March 20, 2017

Agent-Based Financial Economics Course

I got the opportunity to teach a course in agent-based financial economics and this blog post serves as a preliminary landing page for interested students. If you want to be kept up to date, please provide your e-mail here.

Course description: This is a master level course for students in economics, banking & finance, and computer science. Agent-based financial economics is a controversial but also promising modeling methodology that thrives best when combining economics knowledge with sound software engineering. The course starts with an introduction to the principles of agent-based modeling, including its strength and weaknesses. Then, step by step, we create a large-scale economic simulation by introducing new and increasingly sophisticated agents (households, firms, funds, etc.), comparing the simulated outcomes with the equilibria known from classic economic theory. These agents are implemented by interdisciplinary teams of two students each, one from economics or finance and one from computer science. The fitness of these economic agents is tested in a competitive setting. Due to the complexity of the simulation, agents will likely have to resort to behavioral heuristics. The interesting question is: will the invisible hand succeed in guiding them towards the efficient outcome anyway?

“In using systems of adaptive agents to create a ’guess’, we are counting on the tendencies of these systems of adaptive agents, as plodding as they are, eventually to find their ways to equilibria that we economists (who, after all, made up the model!) have difficulty finding.”
Thomas Sargent in 'Bounded Rationality in Macroeconomics'