and ' 
', 'd' are bounded
ontinuous matrix fun tions of suitable dimensions. Additionally we shall assume that the
matrix dd
T (the supers ript 'T' stands for transponse) is nondegenerate. Noti e that equation
(2) orresponds to dis retization of a diusion pro ess. The set of fa tors may in lude divident
yields, pri e - earning rations, short term interest rates, the rate of ination see e.g. [1℄. The
dynami s of su h fa tors is usually modeled using diusion, frequently linear equations eg.
in the ase when we assume following [1℄ that 'a' is a fun tion of spot interest rate governed
by the Vasi ek pro ess. Our assumptions on erning boundedness of ve tor fun tions 'a' and
'b' may be relaxed allowing linear growth, however in su h ase we shall need other more
ompli ated assumptions.

Assume that starting with an initial apital V(0) we invest in assets. Let hi (n) be the part

18
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS
SATURDAY, NOVEMBER 20TH

of the wealth pro ess lo ated in the i-th asset at time n, whi h is assumed to be nonnegative.
The hoi e of hi (n) depends on our observation of the asset pri es and e onomi al fa tors up
to time 'n'. Denoting by V(n) the wealth pro ess at time 'n' and by h(n)=(h1 (n), ...,hm (n))
our investment strategy at time 'n', we have that h(n) belongs to U={(h1 ,...,hm ), hi >=0,
i=1 m hi =1} and

V(n+1)/V(n) = i=1 m hi (n)  i (x(n),W(n)), (3)

where

 i (x(n),W(n))=exp{ai (x(n))-2 ij (x(n))/2 + j =1k+m ij (x(n))(wj (n+1)-wj (n))}.

We are interested in the following investment problems:
maximize risk neutral ost fun tional
0
J x (h(n))= lim infn >oo {{Ex {lnV(n)}}/n}, (4)

and maximize risk sensitive ost fun tional

0
J x (h(n))= {lim supn >oo {{Ex {V(n) }}/n}}/ , (5)

with <0. Using (3) we an write the ost fun tionals (4) and (5) in the more onve-
nient forms. Namely,
n 1 ln ( m h (t) (x(t),h(t))}}/n}
x (h(n))= lim infn >oo {{Ex {t=0
0
J i=1 i i
=lim infn >=infty {{Ex {t=0
n 1
(x(t),h(t))}}/n}, (6),
m
with (x,h)=E{ln(i=1 hi  i (x,W(0)))}. It is lear that risk neutral ost fun tional J depends
0

on un ontrolled Markov pro ess (x(n)) and we pra ti ally maximize the ost fun tion itself.
Consequently an optional ontrol is of the form ontrol (u'(x(n)), where suph (x,h)= (x,
u'(x)) and fun tion Borel measurable u': R
k -> U exists by ontinuity of for xed x belong-
ing
k
to R .
This ontrol does not depend on asset pri es and is a time independent fun tion of
urrent values of the fa tors x only. The Bellman equation orresponding to the risk neutral
ontrol problem is of the form

w(x) +  = suph ( (x,h) + Pw(x)), (7)

where Pf(x):= Ex {f(x(1))} for f belonging to bB(R ) - the spa e of bounded Borel mea-
k
k
surable fun tions on R , is a transition operator orresponding to (x(n)). We shall show that
there are solutions w and  to the equation (7) and  is an optimal value of the ost fun tional
0
J . Letting

 h; n (!):=
t=0 n 1 exp{ ln ( i=1 m hi (t) i (x(t),W(t)))}(E{exp{ ln (i=1 m hi (t) i (x(t),W(t))}|Ft }) 1

onsider a probability measure P

h; dened by its restri tions P
h; to the rst n time moments
given by the formula

P jn h; = h; n (!)=Pjn (d! ).

Then
n 1 ln( m h (t) (x(t),
Jx (h(n))={lim sup n >oo {ln Ex {exp{ t=0 i=1 i i W(t)))}}/n}}/
={lim supn
h;  n 1

>oo {ln E x {exp{ t=0 (x(t),h(t))}}/n}}/ , (8)

with

(x,h):=ln(E{( i=1 m hi  i (x,W(0))) }). (9)

Risk sensitive Bellman equation orresponding to the ost fun tional J

is of the form

exp(w (x))=infh {exp( (x,h)-  )/intE exp(w (y))P

h; (x,dy)}, (10)

where for f belonging to bB(R )

k
h; =E{( m 
P i=1 hi (x,W(0))) exp{- (x,h)f(g(x,W(0)))}, (11)

and where  / orresponds to optimal value of the ost fun tional (8). Noti e that un-
der measure P
h; the pro ess (x(n)) is still Markov but with ontrolled transition operator
P
h; (x,dy). Following [5℄ we shall show that

 / -> 0

19
 SATURDAY, NOVEMBER 20TH
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

whenever ->0.

The study of risk sensitive portfolio optimization has been originated in [1℄ and then on-
tinued in a number of papers in parti ular in [12℄. Risk sensitive ost fun tional was studied
in papers [9℄, [5℄, [6℄, [3℄, [4℄, [8℄, [2℄, [7℄ and referen es therein. Using splitting of Markov pro-
esses arguments (see [11℄) we study Poisson equation for additive ost fun tional the solution
of whi h is also a solution to risk neutral Bellman equation. We onsider then risk sensitive
portfolio optimization with risk fa tor lose to 0. We generalize the result of [12℄, where uni-
form ergodi ity of fa tors was required and using [7℄ show the existen e of Bellman equation
for small risk in a more general ergodi ase. The proof of that nearly optimal ontinuous
risk neutral ontrol fun tion is also nearly optimal for risk sensitive ost fun tional with risk
fa tor lose to 0 is based on modi ation of the arguments of [5℄ using some results from the
theory of large deviations.

Referen es

[1℄ T.R. Biele ki, S. Pliska, Risk sensitive dynami asset management, JAMO, 39 (1999),
pp.337-360.

[2℄ V.S. Borkar, S.P. Meyn, Risk-Sensitive Optimal Control for Markov De ision Pro esses
with Monotone Cost, Math. Meth. Oper. Res., 27 (2002), pp. 192-209.

[3℄ R. Cavazos-Cadena, Solution to the risk-sensitive average ost optimality in a lass of

Markov de ision pro esses with nite state spa e, Math. Meth. Oper. Res., 57 (2003), pp.
263-285.

[4℄ R. Cavazos-Cadena, D. Hernandez-Hernandez, Solution to the risk-sensitive average op-

timally equation in ommuni ating Markov de ision hains with nite state spa e: An alter-
native approa h, Math. Meth. per. Res., 56 (2002), pp.473-479.

[5℄ G.B. Di. Masi, L. Stettner, Risk sensitive ontrol of dis rete time Markov pro esses
with innite horizon, SIAM J. Control Optimiz., 38 (2000), pp. 61-78.

[6℄ G.B. Di Masi, L. Stettner, Innite horizon risk sensitive ontrol of dis rete time Markov
pro esses with small risk, Sys. Control Lett., 40 (2000), pp. 305-321.

[7℄ G.B. Di Masi, L. Stettner, Innite horizon risk sensitive ontrol of dis rete time Markov
pro esses under minorization property, submitted.

[8℄ W.H. Fleming, D. Hernandez-Hernandez, Risk ontrol of nite state ma hines on an

innite horizon, SIAM J. Control Optimiz., 35 (1997), pp. 1790-1810.

[9℄ D. Hernandez-Hernandez, S.J. Mar us, Risk sensitive ontrol of Markov pro esses in
ountable state spa e, Sys. Control Letters, 29 (1996), pp. 147-155.

[10℄ I. Kontoyiannis, S.P. Meyn, Spe tral Theory and Limit Theorems for Geometri ally
Ergodi Markov Pro ess, Ann. Appl. Prob. 13 (2003), 304-362.

[11℄ S.P. Myen, R.L. Tweedie, Markov Chains and Sto hasti Stability, Springer 1996.

[12℄ L. Stettner, Risk sensitive portfolio optimization, Math. Meth. Oper. Res. 50 (1999),
463-474.

Sznajd model and its appli ations

12:45 - 13:10
1)
Oral Katarzyna Sznajd-Weron
1) University of Wro ªaw, Institute of Theoreti al Physi s, pl. M. Borna 9, Wro ªaw 50-204,
Poland
Modern so ieties rely heavily on group de ision, but the part of what makes for healthy faith
ommunities is a sense that all members feel heard. That is why nding onsensus is very im-
portant in many bran hes of so ial life - from very personal problems (like religion, abortion,
et .) to e onomi problems (like marketing, investments, et .). Re ently both so iologists and
physi ists have tried to nd out when a omplete onsensus from initially diverging opinion
emerges. In this paper we propose a model whi h allows to dis riminiate between two kinds
of behavior, onne ted with areas whi h we all personal and e onomi . It seems that an

20
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS
SATURDAY, NOVEMBER 20TH

attitude with regard to the personal area spreads in a dierent way than that with regard to
the e onomi area. Thus, we assume that ea h agent tries to inuen e its neighbors, but in
the personal area the information ows inward from the neighborhood (like in most opinion
dynami models), whereas in the e onomi area the information ows outward from the agent
or group of agents to the neighborhood (like in the Sznajd model [1℄).

In 2000 we proposed a new model [1℄ of opinion formation named by Stauer the Sznajd
model (SM). The model has found many appli ations - from politi s to nan e and market-
ing. For the review of the model and its appli ations see [2-7℄ and refs. therein. We assumed
that individual opinion is represented by an Ising spin (yes or no), like in many opinion dy-
nami s models. The really new thing that we introdu ed was the dynami s of spins. The
motivation to propose this new dynami s was a phenomenon alled by so ial psy hologists
the So ial Validation - one fundamental way that we de ide what to do in a situation is to
look to what others are doing. A group of people sharing the same opinion inuen es the
neighborhood mu h easier than isolated individuals. On the other hand, it seems that so ial
validation phenomena works mu h weaker in private aspe ts of life, su h as religion. These
attitudes are mostly inuen ed by the family or friends. For this reason we believe that to
model the evolution of attitude to personal freedom one should use Glauber dynami s.

In this paper we will show that building onsensus in personal life is mu h more di ult
that in e onomi s. On the other hand, the dynami s onne ted with e onomi freedom is
mu h more ompli ated than the one onne ted with personal freedom. The model an be
used to des ribe the formation of so ial attitude regarding e onomi freedom, i.e., whether
the so iety prefers an open market or a state ontrolled market. We will also show how the
personal attitudes and toleran e inuen e this formation pro ess, a problem that is dis ussed
in the behavioral nan e literature [8℄.

Referen es

[1℄ K. Sznajd-Weron, J. Sznajd, Opinion evolution in losed ommunity. Int. J. Mod. Phys.
C 11 (6), 1157-1165 (2000).
[2℄ D. Stauer, So iophysi s - A review of re ent Monte Carlo simulations. Fra tals 11, 313-
318 (2003).
[3℄ D. Stauer, So iophysi s: the Sznajd model and its appli ations. Comput. Phys. Com-
mun. 146 (1), 93-98 (2002).
[4℄ P. Ri hmond, L. Sabatelli, Langevin pro esses, agent models and so io-e onomi systems.
Physi a A 336, 27-38 (2004).
[5℄ A.T. Bernards, U.M.S. Costa, A.D. Araujo, D. Stauer, Damage spreading, oarsening
dynami s and distribution of politi al votes in Sznajd model on square latti . Int. J. Mod.
Phys. C 12 (2), 159-167 (2001).
[6℄ A.T. Bernardes, D. Stauer, J. Kertesz, Ele tion results and the Sznajd model on Barabasi
network, Eur. Phys. J. B 25 (1), 123-127 (2002).
[7℄ C. Shulze, Advertising in the Sznajd marketing model. Int. J. Mod. Phys. C 14 (1), 95-98
(2003).
[8℄ D. Kahneman, A. Tversky, (eds.), Chaos, Values and Frames. Cambridge Univ. Press,
2000.

Lun h 13:10 - 14:15

SOCIAL DISTANCE, WEALTH CONDENSATION &

BUSINESS - Olaf W. Morawski
Warsaw University of Te hnology, main building, pl.Polite hniki
1, room 208 (2nd oor)
14:15 - 16:45

21
 SATURDAY, NOVEMBER 20TH
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

14:15 - 14:40
The Heider balan e and so ial distan e
Oral 1) 1) 1)
Krzysztof Kuªakowski , Przemysªaw Gawro«ski , Piotr Gronek
1) AGH University of S ien e and Te hnology, Fa ulty of Physi s and Applied Computer S i-
en e (AGH), Mi kiewi za 30, Kraków 30-059, Poland
The Heider balan e is usually dis ussed in terms of ognitive dissonan e. Here we stress its
role for theory of oni ts. The model system is a group of N persons, represented by nodes
of a fully onne ted graph. A set of dierential equations is proposed for the time evolution
of the so ial distan e between the group members. This distan e an be measured in the
Bogardus s ale. In the Heider approa h, the distan e r(i,j) is positive if i and j a ept ea h
other, and negative in the opposite. After some time T(N), the system rea hes the Heider
balan e, i.e. two subgraphs appear. Within both subgraphs, all distan es are positive; others
are negative. We dis uss an inuen e of limitations of the allowed range of the so ial distan e
on the system dynami s.

[1℄ Ch. Kadushin, Introdu tion to So ial Network Theory,

http://home.earthlink.net/ kadushin/Texts/Basi %20Network%20Con epts.pdf

[2℄ Z. Wang and W. Thorngate, Sentiment and So ial Mitosis: Impli ations of Heider's Bal-
an e Theory, JASSS vol 6 No 3, http://jasss.so .surrey.a .uk/6/3/2.html

[3℄ J. Curran and S. R. Takata, Bogardus So ial Distan e S ale,

http://www. sudh.edu/dearhabermas/bogardus02.htm

Measuring of so ial relations: the so ial distan e in so ial

stru ture and ommuni ation - a study of prison ommunity
14:40 - 15:05
1)
Oral Barbara Pabjan
1) Institute of So iology, Wro law University (UWr), Koszarowa 3b, Wro ªaw 51-149, Poland
So ial relations and their inuen e on various phenomena are one of the key issue not only
in so iology. The ru ial problem, however, is how to measure the so ial relations and their
impli ation in so iety.
I try to adopt a physi al perspe tive to the typi al so iologi al analysis and to measure the
qualitative nature of human ommunity adopting the ategory of so ial distan e. This ate-
gory is used to explore the properties of so ial relations in the stru ture and the ommuni ation
system of prison ommunity. The issues that will be dis ussed:
-The spe i properties of so ial relations as the onstitutive fa tors for dierent type of group
stru ture and type of ommuni ation.
-How the elementary so ial networks [short-range group stru tures℄ form the dynami s of
prison ommunity?
-What is the role of the numeri al for e of the group for prison ommunity?
- The interplay between the mi rostru tures and ma rostru tures?
The ommuni ation stru ture: how the so ial for es shape the ommuni ation.

Wealth ondensation in Pareto ma ro-e onomy

15:05 - 15:30
1)
Oral Zdzislaw Burda
1) Jagiellonian University, Institute of Physi s (IF UJ), Reymonta 4, Kraków 30-059, Poland
We dis uss ma ro-e onomy of Pareto type in a losed system with xed total wealth. We show
that the system has an instability whi h may lead to a wealth ondensation if the e onomy
is too restri tive (too so ial). This an be interpreted as a orruption phenomenon in whi h
a sizeable fra tion of the total wealth is amassed by a single individual.

22
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS
SATURDAY, NOVEMBER 20TH

Problems of the ele tri power market

15:30 - 15:55
1)
Barbara Koªodziej zyk Oral
1) Prywany, Piotrkowska, Šód¹ 00-000, Poland
Power market is an online market, whi h operates a ording to the spe i rules. Power must
be supplied at the same moment, as it is demanded and there are insigni ant storage pos-
sibilities. Therefore the hara teristi element of the power market is the balan ing market
where the system operator provides balan ing servi es and organizes nan ial settlements for
markets parti ipants.
The main problems related to the power market are the following:
(i) Predi ting power demand in dierent time interval (hour, day, month, year) parti ularly
in order to determine ontra t position.
(ii) Predi ting power ex hange and balan ing market temporary pri es.
(iii) Determining risk while signing short-term bilateral ontra ts in fun tion of power demand
and temporary pri es.
(iv) Transferring variable power pri es from the wholesale market to the retail market parti -
ularly in order to:
(a) al ulate taris in a proper way,
(b)fa ilitate implementation of the TPA prin iple.

Beyond Business Intelligen e. Integration of business knowledge

and te hnology in xIS Solutions
15:55 - 16:20
1)
Šukasz Ko iuba Oral
1) SAS Institute Sp. z o.o., Gda«ska27/31, Warszawa 01-633, Poland
Organizations spend tremendous amounts of time, eort, and money building operational en-
vironments. Despite this, they don't have the information they need readily at hand to make
business de isions. Even when they start development proje ts, they don't get the information
fast or a urate enough to make an impa t on the business de isions they need to make today.

SAS provides a layer of unique business intelligen e whi h in ludes the SAS r Industry In-
telligen e Solutions (xIS). xIS build on the ustomer's operational environments and help
transform organizations into Intelligent Enterprises by surfa ing know-how based on their
own real-world data.

xIS bring together what has been learnt from many proje ts that SAS has been involved
in worldwide to address industry's hottest business topi s. They represent a quality, val-
idated intelligen e solution with a standard ar hite ture that is so exible that it an be
applied to most organizations.

From physi s to business

16:20 - 16:45
1)
Roman Szwed Oral
1) ATM S.A., Gro howska 21a, Warszawa 04-186, Poland
A story will be told on how understanding of the physi al phenomena and proper edu ation
help in business

Coee, tea and akes 16:45 - 17:15

23
 SATURDAY, NOVEMBER 20TH
SYMPOSIUM ON ECONO- AND SOCIOPHYSICS

ROUND-TABLE DISCUSSION & SUMMARY - Ryszard

Kutner, Janusz A. Holyst
17:15 - 18:00

SKŠADANIE DEKLARACJI O CZŠONKOSTWO W FENS -

Janusz A. Holyst
18:00 - 19:00

ZEBRANIE ZARZDU FENS - Janusz A. Holyst

19:00 - 20:00

24
Address Book

Ba hnik, Wiktor: wba hnikmanta.univ.gda.pl,

Bu zynski, Ryszard: rbu zynsigf.fuw.edu.pl,
Burda, Zdzislaw: burdath.if.uj.edu.pl,
Caban, Piotr: piotr abanyahoo. om, tel: +48609999310,
Chaªasi«ska-Ma ukow, Katarzyna: kma ukowigf.fuw.edu.pl,
Choroma«ski, Tomasz: th ho2.pl,
Czarne ka, Monika: m zarpo zta.fm,
Domagaªa, Paweª: pdomagalaknss.uni.wro .pl,
Dro»d», Stanisªaw: Stanislaw.Drozdzifj.edu.pl,
Dyka, Andrzej: AndrzejDyka.info.pl,
Fabrowska, Aleksandra: fabrobox.ids.pl,
Gajda, Aneta: ag81po zta.onet.pl,
Gall, Monika: mgallpo zta.onet.pl,
Górak, Mar in: margor82tlen.pl,
Gre h, Dariusz: dgre hift.uni.wro .pl,
Holyst, Janusz A.: jholystif.pw.edu.pl,
Janusz, Barbara: blueeepo zta.onet.pl,
Jasiak, Ja ek: Ja ek.Jasiakfuw.edu.pl,
Jaworski, Piotr: jwptxamimuw.edu.pl,
Kazimier zuk, Tomasz: zsamotkpo zta.onet.pl,
Ka¹mier zak, Marek: Marek-Kazmier zakwp.pl,
Ko iuba, Šukasz: Lukasz.Ko iubaspl.sas. om,
Koªodziej zyk, Barbara: dtibait.net,
Kozªowska, Marzena: rkozlmalnet.pl,

25
 ADDRESS BOOK

Król, Karol: karolkrolgazeta.pl,

Krzy»ewski, Karol: kkrzyzmimuw.edu.pl,
Kuªakowski, Krzysztof: kulakowskinovell.ftj.agh.edu.pl, tel: +48(12)6173539, fax:
+48(12)6340010,
Kutner, Ryszard: erkafuw.edu.pl,
Kwapie«, Jarosªaw: Jaroslaw.Kwapienifj.edu.pl,
Šski, Szymon: szleski ft.edu.pl,
Lesz zy«ski, Piotr: avespo zta.onet.pl,
Lissowski, Andrzej: alissowippt.gov.pl,
Šupi«ski, Mar in: mlupinskwp.pl,
Ma iej zyk, Mirosªaw: m_ma ywp.pl,
Majka, Arkadiusz: majkai m.edu.pl,
Makowie , Danuta: zdmuniv.gda.pl,
Malarz, Krzysztof: malarzagh.edu.pl, tel: +48(12)6173539, fax: +48(12)6340010,
Mar iniak, Magda: mar iniakmagwp.pl,
Me he ki, Piotr: piotr.me he kiwp.pl,
Mi±kiewi z, Janusz: jamisift.uni.wro .pl,
Morawski, Olaf W.: olaf_morawskihp. om,
Mu howski, Witold B.: operni wp.pl,
Musz, Mar in: musz ft.edu.pl,
Orªowski, Arkadiusz J.: orlowifpan.edu.pl,
O±wi imka, Paweª: Pawel.Oswie imkaifj.edu.pl,
Otto, Woj ie h: wotto eeer .wne.uw.edu.pl,
Pabjan, Barbara: bpabjanuni.wro .pl, tel: +48(71)375-51-07,
Pal zewski, Andrzej: apal zewmimuw.edu.pl,
Parkoªa, Mi haª A.: m.parkolastudents.mimuw.edu.pl,
Pawªowska, Ali ja: hoiko02.pl,
P zkowski, Marek: mpe zkowskiwne.uw.edu.pl,
Pilat, Szymon M.: wiskierpo zta.fm, tel: +48506953795,

26
ADDRESS BOOK

Podsiadªo, Rafaª: hellrazorinteria.pl,

Pul hny, Marek: marpul1wp.pl,
Rafalski, Mi haª Š.: rafalskifuw.edu.pl,
Rak, Rafaª: rafalrakuniv.rzeszow.pl,
Rokita, Paweª: prokitainteria.pl,
Rudzka, Emilia: emiliain e um.pl,
Sakowski, Pawel: sakowskiwne.uw.edu.pl,
Sinoª ka, Magdalena M.: sinole k ft.edu.pl,
Skornik-Pokarowska, Urszula: skornikalpha.sggw.waw.pl,
‘lepa zuk, Robert: rslepa zukwne.uw.edu.pl,
‘liwak, Mateusz: msliwakgo2.pl,
Sob zyk, Dominika: dmsob zyko2.pl,
Stasiak, Maria: apal zewmimuw.edu.pl,
Stettner, Šukasz: lstettnerimpan.gov.pl,
Stojda, Dorota: dstojdawarszawa.um.gov.pl,
‘witaªa, Filip: philipkonto.pl,
Sznajd-Weron, Katarzyna: kweronift.uni.wro .pl,
Szwed, Roman: roman.szwedatm. om.pl,
Szyma«ska, Agnieszka: apal zewmimuw.edu.pl,
Tanajewski, Šukasz: ltanajewskigazeta.pl,
Tarnawa, Lukasz: lukasz.tarnawapkobp.pl,
Tokarska, Kamila A.: moskwa33wp.pl,
Tomaszewski, Andrzej: tomaszewskiwne.uw.edu.pl,
Urbanowi z, Krzysztof: urbanowmpipks-dresden.mpg.de,
Utyuzh, Oleg: utyuzhfuw.edu.pl,
Walewski, Andrzej: awnpo zta.wp.pl,
Wiewiórka, Marek: mw26381sgh.waw.pl,
Wilk, Grzegorz: wilkfuw.edu.pl,
Wisli ki, Woj ie h: wisli kifuw.edu.pl,

27
 ADDRESS BOOK

Witowski, Woj ie h S.: witowskisadyba.elartnet.pl,

Wªodar zyk, Zbigniew: wlodpu.kiel e.pl,
Wojnar, Ryszard: rwojnarippt.gov.pl,
Wolak, Marta: ja_martawp.pl,
Wolfart, Emilia: ew201230students.mimuw.edu.pl,
Wypy h, Grzegorz: grzn-s.pl,
Zaj¡ , Paweª: pavlo16wp.pl,
Zalewski, Piotr: piotr.zalewskifuw.edu.pl,
Zaluska-Kotur, Magdalena A.: zalumifpan.edu.pl,
Zawitkowski, Lukasz: lzawitstudent.ifpan.edu.pl,
›elazek, Ja ek: j.zelazekwp.pl,
Ziemski, Mi hal: rookroo.k.pl,

28
Index

‘witaªa, Filip, 8 Struzik, Zbigniew, 7

Sznajd-Weron, Katarzyna, 20
Ausloos, Mar el, 15 Szwed, Roman, 23
Burda, Zdzislaw, 22 Urbanowi z, Krzysztof, 5
Dro»d», Stanisªaw, 6, 9, 13 Wilk, Grzegorz, 14
Dyka, Andrzej, 10 Wisli ki, Woj ie h, 11
Gawro«ski, Przemysªaw, 22 Wlodar zyk, Zbigniew, 14
Gre h, Dariusz, 6 Wojnar, Ryszard, 6
Gronek, Piotr, 22 Zaluska-Kotur, Magdalena A., 7, 14
Holyst, Janusz A., 5, 14
Jaworski, Piotr, 13
Ka¹mier zak, Marek, 10
Koªodziej zyk, Barbara, 23
Ko iuba, Šukasz, 23
Kozªowska, Marzena, 8
Krzy»ewski, Karol, 17
Kuªakowski, Krzysztof, 15, 22
Kutner, Ryszard, 8
Kwapie«, Jarosªaw, 6, 9, 13
Majka, Arkadiusz, 11
Makowie , Danuta, 9
Malarz, Krzysztof, 15
Mazur, Zygmunt, 6
Mi±kiewi z, Janusz, 15
O±wi imka, Paweª, 6, 9
Orªowski, Arkadiusz J., 7
Otto, Woj ie h, 17
Pabjan, Barbara, 22
Pal zewski, Andrzej, 11
Potrzebowski, Arkadiusz, 14
Rak, Rafaª, 13
Rudzka, Emilia, 11
Skornik-Pokarowska, Urszula, 7
Stettner, Šukasz, 18

29