Komplex Rendszerek Fizikája Tanszék

Imre Kondor

full professor

Doctor of HAS (1988)

Komplex Rendszerek Fizikája Tanszék


Office: 5.69


Direct phone: +36-1-372-2867

Phone: +36-1-372-2500 / 6567


E-mail: send message

Born in 1943. Graduated in physics in 1966 at ELTE. Obtained the candidate of sciences and doctor of physical sciences degree from the Hungarian Academy of Sciences (HAS) in 1984 and 1988, respectively. From 1969 to 1989 he held various positions in the Research Group for Theoretical Physics of HAS, and various visiting positions abroad: at the Institute for Theoretical Physics, Trieste, Italy (1972-73), at the Institut für Theoretische Physik, Goethe Universität, Frankfurt, Germany (1981), at the Service de Physique Théorique, Centre d´Etudes Nucleaires de Saclay, France (1982-83), and at the Theoretical Physics Department of Victoria University, Manchester, UK (1984-86). Between 1983 and 1998 he kept up a close and continuous collaboration with the Saclay group.

In 1989 he became professor of physics at the Institute for Theoretical Physics, Eötvös University, and between 1998 and 2000 he was head of the Department of the Physics of Complex Systems at the same university, where presently he holds the position of full professor.

In 1992 he founded the Bolyai College, a school of excellence for science students, where he served as director until 1998. From 1998 he has been invited lecturer, later honorary professor at the Budapest University of Economic Sciences and Public Administration (now Corvinus University), and from 1999 to 2002 he was head of the Market Risk Research Department of Raiffeisen Bank, Budapest. From 2002 to 2008 he was the rector, from 2008 to 2010 permanent fellow of Collegium Budapest - Institute for Advanced Study.

Over the years he served in numerous committees, among others in 1977-80 he was the secretary of the Statistical Physics Division of the Eötvös Physical Society, Budapest,1980-90 secretary,1990-97 chairman of the Statistical Physics Committee of the Hungarian Academy of Sciences, and between 1996-99 he served as chairman of the Higher Education Research Grant Committee. He was a founding member and in 200-02 the chairman of the Hungarian Association of Risk Managers.

In 1973 he was awarded the Bródy Prize of the Eötvös Physical Society, in 1989 the Physics Prize, and in 1992 the Academic Prize of the Hungarian Academy of Sciences, and in 1999 the Apáczai Csere János Prize of the Ministry of Education, Budapest.

During the first few years of his research career he worked on condensed Bose systems, from the early 70´s on static and dynamic critical phenomena. Around 1980 his research interest turned to random systems, in particular to the field theory of spin glasses. His present research field is the application of the methods of statistical physics to problems in quantitative finance, and the theoretical aspects of risk management and of financial regulation. Over the years he published about 70 papers and edited 3 books.


Selected publications of the last five years:

[1] 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), 19 pages.

[2] I. Kondor, Sz. Pafka, R. Karádi, and G. Nagy
Estimation Noise in Portfolio Optimization with Absolute Deviation in Practical Fruits of Econophysics: Proceedings of the Third Nikkei Econophysics Symposium, Hideki Takayasu (ed.): Practical Fruits of Econophysics: Proceedings of the Third Nikkei Econophysics Symposium, Tokyo; Springer, New York, (2006). ISBN: 4431289143.Tokyo; New York, Springer, 2006.

[3] I. Kondor, Sz. Pafka and G. Nagy: Noise sensitivity of portfolio selection under various risk measures, Journal of Banking and Finance, 31, 1545-1573 (2007).

[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 and I. Varga-Haszonits: Divergent estimation error in portfolio optimization and in linear regression, Eur. Phys. J. B 64, 601-605 (2008).

[7] I. Varga-Haszonits and I. Kondor: The instability of downside risk measures, J. Stat. Mech./ P12007 (2008).

[8] 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

[9] S. Still and I. Kondor: Regularizing portfolio optimization, New Journal of Physics 12 075034 Doi: 10.1088/1367-2630/12/7/075034 (2010).

[10] F. Caccioli, S. Still, M. Marsili and I. Kondor: Optimal Liquidation Strategies Regularize Portfolio Selection, submitted to the European Journal of Finance, arXiv:1004.4169v1 [q-fin.PM].