At the 9th International Conference on Computational Science 2008 (ICCS 2008) held recently in Krakow, Hongquan Li (Postdoctoral fellow, AMSS), Wei Shang (Postdoctoral fellow, AMSS) and Shouyang Wang (Professor, AMSS) received “the Green Group Award of Computational Finance and Business Intelligence” for their paper entitled Heterogeneity and endogenous nonlinearity in an artificial stock market.

 In this paper, they presented a nonlinear structural stock market model which is a nonlinear deterministic process buffeted by dynamic noise, and proved that the model could generate time series that exhibit dynamical and statistical properties closely resembling those of the S&P500 index, such as volatility clustering, fat tails (leptokurtosis), autocorrelation in square and absolute return, larger amplitude, crashes and bubbles. It came to the conclusion that the nonlinear structural model is more powerful to give a satisfied explanation to market behavior than the traditional stochastic approach.

 ICCS is an influential international conference in the field of computational science.  ICCS 2008 was organized by the Academic Computer Centre Cyfronet AGH in cooperation with the Institute of Computer Science AGH (Krakow, Poland), the University of Amsterdam (Amsterdam, The Netherlands) and the University of Tennessee (Knoxville, USA). The outstanding papers award sponsored by the Green Group aims to promote deepening research on computational aspects of asset/derivatives pricing & financial risk management that relates to business intelligence.