TS 4 on Macroeconomic Agent-Based Models

mardi 9 févr. 2016, 09:00 → 18:30 Europe/Paris

Salle de conférence, 6th floor (Maison des Sciences Économiques)

Amir Sani (Université Paris 1 Panthéon-Sorbonne), Balázs Kégl (LAL)

Macroeconomic Agent-Based Models (ABM)

Some key points

• "Tipping points" in macroeconomic ABMs and the need for parameter space exploration (Gualdi et al 2014 - JEDC)
• The calibration problem (Fabretti 2012 - JEIC)
• Calibration through Markov chains (Fabretti Markov Chain)
• Calibration through the distribution of returns and the relevance of key parameters (Alfarano et al 2005 - Comput ECS)
• Forward Calibration of the Brock and Hommes ABM (Recchioni et al 2015)
• Extending the BH model framework to the housing market bubble (Vanderleji slides)
• Introduction to Agent Based Computation

The RAMP is brought to you by Amir Sani and Antoine Mandel from the Centre d'Économie de la Sorbonne-CNRS, Paris School of Economics, Université Paris 1 Panthéon-Sorbonne, and your regular coaches.

Funding support is provided by the European Union Horizons 2020 Future and Emerging Technologies Distributed Global Financial Systems for Society (DOLFINS) project.

 

document

• 14WP26ACalibrationProcedurforAnalyzingStockPriceDynamics.pdf
• Alfarano_et_al_05_-_computecs.pdf
• fabretti_calibration12.pdf
• fabretti_markovchain.pdf
• Guali_et_al_14__-_tipping_points_in_macroeconomic_abm.pdf

Slides

• AmirSaniSlides.pdf
• FrancescoLampertiSlides.pdf
• vanderleij_slides.pdf

09:00 → 09:45 Registration & Coffee¶

09:45 → 10:00 Welcome¶

10:00 → 11:00 Rapid Analytics and Model Prototyping¶

Orateur: Balazs KEGL (Paris-Saclay Center for Data Science)

11:00 → 12:00 Agent Based Modeling¶

Orateur: Francesco LAMPERTI (LEM laboratory, Scuola Superiore Sant'Anna (Pisa))

12:00 → 13:00 Surrogate Modeling¶

Orateur: Amir Sani (Université Paris 1 Panthéon-Sorbonne)

13:00 → 14:30 Lunch Break

14:30 → 17:30 Machine Learning in Practice¶

Orateur: Delaney GRANIZO-MACKENZIE (Quantopian)

17:30 → 18:30 Closing Remarks¶