Program

Preliminary Program Satellite Workshop CAC

8:30- 09:00 : Registration

9:00 -10:45 : Session CAC 1

10:45-11:15 : Coffee break

11:15 - 13:00 : Session CAC 2

13:00-14:30 : Lunch

14:30-16:15 : Session CAC 3

16:15-16:45 : Coffee break

16:45 - 18:00 : Session CAC 4

Detailed Program with Abstracts

8:30- 09:00 - Registration

9:00 -10:45 - Session CAC 1: Dynamic systems of conflicts

President of the Session: Antoine Parent (CAC-IXXI, Institut Rhône – Alpin des Systèmes Complexes).

 Laurent Gauthier (Université Paris 8, LED, CAC-IXXI) : “ Laws of Divine Power in the Greek Pantheon”

Abstract:In ancient Greek polytheism, worshippers could choose which gods they would address, and in doing so they expected some form of benefit in a quid pro quo relationship. We look into the optimal choice of which god to worship as a function of the presumed strategy of the gods for returning favors to the worshippers, and relate it to a form of divine efficiency measure. At the equilibrium the model also shows that the least-worshipped god receives at least a certain volume of devotion. We propose two different approaches that may account for the assumed divine efficiency measure, one based on projecting characteristics of human performance onto the gods, and the other based on a random growth model for the benefits of addressing each god. Both approaches imply that observed acts of worship would follow a type of power law. We gathered data from a large volume of epigraphic and literary sources on actual acts of worships from the ancient Greeks, and it allows us to show that the distributions of these acts at the polis level effectively follow power laws with a particularly high degree of regularity. The number of votive acts towards the least-worshipped gods also match the model's prediction. We test the extent to which the known characteristics of the poleis affect the shape of these distributions, and find little explanatory power. The shape of the distribution of votive acts across gods hence appears to have followed a general law for the Ancient Greeks.

Keywords: Ancient Greek polytheism, religious studies, theory of religious economy, game theory, random growth models, power laws, human performance modeling

Maxime Menuet (University of Orléans, LEO), Antoine Parent and Mehrdad Vahabi (University of Sorbonne Paris Nord): “A Theory of the Soviet System: A Warfare Economy during the Peace Time”

Abstract:Historically speaking, massive state intervention into economy appeared as an outcome of total warfare during the two World Wars in which the whole society was mobilized to serve the state (Vahabi et al. 2020). Warfare economy was the basis of what later transformed into a Soviet type economy, a warfare economy during the peacetime. As Lange (1958) suggested, socialism can be described as a sui-generis war economy. Such methods of war economy are not peculiar to socialism because they are also used in capitalist countries in war time. They were developed in the first and second World War. In capitalist countries similar methods were used during the war, namely, concentration of all resources on one basic purpose, which was the production of war material. In this paper, we develop a theory of the socialist system as warfare economy during the peace time. The macroeconomic dynamics of a socialist system will be discussed and its different trajectories will be analyzed capturing the relationship between rent-seeking by bureaucrats, directors of socialist enterprises as well as households’ forced saving, and military expenditure for external threat and the insurrectionary pressures.

Antoine Parent, Vincent Touzé (OFCE - Sciences Po) : “World conflicts and their resolution: An Exploration in Macroeconomic Dynamics”

Abstract:This article examines the dynamics of war and peace in Europe from the beginning of modern times (16th century) until the emergence of a stable peace with the advent of a European democratic unity after 1945. First, we are interested in the historical perspective. The latter shows a complex process that reveals varying oppositions between political regimes (autocracy vs autocracy or autocracy vs democracy or democracy vs democracy) as well as different levels of territorial involvement, duration of conflict, and loss of human life. Second, we develop a theoretical framework to reproduce a process of war and peace between two countries. We assume that the situation of war and peace is based on trade-offs between gains (compensation paid by the looser) and costs (war expenses, mortality, compensation due to the winner). These trade-offs depend on whether the two economies are autocracies or democracies. The war is declared if the expected gain by a country is greater than its expected cost.

Cécile Bastidon (Univ. Toulon and CAC – IXXI), Steven Durlauf (Harris School of Public Policy, University of Chicago), Antoine Parent: “The great fear of 1789: a preliminary survey of social network methods in historical perspective”

 Abstract:  We aim to compare the explanations provided by historians of the articulation of the French Great Fear of 1789, on the one hand, and the abolition of privileges, on the other hand. In particular, we aim to compare the theory of the rise of the collective consciousness of the people (Lefebvre, 1932; Tackett, 2003) vs. the theory of emotions (Elster, 2007; Elster, 2010; Elster, 2011). We mobilize original disciplinary approaches, in particular computational network methods applied to social networks and information dissemination, with a background of economic history of institutional transitions. This preliminary paper is a broad multidisciplinary literature review allowing to identify the hypotheses and methods. The state of the art suggests, using data from the parliamentary archives, an approach by dynamic socio-metric representation of the social network formed by the deputies, obtained from the contents of their interventions. The robustness of the representation will be assessed based on the conformity of the clustering and assortativity properties to the usual properties of social networks. Then the study of the dynamic structure will emphasize the concordance vs. discordance of the position of the nodes in the graph with social positions (Haythornthwaite, 1996); and the verification of the conditions of convergence towards a common opinion on the properties of the persistent graph (Shi, 2013).

10:45-11:15 coffee break

11:15 - 13:00 Session CAC 2: Models and networks of institutional transitions

President of the session: Cécile Bastidon (CAC-IXXI, Institut Rhône – Alpin des Systèmes Complexes).

 Zhiming Fu (University of Sichuan), Antoine Le Riche (University of Sichuan and CAC-IXXI), Antoine Parent, Lei Zhang (University of Sichuan): “The “Take-off” of Chinese Economy: An Evolutionary Model of Economic Revolution”

Abstract:This paper argues that, from 1978, the economic revolution accomplished by China is a matter of institutionnal revolution. The reforms to adopt capitalism took place in a context of aversion to pre-existing ideology because of the historical lessons associated with the "Great Leap Forward" and the "Cultural Revolution" and to uncertainty of outcomes associated with institutional innovations. This made the reform process resembles that of evolution with biased local mutations. To assess this process, our paper uses a simple evolutionary model, based on biology, to explain how reforms allow an economy to move from a planned to a market economy. We present the case where no reforms are implemented and show that, there exist two stable stationary equilibria: (i) a full market economy and (ii) a full planned economy. After the introduction of reforms, we give evidence that there is only one stable stationary solution that corresponds to a full market economy. This model correctly replicates the transition of China to capitalism.

Nouhoum Touré (University Paris 1, CES) : “Persistence or Demise of Serfdom”

Abstract :We propose a theoretical framework to investigate how the cultural acceptance of serfs labor within the elite affects serfdom institution. To do so, we propose a model with two social classes: workers and the elite. Workers are split between free workers and serfs. Within the elite, there are two cultural groups: modernists and traditionalists. Modernists exhibit a higher disutility cost when they use serfs labor than traditionalists. Culture is defined as the distribution of these two traits within the elite. Its evolves via the cultural transmission mechanism proposed by Bisin and Verdier (2001). The existence or not of serfdom institution is determined by the cultural distribution within the elite through a majority voting rule. The long run dynamics of our model exhibits multiple equilibria: an equilibrium with serfdom abolition and an equilibrium where serfdom persists. The convergence towards one or the other depends on the structural parameters of the economy. The model argues that the fall of serfdom is a natural process driven by cultural changes in countries or regions where modernists attached higher importance to freedom and equality.

Cécile Bastidon, Antoine Parent (Univ. Paris 8, LED; OFCE – Sciences Po and CAC-IXXI) : “The Societies of Thought in 1789 Revolutionary France: A Network Analysis”

Abstract:The recent re-edition of the works of Augustin Cochin (e.g., Cochin 1921, 2018), historian of the French Revolution, provides an opportunity to re-read his work in terms of networks. A former student of the Ecole des Chartes and paleographer, Cochin is the theorist of "societies of thought" (Huygue, 2007 ; Gueniffey, 2018), which lend themselves particularly well to formal transcription in the form of networks of people. From this transcription, we characterize the structure of the networks described by Cochin. We pay particular attention to two types of network indicators: measures of centrality, including the centrality of intermediality, which describes the specific position of nodes placed at the interface of otherwise weakly connected subgroups; and measures of homophily, which describe assortativity (privileged connection of nodes with similar characteristics) by connectivity, and by ordered or unordered characteristics (respectively, economic; and sociological, geographical, or other). This characterization of Cochin's Societies of Thought makes it possible to discuss with renewed arguments each of the hypotheses of Revolutionary History presented in « Les sociétés de pensée et la démocratie moderne ». 

Antoine Parent, Etienne Farvaque (Univ. Lille, LEM), Olivier Damette (BETA, Univ. Lorraine) : “Electoral Cycles in France. A view from the Banque de France’s Balance Sheet Archives”

Abstract:Has money served governments' electoral purposes in the history of French democracy?

While the Banque de France was originally privately owned, it progressively lost its independency from the State over the 20th Century, until recovering independency in 1994. This research explores whether and how the monetary policy of the Banque de France has been manipulated by governments willing to improve economic conditions at election time to be reelected. Unlike the rest of the literature that documented political monetary cycles for recent periods, this article adopts an historical approach by focusing on one of the longest democratic experiences in the world, with the French democracy since the late 19th Century. This research is made possible by the recent release of the Banque de France’s balance sheet archives, providing high-frequency data on monetary aggregates. In order to identify political monetary cycles, we analyze whether important changes in the growth rate of the monetary base occurred in the quarters or months prior or after elections by using time series data for the 1889-2012 period. For that, we assess break points and coincidence between the two series. We use outliers and break point detections methods, based on Auto-Regressive models, to isolate particular events in the dynamics of the monetary basis and compare these breaks to historical elections events. We use 3 subsamples corresponding to the 3rd, 4th, 5th Republics and try to identify some turning points in the dynamics of monetary aggregates. We finally report the detected breaks versus the historical legislative elections’ events for comparisons. We find strong contemporaneous matching between historical and detected breaks for both the 3rd and the 5th Republic, suggesting manipulations of the monetary policy for electoral purposes. The empirical analysis is completed by event studies around the observed key dates to understand the mechanisms at works.

13:00-14:30 lunch

14:30-16:15 Session CAC3: Cliometrics and ClioPhysics of financial markets

President of the session : Patrice Abry (ENS Lyon & IXXI, Institut Rhône – Alpin des Systèmes Complexes).

Patrice Abry (Complex Systems Institute, ENS Lyon), Cécile Bastidon (Univ. Toulon and CAC – IXXI), Pierre Borgnat (Complex Systems Institute, ENS Lyon), Pablo Jensen (Complex Systems Institute, ENS Lyon), Antoine Parent, Barbara Pascal (Complex Systems Institute, ENS Lyon): “Detecting global financial crises over history through a denoising-based segmentation: a new model-based approach”

Abstract:We propose an original model-based method for detecting global financial crises. This method consists in segmenting the correlation structure of world equity market returns using a multivariate piecewise linear denoising model derived from signal theory. Regarding data, the use of equity market returns is particularly suitable for the cliometric approach: it is parsimonious in terms of the data required, and suitable for detecting crises caused at different times by deteriorated fundamentals of different natures. Regarding methodology, the denoising

model allows the segmentation of highly multivariate non-stationary data, without prior assumptions about the number and characteristics of states of the system. Applied to the period 1960-2020, this method proves to be fully complementary with existing methods, from expert-based dating approaches of financial crises à la Reinhart and Rogoff (2009), Eichengreen and Bordo (2002) or Laeven and Valencia (2012), the availability of which requires regular updates; to modelbased approaches à la Schularick and Taylor (2009) or Danielsson et al. (2018), which require a wide range of prior hypotheses and are inappropriate for highly multivariate data. In addition, the results obtained not only make it possible to detect crises, but also to establish a typology based on their global diffusion.

Pierre-Charles Pradier (Univ. Paris 1, CES) and Antoine Parent: “The welfare contribution of the Paris option market (1844-1940): implications for cryptocurrencies”

Abstract:We provide the first quantitative analysis of pricing and profitability of option trading in Paris from 1844 to 1939 based on a data source featuring more than 75,000 option prices. Now, the pricing of options is based on widely accepted mathematical methods that, after some teething problems, have reached a form of scientific consensus in the 1990s. However, when one uses these models on data from the Paris stock exchange, which was the world’s main options market until 1940, one obtains model prices that are much higher than actual prices were. This is a puzzle that cannot be compared to the implementation problems of the 1980s (such as the volatility smile) since options were sold at half the model price on average. We solve this puzzle by showing the risk management techniques of market makers of the time were not those of the contemporary era (i. e. continuous-time hedging). Nevertheless, these risk management techniques were those of today’s position-taking betting operators, involving the selection of betting options offered to customers. Under the guise of an options market, the Paris market is essentially a market of contracts for difference on forward prices. The modernity of the subject lies in the fact that today’s cryptocurrency markets replicate these features: observers of these assets mistakenly think that they are disintermediated transactions (because the cryptocurrency consensus mechanism does not require a trusted third party) but the vast majority of cryptocurrency trading is performed as contracts for differences on forward prices. In either case, the contribution to social welfare of these market operations is limited to the “gamblers’ pleasure”, if one can think seriously of this quantity as an argument for the social welfare function.

Julien Chevallier (Univ-Paris 8, LED), Dominique Guegan (Univ. Paris 1, CES), Stéphane Goutte (Univ. Paris – Saclay): “Is it possible to forecast the price of Bitcoin? A horse race of machine learning models based on cryptocurrencies, financial markets and commodities data”

Abstract:This paper discusses several shortfalls of machine learning applied in quantitative finance. (i)

Over-fitting is addressed using regularization parameters and sparsity concerns. (ii) Visualization is proposed across several plots. (iii) Variable selection issues are solved by calculating variance inflation factors. (iv) Data quality is ensured through a ‘financial markets approach’ favoring price relationships, as in standard econometric modeling. We deploy six machine learning algorithms (e.g., Artificial Neural Network, Support Vector Machine, Random Forest, k-Nearest Neighbours, AdaBoost, Ridge regression), without deciding a priori which one is the ‘best’ model. The main contribution is to use these data analytics techniques with great caution in the parameterization, instead of classical parametric modelings (AR), to disentangle the non-stationary behavior of the data. The empirical application focuses on forecasting the price of Bitcoin, motivated by its market growth and the recent interest of market participants and academics. As soon as Bitcoin is also used for diversification in portfolios, we need to investigate its interactions with stocks, bonds, foreign exchange, and commodities. We identify that other cryptocurrencies convey enough information relevant to explain the behavior of the daily variation of the Bitcoin’s spot and futures prices. Forecasting results point to the segmentation of Bitcoin with respect to alternative assets. According to this result, trading strategies are implemented.

Stéphane Goutte (Université Paris – Saclay): “The Impact of Cryptocurrency Mining on the Environment”

Abstract:There is a growing interest in the world of cryptocurrency mining. However, little is addressed on the influence that mining a digital currency has on the environment. A digital currency is an advanced exchange method that uses a decentralized P2P to record, produce, and send coins over the chain. Crypto mining has attracted more interest recently, particularly for cryptos that can be mined with graphic cards. Mining cryptos using graphic cards has necessarily an impact on the environment. The global Bitcoin network is consuming more than seven electricity gigawatts. Over a year, this amount is equivalent to 64 terawatt-hours of energy consumption. It is more than what a country like Switzerland uses over the same period. This article will so discuss and investigate the implications of this process on the global environment.

16:15-16:45 - Coffee break

16:45 - 18:00 - Session 4: Keynote (on line) session and concluding remarks

Steven Durlauf (University of Chicago): “What is Cliometrics and Complexity”