Group discussion on Time
Michel M. Dacorogna – SCOR Scientific Advisor
& Laurent Bibard (ESSEC)

Although often neglected in theoretical models, Time represents a crucial issue for financial operations in the context of a global world. Living in a world where stochastic events happen more frequently, extreme events may radically change an ongoing context, and actors are most often not prepared to deal with uncertainty. In this context, valuation of long-term assets would need a good understanding of the risk linked to time. Moreover, recovering a relevant memory of previous crises may reveal determinant for favouring right decisions in a context of complexity – e.g. present context where information is not available or unbalanced. The group discussing on time issues will cope with this kind of problematic questions.

  • Material:
    • Bibard L. (2014) “Bounded rationalities, routines, and practical as well as theoretical blindness: on the discrepancy between markets and corporations” forthcoming in the handbook Extreme Events in Finance, Wiley.
    • Rodarie H. (2014) “Robotization of financial activities: the point of view of cybernetics” forthcoming in the handbook Extreme Events in Finance, Wiley.
    • Dacorogna M., D.M. Guillaume, U.A. Müller and O.V. Pictet (1995) “Unveiling Non Linearities Through Time Scale Transformations“, Neural Network Word, 4, 461-471.
    • Dacorogna M., C.L. Gauvreau, U.A. Müller, R.B. Olsen, and O.V. Pictet (1996) “Changing Time Scale for Short Term Forecasting Models in Financial Markets” Journal of Forecasting, 15, 203-227.
  • Summay of the group discussion:

The analysis of extreme events in finance should integrate two important concepts: risk and uncertainty. The distinction between risk and uncertainty is due to Knight: probabilities can be associated to risky events, while uncertain events cannot be evaluated from a statistical point of view. Uncertainty is related to the capacity of individuals and institutions to create and innovate, and to change the world. The tension between risk and uncertainty is also comparable to the tension between short term and long terrm.

Michel M. Dacorogna

Michel M. Dacorogna is SCOR scientific advisor. He conducts research in the field of insurance mathematics, capital management and risks. He is also in-volved in presenting to management and to customers SCOR models and capital management techniques.

Coauthor of: “An Introduction to High Frequency Finance”, he has also pub-lished numerous articles in scientific journals. He is an associate editor of Quantitative Finance.

He received his Habilitation, Ph. D. and M. Sc. in Theoretical Physics from the University of Geneva in Switzerland and did a post-doc at the University of California in Berkeley.


Laurent Bibard

Laurent Bibard is Professor at ESSEC Business School since 1991. He was Dean for MBA Programs (2005 to 2009), and is currently Full Professor, Management Department and Head of the Edgar Morin Chair on Complexity. Laurent is educated in Management (PhD and Tenure in Economics) and Philosophy (PhD and Tenure in Political Philosophy). His researches benefit from this twofold education, questioning management from a philosophical perspective, and thought on the basis of experience and practice. Some of his recent researches concern organizational vigilance interpreted as the organizational conditions favouring collective as well as individual mindfulness on one hand, and gender relations on the other hand. Laurent is a thorough consultant, accompanying leaders and organizations in changing environments. Laurent was invited in many prestigious universities in Germany (Manheim), Canada (UQAM), Japan (Keio Business School, Keio University), etc. His publications include “Management and Philosophy : What is at Stake ?” (Keio Business Forum, March 2011, Vol 28, n°1, p 227-243) and Sexuality and Globalization (Palgrave Macmillan, New-York, 2014). His book La sagesse et le feminine (Wisdom and Feminity) is to be published in Japan end of 2014.


“It is quite surprising that the more complexity and uncertainty show in our global world, the more people try to have control over it. This tentative control over an indomitably uncertain environment deepns crises instead of dampening them. Moreover, the more people get used to control everything, the more they loose the competence to manage uncertainty – which is quite deleterious for organizations and of course markets as well.”

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