Mathematics
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This is the home page of the course "Market Engineering", for the 2nd year PhD students.
Schedule
- First 4 weeks (LiCalzi): market design.
- November 3rd: LeBaron, chapter 24 of the "Handbook of Computational Economics" and Day and Huang (1990) model.
Reading suggestions
(for your culture or for the final presentation/survey). You can download the papers (from JStor.org or Sciencedirect.com) using any PC in the unive network.
- Kirman, A. P. (1992), Whom or what does the representative individual
represent?, Journal of Economic Perspectives 6, 117-136. Sorry, I remembered 1993!
- Iori, G. (2002), A microsimulation of traders activities in the stock market: The role of heterogeneity, agents' interactions and trade frictions, Journal of Economic Behavior and Organization 49, 269-285.
- Figlewski, S. (1978), Market "efficiency" in a market with heterogeneous information, Journal of Political Economy 86(4), 581-597.
- Farmer, J. D., Joshi, S. (2002), The price dynamics of common trading strategies, Journal of Economic Behavior and Organization 49, 149-171.
- Farmer, J. D., Patelli, P., Zovko, I. (2005), The predictive power of zero intelligence models in financial markets, Proceedings of the National Academy of Sciences of the United States of America 102, 2254-2259.
- Lettau, M. (1997), Explaining the facts with adaptive agents: The case of mutual fund flows, Journal of Economic Dynamics and Control 21, 1117-1148. Very good paper!!!
- Chakrabarti, R., Roll, R. (1999), Learning from others, reacting and market quality, Journal of Financial Markets 2, 153-178.
- Gu, M. (1995), Market mediating behavior: An economic analysis of the security exchange specialists, Journal of Economic Behavior and Organization 27, 237-256.
- Marey, P. S. (2004), Exchange rate expectations: controlled experiments with artificial traders', Journal of International Money and Finance 23, 283-304.
Ask for advice withour hesitation!!!
- November 10th: Duffy, chapter 19 of the "Handbook of Computational Economics", sections 1 and 2. Gode and Sunder (1993) paper.
Reading suggestions
- November 16th: Hommes, chapter 23 of the "handbook of Computational Economics". Arthur et al (1996) paper: Santa Fe Artificial Stock Market.
- November 23rd: econophysics and stylized facts.
- November 30th: presentations (exam).
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