January 24, 2017

2:30 p.m.

Quantum Nano Centre,  Room 1501

 

 

Blake LeBaron

Blake LeBaron

Analysis of complex systems force us into a deeper understanding of heterogeneity. In economics and finance this heterogeneity often appears in the form of individual forecasts. This talk will demonstrate how a simulated agent-based financial market generates, at at times magnifies, the dispersion in individual forecasts. The results are compared with data from several individual survey forecasts along with information on trading volume. Since agent-based models’ key feature is their ability to generate heterogeneity, then testing them against individual forecasting data is crucial. Finally, the connection of heterogeneity to overall price dynamics and system stability (bubbles and crashes) will be discussed both for financial markets, and other aspects of the macro economy.

 

 

Blake LeBaron has a Ph.D. in Economics from the University of Chicago. He is the Abram L. and Thelma Sachar Chair of International Economics at the International Business School, Brandeis University. LeBaron was at the University of Wisconsin from 1988-1998, and also served as director of the Economics Program at The Santa Fe Institute in 1993. He was a Sloan Fellow, and is a recent recipient of the Market Technician’s Association Mike Epstein award. He currently directs the Economics Ph.D. program at Brandeis, and is part of a Brandeis interdisciplinary research and teaching group interested in modeling dynamics in a wide range of fields.

LeBaron’s research has concentrated on the issue of nonlinear behavior of financial and macroeconomic time series. He has been influential both in the statistical detection of nonlinearities and in describing their qualitative behavior in many series. LeBaron’s current interests are in understanding the quantitative dynamics of interacting systems of adaptive agents and how these systems replicate observed real world phenomenon. Also, LeBaron is interested in understanding some of the observed behavioral characteristics of traders in financial markets. This behavior includes strategies such as technical analysis and portfolio optimization, along with policy questions such as foreign exchange intervention. In general, he seeks to find out the empirical implications of learning and adaptation as applied to finance and macroeconomics.

 

Please watch Dr. LeBaron’s WICI Talk here: 

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Blake LeBaron's WICI Talk. Jan. 24, 2017

WICI Occasional Paper

Exergonic Innovations: The History of Britain’s Coal Exploitation
By Clayton J. M. Dasilva

This essay investigates the technological relationship between humanity and its environment, using the Industrial Revolution in Britain as a case study of exergonic innovation, where the invention of the Newcomen steam engine transformed Britain’s conception of coal and its potential, as well as that of British society.

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