TS 4 on Macroeconomic Agent-Based Models

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

Salle de conférence, 6th floor

Maison des Sciences Économiques

106 - 112 Boulevard de l'Hôpital, 75013 Paris
Amir Sani (Université Paris 1 Panthéon-Sorbonne), Balázs Kégl (LAL)
Description

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-CNRSParis School of EconomicsUniversité 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.

PSECNRSUP1

CESdolfinsQuantopian

 

Participants
  • Akin Kazakci
  • Alexander Mikheev
  • Amir Sani
  • Andreas Karpf
  • Andrey Ustyuzhanin
  • Angelo Ziletti
  • Balázs Kégl
  • Damien Mourot
  • Djalel Benbouzid
  • Elisa Rizzo
  • Eric Vansteenberghe
  • Florence Ho
  • Igor Khorenzhenko
  • Isabelle Guyon
  • Issam Benabid
  • James HABE
  • Jeremy Boccanfuso
  • John Lewis
  • Juan Melo
  • Khulud Badokhon
  • Mainak Jas
  • Marc-Henri HURT
  • Mehdi Bartal
  • mehdi cherti
  • michael blot
  • MINA MOSTOUFI
  • Philippe Caillou
  • Ritavan Ritavan
  • Sebastian Cea
  • Solmaria Halleck
  • sourava prasad mishra
  • stanislao gualdi
  • Thomas Schmitt
  • Thore Kockerols
  • Tien PHAN
  • Tomas Balint
  • Yousra Bekhti
  • Zeinab Ibrahim
    • 09:00 09:45
      Registration & Coffee
    • 09:45 10:00
      Welcome 15m Salle de conférence, 6th floor

      Salle de conférence, 6th floor

      Maison des Sciences Économiques

      106 - 112 Boulevard de l'Hôpital, 75013 Paris
    • 10:00 11:00
      Rapid Analytics and Model Prototyping 1h
      Speaker: Balazs KEGL (Paris-Saclay Center for Data Science)
    • 11:00 12:00
      Agent Based Modeling 1h
      Speaker: Francesco LAMPERTI (LEM laboratory, Scuola Superiore Sant'Anna (Pisa))
    • 12:00 13:00
      Surrogate Modeling 1h
      Speaker: Amir Sani (Université Paris 1 Panthéon-Sorbonne)
    • 13:00 14:30
      Lunch Break 1h 30m
    • 14:30 17:30
      Machine Learning in Practice 3h
      Speaker: Delaney GRANIZO-MACKENZIE (Quantopian)
    • 17:30 18:30
      Closing Remarks
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