Computational tools
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This is the home page of the course "Computational tools for Economics and Management" of the degree in "Economics and management". Here you'll find information, links, schedule changes and so on.
Scroll down for exam's results!
Lectures
- Wednesday, 10.30-12.00, S. Giobbe 3A;
- Thursday, 10.30-12.00, S. Giobbe 3A;
- Friday, 10.30-12.00, S. Giobbe 3A.
Textbook and outline of the course
The textbook is
| Kendrick D., Mercado, R., Amman H.,
"Computational Economics", Princeton University Press, 2006.
|
Download a few chapters, including the first two that are covered during the course. The authors have set up a textbook home page with useful material, files and info.
Tentatively, we will study
- Ramsey model (Excel), chapter 1.
- Neural networks (Excel), chapter 2.
- Financial planning (GAMS), chapter 6.
- Portfolio model (R), chapter 7.
We then move to chapter 15 (Agent-based models or global warming).
First week, April 21-23
Slides of the first lecture. Chapter 1 of the textbook: Ramsey growth model. Download the file growth.xls on the authors' website.
This is the final spreadsheet we have built together in class.
Some of you asked weather OpenOffice can solve this kind of problems. The answer is positive (thank you, I have just learned a new thing, I owe two students a coffee!). Even if the standard Solver of OpenOffice 3.2 downloadable here can only solve linear problems, you can very easily install an extension that can deal with our nonlinear problem. As an aside, the extension employs nontrivial evolutionary methods to find a solution...
Second week, April 28-30
Different versions of the Ramsey model: fish and mine management. Download the slides and the spreadsheet used in class. Introduction to neural networks, see Chapter 2 of the textbook.
Some of you made me discover (thanks!) that the "DEPS Evolutionary algorithm" is much better than the "SCO Evolutionary algorithm" in the NLSolver of OpenOffice. So, pick DEPS in the options instead of SCO (and assume as usual non-negativity if appropriate).
[Revised on May 3rd] Exercise yourself using this "potato" quiz on the topics covered in the first two weeks.
Neural networks, chapter 2. Download the spreadsheet here.
Third week, May 5-7
GAMS and the thrift model, chapter 6. Visit the textbook site to get info about GAMS and download input files.
Fourth week, May 12-14
Practice session: we wrote a version of the Ramsey model using GAMS. Download the files used in class, basic program ramsey.gms, full-fledged version ramsey2.gms.
Introduction to R, http://cran.r-project.org/. Download an introduction to R.
Practice with a "potato" on GAMS and R.
Fifth week, May 19-21
R and portfolio model, Chapter 7. Download the R file for the Markowitz portfolio model.
Sixth week, May 26-28
R and portfolio model. Application to European Stock indexes. Download the R file that makes use of the quadratic routine contained in the library quadprog. Download the R session of May 27th (use of solve.QP, portfolio of minimal variance, additional constraints like weights < = 0.45).
Download the session of May 28th on the use of the data EuStockMarkets availabble in R. The code chapter7_mc_EuStock.R contains the vectors mu and matrices sigma for the examples with three and four stocks. Remember that you must source chapter7_mc_EuStock.R to repeat the session done on May 28th.
Real data can be downloaded on Yahoo Finance. Then, click on an index and on "Historicla Prices" on the left column. Scroll down to save a file with data that can be imported as done on May 28th. Remember to reverse the data using rev as Yahoo is listing the rices from the most recent to the oldest one.
Practice with a "potato" on portfolio optimization.
Seventh week, June 3-4
Introduction to agent-base models: Schelling segregation model and Sugarscape, chapter 14 (only the first part, no need to study the code or run simulations).
Download an example of written test (with correct GAMS output).
Exam
Written test (close book) with 10 multiple choices, 2 open questions on models and 2 computer outputs/results to comment, describe or solve.
An oral exam is be required to get 25 or more.
First exam session (June 21st 2010): results and calendar. The oral session will begin on Monday June 28th at 15.00, please read the details.
Second exam session (July 5th 2010): results and calendar. The oral session will begin on Thursday July 8th at 15.00.
Download the exam (with solutions).
Third exam session (September 9th 2010): results and calendar. The oral session will begin on Friday September 17th at 15.00.
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