B024221 - WORKSHOP IN QUANTITATIVE FINANCE

English

Financial markets are characterized by empirical regularities such as non normality or time varying volatility of returns which are hard to explain in a standard economic setting with rational expectations, full rationality and homogeneity of economic agents. In this laboratory we provide a short introduction to a different class of models with heterogeneous and non perfectly rational agents.

Cars Hommes (2013) Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems, Cambridge.

Thomas J. Sargent, John Stachursky (2017), Quantitative Economic, https://lectures.quantecon.org/index.html.

For the solution, analysis and estimation of models with heterogeneous agents researchers tipically resort to numerical methods. The purpose of the laboratory is to provide attendants with the basic theoretical and computational tools required to deal with this kind of models.

None

- Lectures
- class exercises (programming)

Final evaluation

- Introduction to HAM (2h)
- Scientific programming with Python (8h)
- An asset pricing model with heteroge neous agents (6h)
- HAM with Python (8h):
* Computation of model solution
* Agent Based Simulations
* Empirics and estimation