Seminar Distributed Economic Activity and Collective Phenomena

Transcription

1 Prof. Dr. Thomas Lux / Markus Demary Summer Term 2007 Seminar Distributed Economic Activity and Collective Phenomena The seminar will cover advanced topics related to the collective outcome of distributed economic activity. One particular focus will be on models of artificial financial markets that explain bubbles and crashes as results of the interaction of diverse strategies of a large number of traders. Another focus will be on models for the emergence of heterogeneity of wealth and income from the complex interaction that characterizes modern economies. 1. The crash of 1987 and its possible causes: explanations and simulations 2. Bubbles and crashes in microscopic stock market models: the approach by Levy, Levy and Solomon 3. Evolutionary dynamics of trading-strategies: the Santa-Fe artificial stock market 4. Evolutionary dynamics of financial markets: beyond the Santa Fe model 5. Simple and sophisticated strategies and the efficiency of double auctions 6. Artificially intelligent traders in double auctions 7. Collective activities and the emergence of cooperation 8. Distributed exchange and the distribution of wealth: sociological and economic approaches 9. Heterogeneity of income and wealth: neoclassical approaches 10. Explaining the upper tail of the distribution of wealth: Are they rich by chance? 1

2 The seminar will run as a 4- to 6-day course in August/September of 2007, depending on the number of participants; the registration deadline is 31st of May, 2007, and the submission deadline for the seminar paper is 31st of August, A preliminary meeting will be held on 4th of June, the time and place for which will be announced at the beginning of June. Students are required to write a seminar paper (15 pages) and to give two presentations during the seminar meetings, consisting of a 30-minute presentation of their main topic and of a 10-minute discussion of an alternative topic. In case of more than thirty applicants, students will be chosen according to the usual lexicographic criteria so please make sure you fill in all fields of the online registration form. Successful participation yields 4 Prüfungspunkte in either Theoretische VWL or Wirtschaftspolitik. Syllabus 1. The crash of 1987 and its possible causes: explanations and simulations Black, f. and R. Jones, Simplifying Portfolio Insurance, Journal of Portfolio Management 14, 1987, Schwert W., Stock Volatility and the Crash of 87, Review of Financial Studies 3, 1990, Brady Commission, Report on the Presidential Task force on Market Mechanisms, Washington, Kim, G. and H. Markowitz, Investment Rules, Margin, and Market Volatility, Journal of Portfolio Management 16, 1989, Bubbles and crashes in microscopic stock market models: the approach by Levy, Levy and Solomon Levy, M., H. Levy and S. Solomon, A Microscopic Model of the Stock Market: Cycles, Booms, and Crashes, Economics Letters 45, Levy, M., N. Persky and S. Solomon, The Complex Dynamics of a Simple Stock Market Mode, International Journal of High Speed Computation 8, Levy M., H. Levy and S. Solomon, Microscopic Simulation of Financial Markets, Academic Press: New York,

3 3. Evolutionary dynamics of trading-strategies: the Santa-Fe artificial stock market Arthur, B., J.H. Holland, B. LeBaron, R. Palmer, and P. Tayler, Asset Pricing Under Endogenous Expectations in an Artificial Stock Market, Economic Notes 20, 1997, LeBaron,B. with W. B. Arthur and R. Palmer. The Time Series Properties of an Artificial Stock Market, Journal of Economic Dynamics and Control 23, 1999, Joshi, S. and D. Farmer, The Price Dynamics of Commonly Used Trading Strategies, Journal of Economic Behavior and Organization 4, 2002, Evolutionary dynamics of financial markets: beyond the Santa Fe model LeBaron, B., Evolution and Time Horizons in an Agent-Based Stock Market, Macroeconomic Dynamics, 2, 1997, Szpiro, G., The Emergence of Risk Aversion, Complexity, 2, 1997, Tay, N. and S. Linn, Fuzzy Inductive Reasoning, Expectation Formation and the Behavior of Security Prices, Journal of Economic Dynamics and Control, 25, 2001, Simple and sophisticated strategies and the efficiency of double auctions Gode, D. and S. Sunder, Allocative Efficiency of Markets with Zero- Intelligence Traders: Market as a Partial Substitute for Individual Rationality, Journal of Political Economy 101, 1993, Rust, J., J. Miller and R. Palmer, Characterizing effective trading strategies: Insights from a computerized double auction tournament, Journal of Economic Dynamics and Control 18, 1994,

4 6. Artificially intelligent traders in double auctions Gode, D. and S. Sunder, Human and Artificially Intelligent Traders in Computer Double Auctions, in: Carley, K. and M. Prietula (eds.),,,computational Organization Theory, Hillsdale, Andreoni, J. and John H. Miller, Auctions with Artificial Adaptive Agents, Games and Economic Behavior 10, 1995, Dawid, H., On the Convergence of Genetic Learning in a Double Auction Market, Journal of Economic Dynamics and Control 23, 1999, Collective activities and the emergence of cooperation Haberman, B. and T. Hogg, The Behavior of Computational Ecologies, in Huberman, B. (ed.), The Ecology of Computation, Amsterdam, 1988, Glance and B. Huberman, The Outbreak of Cooperation Journal of Mathematical Sociology, 17, 1993, Huberman, B. and N. Glance, The Dynamics of Collective Action, Computational Economics, 8, 1995, Distributed exchange and the distribution of wealth: sociological and economic approaches Angle, J., The Surplus Theory of Social Stratification and the Size Distribution of Personal Wealth, Social Forces 65, 1986, Angle, J., Deriving the Size Distribution of Personal Wealth from The Rich Get Richer, the Poor Get Poorer Journal of Mathematical Sociology 18, 1993, Silver, J., E. Slud and K. Takamoto, Statistical Equilibrium Wealth Distributions in an Exchange Economy with Stochastic Preferences, Journal of Economic Theory 106, 2002, Heterogeneity of income and wealth: neoclassical approaches Castaneda, A., J. Daz-Gimnez, and J. Ros-Rull, Accounting for the U.S. Earnings and Wealth Inequality, Journal of Political Economy, 111, Krusell, P. and A. Smith, Income and Wealth Heterogeneity in the Macroeconomy, Journal of Political Economy, 106,

5 10. Explaining the upper tail of the distribution of wealth: Are they rich by chance? Levy, M. and H. Levy, Investment Talent and the Pareto Wealth Distribution: Theoretical and Experimental Analysis, Review of Economics and Statistics 85, 2003, Levy, M., Are rich people smarter?, Journal of Economic Theory, 110, 2003,