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Seminar: Lamperti on “Agent based modeling in economics and finance: open challenges and an attempt towards validation

9 Gennaio 2017 @ 13:00 - 14:00

Seminar announcement: Lamperti on “Agent based modeling in economics and finance: open challenges and an attempt towards validation” – January 9, 2017 – h. 13.00-14.00

 

Abstract
Agent based models are increasingly advocated as an alternative to standard modeling frameworks in a variety of fields, ranging from finance to climate change economics. They inspect economic phenomena through the lens of complex system theory and provide a genuine micro-foundation of the system’s aggregate properties, which emerge from the interactions of an ecology of agents. However, a major concern about the use of these simulation models regards their relationship with the empirical data. The identification of a suitable indicator quantifying the distance between the model and the data would help and guide model selection and output validation. This talk introduces the challenges linked to the use of agent based models and proposes the use of a new criterion, called GSL-div, to assess the degree of similarity between the dynamics observed in the data and those generated by the numerical simulation of models. As an illustrative application, this approach is used to distinguish between different versions of the well known asset pricing model with heterogeneous beliefs proposed in Brock and Hommes (1998).

Dettagli

Data:
9 Gennaio 2017
Ora:
13:00 - 14:00
Categoria Evento:
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Luogo

Sala Seminari
via monte generoso, 71
Varese, 21100 Italia
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