Imre Kondor

imrekondor2@gmail.com

External Fellow

My current research project is to apply analytic methods borrowed from the theory of disordered systems to the problem of portfolio optimization under various risk measures and regularizers. It lies at the crossroads of quantitative finance and statistical physics, with ramifications in financial regulation and portfolio management, and, on the theoretical side, in operations research, information theory, statistics and machine learning.

Positions Held

  • 2010 – present: Faculty, member of the core team, Parmenides Foundation, Munich
  • 2010 – present: External faculty, Quantitative Finance Group, Applied Mathematics and Systems Department (MAS), Ecole Centrale Paris
  • 2004 – present: Institute of Finance, Corvinus University (formerly: Budapest University of Economic Sciences and Public Administration): honorary professor
  • 1998-2011: Department of the Physics of Complex Systems, Eötvös University: professor of physics
  • 2002-10: Collegium Budapest – Institute for Advanced Study, permanent fellow
  • 2002-08: Collegium Budapest – Institute for Advanced Study, rector
  • 1998-2002: Raiffeisen Bank, Budapest, head of the Market Risk Research Department
  • 1998-2000: Department of the Physics of Complex Systems, Eötvös University: founder and head of department
  • 1992-98: Bolyai College, School of Excellence; Eötvös University, founding director
  • 1989-98: Institute for Theoretical Physics, Eötvös University: professor of physics
  • 1969-89: Research Group for Theoretical Physics, Hungarian Academy of Sciences: assistant research fellow, research fellow, senior research fellow
  • 1966-69: Department for Atomic Physics, Eötvös University of Sciences, Budapest: assistant professor

Guest professorships

  • 1998-2004: Institute of Finance, Budapest University of Economic Sciences and Public Administration
  • 1988-89: Kossuth University of Sciences, Debrecen, Hungary

Visiting positions

  • 1984-86: Department of Theoretical Physics, Victoria University, Manchester, United Kingdom: senior lecturer
  • 1983-98: continuous collaboration with, and frequent visits to, CEN Saclay, France
  • 1982: Service de Physique Théorique, Centre d’Etudes Nucleaires de Saclay, France: visiting scientist
  • 1981: Institut für Theoretische Physik, Goethe Universität, Frankfurt am Main, Germany: visiting scientist
  • 1972-73: International Centre for Theoretical Physics, Trieste, Italy: visiting scientist

Research areas

Condensed Bose systems, phase transitions and critical phenomena, statistical physics of disordered systems, spin glasses, application of the methods of statistical physics to problems in economics and finance, the theory of financial risk.

Teaching experience

  • Department of Atomic Physics, Eötvös University: laboratory exercises;
  • Institute for Theoretical Physics, Eötvös University: tutorials and lectures on theoretical mechanics, electrodynamics, quantummechanics, and statistical physics;
  • Department of Physics of Complex Systems, Eötvös University: lectures on statistical physics, the theory of disordered systems, and the theory of financial risk;
  • Institute of Finance, Corvinus University (formerly: Budapest University of Economic Sciences and Public Administration): lectures on time series analysis, portfolio theory, regulation and systemic risk, options pricing.

Editorial activity

Member of the editorial boards of Fractals, Journal of Statistical Mechanics: Theory and Experiment, and Complexity and Economics, formerly review editor of Journal of Banking and Finance

Public activity

  • 2006-11: chairman of the Board of the National College of Excellence
  • 2005-08: member of the Council of the European Complex Systems Society
  • since 2003: member of the UNESCO – l’Oreal „ Women in Science” prize committee
  • 2002 – 07:  member of the Board of the Hungarian Fulbright Commission
  • 2002 – 06: member of the Misztotfalusi Kis Miklos book and textbook grant committee
  • 2002 – 06:  member of the Advisory Body on Science and Technology of the prime minister of Hungary
  • 2000 – 04: chairman of the Hungarian Association of Risk Managers
  • 1996-99: chairman of the Higher Education Research Grant Committee
  • 1991-2006: member of the International Advisory Board of the Middle-European Cooperation in Statistical Physics
  • 1980-97: secretary, then chairman of the Statistical Physics Committee of the Hungarian Academy of Sciences, Budapest
  • 1977-80: secretary of the Statistical Physics Division of the Eötvös Physical Society, Budapest

Awards

  • 2003: Cross of Merit of the Hungarian Republic
  • 1999: Apaczai Csere Janos Prize, Ministry of Education
  • 1992: Academic Prize, Hungarian Academy of Sciences
  • 1989: Physics Prize, Hungarian Academy of Sciences
  • 1973: Brody Prize, Eötvös Physical Society

Research papers:

  1. I. Kondor and I. Varga-Haszonits: Instability of portfolio optimization under coherent risk measures, Advances in Complex Systems, 13, 425-437 (2010) DOI No: 10.1142/S0219525910002591.
  2. I. Varga-Haszonits and I. Kondor: The instability of downside risk measures,  J. Stat. Mech. P12007   doi: 10.1088/1742-5468/2008/12/P12007 (2008)
  3. I. Kondor and I. Varga-Haszonits: Divergent estimation error in portfolio optimization and in linear regression, Eur. Phys. J. B 64, 601-605 (2008)
  4. I. Varga-Haszonits and I. Kondor: Noise Sensitivity of Portfolio Selection in Constant Conditional Correlation GARCH models, Physica A385, 307-318 (2007)
  5. S. Ciliberti, I. Kondor, M. Mezard: On the Feasibility of Portfolio Optimization under Expected Shortfall, Quantitative Finance, 7, 389-396 (2007)
  6. I. Kondor, Sz. Pafka, G. Nagy: Noise sensitivity of portfolio selection under various risk measures, Journal of Banking and Finance, 31, 1545-1573 (2007).
  7. I. Kondor, Sz. Pafka, R. Karádi, and G. Nagy: Portfolio selection in a noisy       environment using absolute deviation as a risk measure, in H. Takayasu (ed.): Practical Fruits of Econophysics: Proceedings of the Third Nikkei Econophysics Symposium, Tokyo; Springer, New York, (2006). ISBN: 4431289143.
  8. A. Vázquez, J. G. Oliviera, Z. Dezső, K.-I. Goh, I. Kondor, and A.-L. Barabási: Modeling bursts and heavy tails in human dynamics, Phys. Rev. E 73 036127 (2006)
  9. G. Papp, Sz. Pafka, M.A. Nowak, I. Kondor: Random Matrix Filtering in Portfolio Optimization, Acta Physica Polonica B36, 2757-2766 (2005).
  10. Sz. Pafka, M. Potters and I. Kondor: Exponential weighting and random-matrix-theory-based filtering of financial covariance matrices for portfolio optimisation, arXiv: cond-mat/0402573 (2004)
  11. I. Kondor, A. Szepessy and T. Ujvárosi: Concave risk measures in international capital regulation, in: Risk Measures for the 21th Century, Ch. 4., pp. 51-59, ed. G, Szego, John Wiley & Sons (2004)
  12. Sz. Pafka and I. Kondor: Estimated correlation matrices and portfolio optimization, Physica A343, 623-634 (2004)
  13. Sz. Pafka and I. Kondor: Noisy covariance matrices and portfolio optimization II., Physica A319C, 487-494 (2003)
  14. Sz. Pafka and I. Kondor: Noisy covariance matrices and portfolio optimization, Eur. Phys. J. B27, 277-280 (2002)
  15. Sz. Pafka and I. Kondor: Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets, Physica A299, 305-310 (2001).
  16. T. Temesvári, I. Kondor, and C. De Dominicis: Reparametrization invariance: a gauge-like symmetry of ultrametrically organized states, Eur. Phys. J. B18, 493 (2000)
  17. I. Kondor: Spin glasses in the trading book, Int. J. of Theor. and Appl. Finance, 3, 537 (2000)
  18. A. Gábor and I. Kondor: Portfolios with nonlinear constraints and spin glasses, Physica A274, 222 (1999)
  19. I. M. Jánosi, B. Janecskó, and I. Kondor: Statistical analysis of 5s index data of the Budapest Stock Exchange, Physica A269, 111 (1999)
  20. T. Temesvári, C. De Dominicis, and I. Kondor: Scaling and infrared divergences in the replica field theory of the Ising spin glass, Eur. Phys. J. B11, 629 (1999)
  21. C. De Dominicis, T. Temesvári and I. Kondor: On Ward -Takahashi identities for the Parisi spin glass, J. Phys.IV 8, Pr6-13 (1998)
  22. C. De Dominicis, I. Kondor and T. Temesvári: Beyond the Sherrington-Kirkpatrick model, in Spin glasses and random fields, ed. A.P. Young, World Scientific, Singapore, pp. 119-160, 1998.
  23. C. De Dominicis, I. Kondor, T. Temesvári and D. Carlucci: Some analytic results in spin glass propagators, J. Phys. I (France), 6, 31 (1996) – abstract only.
  24. T. Temesvári, C. De Dominicis and I. Kondor: Block diagonalizing ultrametric  matrices, J. Phys. A27, 7569 (1994)
  25. C. De Dominicis, I. Kondor and T. Temesvári: Dyson’s equations for the (Ising) spin glass, J. Phys. I (France), 4, 1287 (1994)
  26. C. De Dominicis, I. Kondor and T. Temesvári: Ising spin glass: recent progress in the field theory approach, Int. J. Mod. Phys. B7, 996-92 (1993)
  27. I. Kondor, A. Végső: Sensitivity of spin glass order to temperature changes, J. Phys. A26, L641 (1993)
  28. C. De Dominicis and I. Kondor: Replica symmetry breaking in the Ising spin glass in finite dimensions, in From phase transitions to chaos: topics in modern statistical physics eds. G.Györgyi, I. Kondor, L. Sasvári, and T. Tél, World Scientific, Singapore, 1992
  29. I. Kondor, C. De Dominicis, and T. Temesvári: Short-range corrections to the order parameter and to the excitation spectrum of the Ising spin glass, Physica A185, 295 (1992)
  30. C. De Dominicis, I. Kondor, and T. Temesvári: Short-range corrections to the order parameter of the Ising spin glass above the upper critical dimension, J.  Phys. A24, L301 (1991)
  31. C. De Dominicis and I. Kondor: Explicit replica symmetry breaking and the regularization of perturbation expansion in a spin glass, in Neural networks and spin glasses, eds. W.K.Theumann and R. Köberle, World Scientific, Singapore, 1990
  32. C. De Dominicis and I. Kondor: Contradictions in spin glass field theory and a possible way out, Physica A163, 265 (1990)
  33. C. De Dominicis and I. Kondor: Spin glass field theory in the condensed phase continued to below d=6, J. Phys. A22, L743 (1989)
  34. I. Kondor: On chaos in spin glasses, J. Phys. A22, L163 (1989)
  35. T. Temesvári, I. Kondor, and C. De Dominicis: Long wavelength fluctuations in the Ising spin glass, J. Phys. A21, L1151 (1988)
  36. Kondor I.: Az 1/n sorfejtés (The 1/n expansion), Magyar Fizikai Folyóirat, XXXV 1 (1987)
  37. I. Kondor: An introduction to the theory of spin glasses, Sci. Progr., Oxf. 71, 145 (1987)
  38. I. Kondor and R.Németh: Zero modes and reparametrization invariance in the Ising spin glass, Acta Phys. Hung. 62, 193 (1987)
  39. I. Kondor and C. De Dominicis: Ultrametricity and zero modes in the short-range Ising spin glass, Europhys. Lett. 2, 617 (1986)
  40. I. Kondor: Towards a field theory of spin glasses, in Festkörperprobleme, Advances in Solid State Physics, XXV. p.225, ed. P. Grosse, Vieweg, Braunschweig, 1985
  41. C. De Dominicis and I. Kondor: Gaussian propagators for the Ising spin glass below Tc, J. de Physique Lett. 46, L1037 (1985)
  42. C. De Dominicis and I. Kondor: On the Ising spin glass. II. Fluctuations,  in Lecture Notes in Physics 216, ed. L. Garrido, Springer Verlag (1985)
  43. C. De Dominicis and I. Kondor: On spin glass fluctuations, J. de Physique Lett45, L205 (1984)
  44. I. Kondor: Parisi’s mean field solution for a spin glass as an analytic continuation in the replica number, J. Phys. A16, L127 (1983)
  45. I. Kondor and C. De Dominicis: The spectrum of fluctuations around Sompo-linsky’s mean field solution for a spin glass, J. Phys. A16, L73 (1983)
  46. I. Kondor and C. De Dominicis: Comment on Goltsev’s stability analysis for the Parisi solution of the long-ranged spin glass model, J. Phys. A16, 3931 (1983)
  47. C. De Dominicis and I. Kondor: Eigenvalues of the stability matrix for Parisi solution of the long range spin glass, Phys. Rev. B27, 606 (1983)
  48. I. Kondor and T. Temesvári: Exact critical condition for a site diluted Potts model, J. Phys. C14, L97 (1981)
  49. I. Kondor: Critical surface for a three-colour site percolation problem on the triangular lattice, J. Phys. A13, L397 (1980)
  50. I. Kondor: Phase boundary for planar site-bond percolation problems from a generalized star-triangle transformation, J.PhysC13, L531 (1980)
  51. I. Kondor, T. Temesvári and L. Herényi: Resummation of the 1/n expansion through a self-consistent scheme, Phys. Rev. B22, 1451 (1980)
  52. I. Kondor and T. Temesvári: Calculation of critical exponents to O(1/), Phys. Rev. B21, 260 (1980)
  53. I. Kondor and T. Temesvári: Critical indices to O(1/) for a three dimensional system with short range forces, J. de Physique 39, 99 (1978)
  54. P. Szépfalusy and I. Kondor: A model with intrinsic critical dynamics, in Proceedings of the International School of Physics Enrico Fermi, Varenna, LIX Course, ed. K.A. Müller and A. Rigamonti, Academic Press, 1976
  55. I. Kondor, P. Szépfalusy and T. Tél: Critical dynamics of generalized Ginzburg- Landau fields, in IUPAP International Conference on Statistical Physics ed. N. Menyhárd, Akadémiai Kiadó, Budapest, 1975
  56. I. Kondor and P.Szépfalusy: Dynamic critical exponent of a Bose system to O(1/n), Phys. Lett. 47A, 393 (1974)
  57. P. Szépfalusy and I. Kondor: On the dynamics of continuous phase transitions, Ann. of  Phys. 82, 1 (1974)
  58. P. Szépfalusy and I. Kondor: Dynamic critical behaviour in an n-component Bose system below Tc, Proc. of the Van der Waals Centennial, Amsterdam, 1973Physica Supplement 
  59. I. Kondor and P. Szépfalusy: Dynamics of the phase transition in the weakly inter-acting Bose gas, Phys. Lett. 33A, 311 (1970)
  60. I. Kondor and P. Szépfalusy: On the connection between the one-particle Green’s function and the density-density correlation function in a large Bose system, Acta Phys. Hung. 24, 81 (1968)
  61. S. Still and I. Kondor: Regularizing portfolio optimization, New Journal of Physics, 12, 075034 Doi: 10.1088/1367-2630/12/7/075034 (2010).
  62. F. Caccioli, S. Still, M. Marsili and I. Kondor: Optimal Liquidation Strategies Regularize Portfolio Selection, European Journal of Finance, 19, 554-571 (2013), Doi: 10.1080/1351847X.2011.601661, arXiv:1004.4169v1 [q-fin.PM] (2010).
  63. A. Billoire, I. Kondor, J. Lukic and E. Marinari: Large random correlations in individual mean field spin glass samples, J. Stat. Mech. P02009 (2011); http://arxiv.org/abs/1010.3237 (2010).
  64. I. Kondor, I. Csabai, G. Papp, E. Mones, G. Czimbalmos, M. Cs. Sándor: Strong random correlations in networks of heterogeneous agents, J. Economic Interaction and Coordination. Appeared online: J Econ Interact Coord DOI 10.1007/s 11403- 014-0125-5, 5 February 2014. Printed version: Journal of Economic Interaction and Coordination: Volume 9, Issue 2 (2014), Page 203-232 , DOI 10.1007/s11403- 014-0125-5; http://arxiv.org/abs/1210.3324
  65. Davide Fiaschi, Imre Kondor, Matteo Marsili and Valerio Volpati: The interrupted power law and the size of shadow banking, (2014), http://dx.plos.org/10.1371/journal.pone.0094237  http://arxiv.org/abs/1309.2130; http://ssrn.com/abstract=2326764
  66. Kondor, I.: Estimation Error of Expected Shortfall, submitted to the Basel Committee in response to the Consultative Document of the Basel Committee on Banking Supervision: Fundamental review of the trading book: A revised market risk framework (2014), http://www.bis.org/publ/bcbs265/imrekondor.pdf ;http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2400401
  67. F. Caccioli, I. Kondor, M. Marsili and S. Still: L_p regularized portfolio   optimization,  arXiv:1404.4040 [q-fin.PM], http://ssrn.com/abstract=2425326, published as: F. Caccioli, I. Kondor, M. Marsili and S. Still: Liquidity risk and instabilities in portfolio optimization, International Journal of Theoretical and Applied Finance, 19(5) p. 1650035 (2016), DOI: 10.1142/S0219024916500357
  68. F. Caccioli, I. Kondor and G. Papp: Portfolio optimization under Expected Shortfall: Contour maps of estimation error (2015), http://arxiv.org/abs/1510.04943
  69. G. Papp, F. Caccioli and I. Kondor: Fluctuation-bias trade-off in portfolio optimization under Expected Shortfall with l2 regularization (2016), http://arXiv:1602.08297v1[q-fin.PM]
  70. Istvan Varga-Haszonits, Fabio Caccioli, Imre Kondor: Replica approach to mean-variance portfolio optimization (2016), http://arxiv.org/abs/1606.08679 Categories: q-fin.RM cond-mat.dis-nn, to be published in JSTAT.
  71. I.Varga-Haszonits, F. Caccioli and I. Kondor: Replica approach to mean-variance portfolio optimization, accepted for publication by JSTAT, available at: http://arxiv.org/abs/1606.08679
  72. Fiaschi, I. Kondor, M.Marsili and V. Volpati: The missing assets and the size of shadow banking: an update, available at: https://arxiv.org/pdf/1611.02760
  73. I. Kondor, G. Papp and F. Caccioli: Analytic solution to variance optimization with no short-selling, available at:

Books

  • G. Györgyi, I. Kondor, L. Sasvári and T. Tél eds.: From phase transitions to chaos: topics in modern statistical physics, World Scientific, Singapore, 1992
  • J. Kertész and I. Kondor eds.: Advances in computer simulation, Springer Verlag, Heidelberg, 1997.
  • J. Kertész and I. Kondor eds.: Econophysics: An emergent science –
  • Proceedings of the first Econophysics Workshop, Budapest, 1997, an e-book,  econophysics.phy.bme.hu

Lecture notes

  • P. Szépfalusy, T. Tél, I. Kondor, L. Sasvári: Lectures on statistical physics (in Hungarian: Előadások statisztikus fizikából) Eötvös University, Budapest, 1996