Agent Based Models in Economics and Finance (VWLfeABM-02a) (030166)- Dozent/in
- Prof. Dr. Thomas Lux
- Angaben
- Vorlesung, 2 SWS, benoteter Schein, ECTS-Studium, ECTS-Credits: 6
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Di 16:15 - 17:45, WSP1 - R.506
vom 14.4.2024 bis zum 14.7.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 17.7.2024, 10:00 - 12:00 Uhr, Raum CAP2 - Hörsaal A
- Voraussetzungen / Organisatorisches
- Module Code: VWLfeABM-02a
Module Number: 3050701
Exam Number: 3050710
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2022: written exam
Further information:: Given in OLAT
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
DE: Die angegebenen Prüfungszeiten beinhalten die Ausgabe und das Einsammeln der Prüfungsunterlagen. Die tatsächliche Prüfungszeit beträgt eine Stunde.
ENG: Stated exam periods include distribution and collection of exam materials. Actual test duration is one hour.
- Inhalt
- Please vistit the homepage of our chair for further information and news.
The course will provide a rigorous, but accessible and self-contained introduction to recent stochastic models of interacting autonomous agents with a particular emphasis on financial applications and their empirical motivation. While many traditional classroom models use a representative agent approach in order to derive choice-theoretic micro-foundations for the market behaviour of firms or households, an increasing number of recent contributions in economics and finance have tried to overcome the limitation of the representative agent approach. In these models, markets are distributed dynamical systems, whose macroscopic properties are derived from their microscopic structure in a non-trivial way. The analytical apparatus that has been developed to derive macroscopic approximations for mean values and higher moments of the aggregate dynamics of distributed systems of agents will be sketched, and we will illustrate how simple ABMs can be rigorously estimated on the base of such analytical solutions. The lecture concludes with an introduction into methods from artificial intelligence and machine learning that have been used to model the active adaptation of economic agents to changing environments.
1. Social Interactions and Opinion Formation of Agents
1.1. Interaction and Emergence of Macroscopic Order: An Example of Involuntary Racial Segregation
1.2. Strategic Choice and Historical Path Dependence
1.3 Discrete Choice with Social Interaction
2. Stochastic Models of Interacting Agents: Structure and Quantitative Modeling Concepts
2.1. The Master Equation Formalism: Stationary Solutions and Transient Behavior
2.2. Dynamics of Means and Higher Moments
2.3. Heterogeneous Beliefs and Asset Price Dynamics
2.4. Artificial Markets with Herding and Strategy Choice
2.5. Estimation of Agent-Based Models
3. Agents with Artificial Intelligence
3.1. Genetic Algorithms: Principles and Economic Applications
3.2. Genetic Algorithms as Explanations of Human Behavior
- Empfohlene Literatur
- Nice introductory examples can be found in:
- Schelling, T., Micromotives and Macrobehavior, New York, 2006
- Arthur, B., Competing Technologies, Increasing Returns and Lock-in by Historical Events, Economic Journal, 99, 106-131, 1989
Excellent introductions to stochastic modeling principles for systems of interacting agents and more interesting applications can be found in:
- Weidlich, W. and G. Haag, Concepts and Models of a Quantitative Sociology: The Dynamics of Interacting Populations, Springer: Berlin 1983
- Weidlich, W. , Sociodynamics: A Systematic Approach to Mathematical Modelling in the Social Sciences. Amsterdam , Harwood Academic, 2000.
- Aoki, M., Modeling Aggregate Behavior and Fluctuations in Economics: Stochastic Views of Interacting Agents. Cambridge: University Press 2002
- Aoki, M. and H. Yoshikawa, Reconstructing Macroeconomics: A Perspective from Statistical Physics and Combinatorial Stochastic Processes. Cambridge University Press, 2007.
Part 2 of the lecture draws on material from the following papers:
- Lux, T., Rational Forecasts or Social Opinion Dynamics: Identification of Interaction Effects in a Business Climate Index, in: Journal of Economic Behavior and Organization 72, 2009, 638 655
- Lux, T. , Stochastic Behavioral Asset Pricing Models and the Stylized Facts, chapter 3 in T. Hens and K. Schenk-Hoppé, eds., Handbook of Financial Markets: Dynamics and Evolution. Amsterdam, 2009, 161 215 (North-Holland)
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
- Zugeordnete Lehrveranstaltungen
- UE: Exercise: Agent Based Models in Economics and Finance
-
Dozent/in: Prof. Dr. Thomas Lux
Exercise: Agent Based Models in Economics and Finance- Verantwortliche/Verantwortlicher
- Prof. Dr. Thomas Lux
- Angaben
- Übung, 1 SWS
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
- Voraussetzungen / Organisatorisches
- Please vistit the homepage of our chair and OLAT for further information and news.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
- Zugeordnet zu: Agent Based Models in Economics and Finance (VWLfeABM-02a) (030166)
Kurse
| | 030023 | | jede 2. Woche Do (außer Do 6.6.2024) | 10:15 - 11:45 | WSP1 - R.506 | | Kurs Die Veranstaltung findet alle zwei Wochen statt.
, erwartete Teilnehmer: 20
|
| | Sven Bauermeister |
International Financial Markets (VWLfeIFM-02a) (030024)- Dozent/in
- Prof. Dr. Thomas Lux
- Angaben
- Vorlesung mit Übung, 2 SWS, benoteter Schein, ECTS-Studium
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Di 8:00 - 10:00, WSP3 - Seminarraum 9 (40)
vom 14.4.2024 bis zum 14.7.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 16.7.2024, 14:00 - 16:00 Uhr, Raum CAP2 - Hörsaal C
Bemerkung zu Zeit und Ort: Die Vorlesung International Financial Markets startet in der ersten Woche.
- Voraussetzungen / Organisatorisches
- Module Code: VWLfeIFM-02a
Module Number: 3050101
Exam Number: 41310
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2022: Written exam
Further information:: Given in OLAT
Please vistit the homepage of our chair for further information and news.
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
DE: Die angegebenen Prüfungszeiten beinhalten die Ausgabe und das Einsammeln der Prüfungsunterlagen. Die tatsächliche Prüfungszeit beträgt eine Stunde.
ENG: Stated exam periods include distribution and collection of exam materials. Actual test duration is one hour.
- Inhalt
- The lecture covers modern theories that view foreign exchange markets and exchange rate determination from a finance perspective. Relevant topics include the importance of investors expectations and speculative behavior in the foreign exchange market and its explanatory power for the observation of excessive volatility of foreign exchange rates compared to macroeconomic fundamentals. We also discuss the effects of political interventions to curb speculative activity and the determinants of major historical currency crises.
1. Trading Volume and Organization of International Financial Markets
2. Foreign Exchange Markets and Macroeconomic Theory
2.1 The Lack of Explanatory Power of Traditional Macroeconomic Models of the Exchange Rate
2.2. Speculative Efficiency of the Foreign Exchange Market?
3. Speculation, Excess Volatility and Stabilization of the Exchange Rate
3.1. Rational Speculative Bubbles in Foreign Exchange Markets
3.2. "Peso-Problems" and Noise Traders
3.3. Interaction of Chartists and Fundamentalists
3.4. The Tobin Tax and other Regulatory Interventions
4. Exchange Rate Target Zones and "Dirty Floating"
4.1. Endogeneous Stabilization through Target Zones
4.2. The Credibility of Target Zones
5. Exchange Rate Crisis and Speculative Attacks
5.1. The Collaps of Unsustainable Fixed Exchange Rates
5.2. Crisis and Multiple Equilibria
5.3. The Crisis in South-East Asia and "Third Generation" Models of Exchange Rate Crisis
5.4. Contagion Effects and the Role of the IMF
6. The Great Financial Crisis of 2008-
- Empfohlene Literatur
- Cuthbertson, K.: "Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange". 2nd ed., Chichester 2004.
- Hallwood, C./ McDonald, R.: "International Money and Finance", 3rd. ed. Oxford 2000.
- Gärtner, M.: "Macroeconomics under Flexible Exchange Rates", New York 1993, (German version: Gärtner, M. (2004), Makroökonomik flexibler und fester Wechselkurse, 3., vollständig Tberarbeitete und erweiterte Auflage, Berlin [u.a.].)
- Nelson, M.: "International Macroeconomics and Finance: Theory and Econometric Methods", Blackwell Publishers, 2001.
- Gandolfo, G.: "International Finance and Open-Economy Macroeconomics", 2nd ed., Springer, Berlin 2016.
- Copeland, L., Exchange Rates and International Finance. 6th ed., London, 2014.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 40
- Zugeordnete Lehrveranstaltungen
- UE: Tutorial on "International Financial Markets"
-
Dozent/in: Prof. Dr. Thomas Lux
Monetary Economics (VWL-MaAm-MoEc) (030106)- Dozent/in
- Prof. Dr. Thomas Lux
- Angaben
- Vorlesung mit Übung, 2 SWS, benoteter Schein, ECTS-Studium, ECTS-Credits: 5
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Mi 8:00 - 10:00, WSP1 - R.505
vom 14.4.2024 bis zum 14.7.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 18.7.2024, 12:00 - 14:00 Uhr, Raum CAP2 - Hörsaal A
- Voraussetzungen / Organisatorisches
- Module Code: VWL-MaAm-MoEc
Module Number: 330900
Exam Number: 330910
Section in the curriculum of Bachelor Volkswirtschaftslehre (FPO 2021): Wahlpflichtbereich Volkswirtschaftslehre - Makroökonomik und Arbeitsmärkte (MaAm)
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2022: Written exam in presence
Further Information: Siehe OLAT
Please vistit the homepage of our chair for further information and news.
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program. If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible then. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
Der angegebene Klausurzeitraum beinhaltet die Ausgabe und das Einsammeln der Prüfungsunterlagen. Die tatsächliche Prüfungszeit beträgt eine Stunde.
Stated periods of time for exams include administering and collecting your exam documents. Actual duration of test will be an hour.
- Inhalt
- This module builds upon the knowledge that students have acquired in Macroeconomics. It introduces students to the theoretical background and the practice of monetary policy in modern economies. It starts with an introduction to the role of money in the economy, moving on to theories of money supply and demand as well as the various channels of the monetary transmission mechanism. The remainder of the module discusses the relationship between monetary policy strategies and their implementations, the policy instruments of central banks and the track record of monetary policy in the major currency areas. We also discuss the unconventional‟ monetary policy as a reaction to the financial crisis of the years 2007/08 as well as current issues in the conduct of monetary policy within the European Monetary Union.
Schedule
1. Introduction: Emergence and Measurement of "Money"
2. Money Demand
3. Money Supply: Constrained or Endogenous?
4. The Policy Instruments of Central Banks
5. Strategies of Monetary Policy and their Development over Time
6. The Problem of Credibility of Central Banks
7. Current Issues of Monetary Policy
- Empfohlene Literatur
- Handa, J., Monetary Economics, 2nd. ed. New York 2009
- Lewis, M. and P. Mizen, Monetary Economics, Oxford 2009
- Walsh, C., Monetary Theory and Policy, 3rd ed. Cambridge 2010
- Bofinger, P., Monetary Policy: Goals, Institutions, Strategies and Instruments. Oxford 2001
- Illing, G., Theorie der Geldpolitik Eine spieltheoretische Einführung. Berlin 1997.
- Zugeordnete Lehrveranstaltungen
- UE: Übung zu Monetary Economics
-
Dozent/in: Prof. Dr. Thomas Lux
Research Seminar in Financial Economics (030155)- Dozent/in
- Prof. Dr. Thomas Lux
- Angaben
- Vorlesung, 1 SWS, ECTS-Studium, ECTS-Credits: 6
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch, Termine nach Vereinbarung
Zeit und Ort: 16:00 - 18:00, Online-Veranstaltung
Bemerkung zu Zeit und Ort: The appointments will be announced. This seminar is for the chair and PhD candidates.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 15
Seminar in Financial Economics (VWLfeFiEcSem-02a) (030191)- Dozent/in
- Prof. Dr. Thomas Lux
- Angaben
- Seminar, 2 SWS, benoteter Schein, ECTS-Studium
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Mo 8:00 - 12:00, WSP1 - R.506
Bemerkung zu Zeit und Ort: Die Termine des Seminars werden bei der Vorbesprechung mit den Studenten abgestimmt.
- Voraussetzungen / Organisatorisches
- Module Code: VWLfeFiEcSem-02a
Module Number: 3059101
Exam Number: 41340
Exam type according to FPO: Seminar contribution (Seminarbeitrag)
Specific exam type in summer term 2024:
The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).
The registration for seminars of the Institute of Economics takes place in the previous semester via the Olat course "Seminar Registration MA-VWL" . Before the start of the seminar you either take part in the Seminar Preparation Course (4 hours, offered by the ZBW) or in the Module "Research and Scientific Writing" (VWLswScWr-02a). This prepares you for scientific work in economics and is therefore a prerequisite for a successful participation in the seminar.
The seminar will cover a range of topics in behavioral finance, experimental finance, and agent-based models of speculative dynamics. The seminar will run as a 4-6 (half) day co
urse during the summer term 2020.
- Inhalt
- Applying analytical concepts and competencies from the respective lecture to current problems.
- Ability of presenting a complex scientific analysis and argument in concise form.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
Tutorial on "International Financial Markets" (Infm)- Verantwortliche/Verantwortlicher
- Prof. Dr. Thomas Lux
- Angaben
- Übung, 1 SWS
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
- Voraussetzungen / Organisatorisches
- Please vistit the homepage of our chair an OLAT for further information and news.
Die Veranstaltung findet im 14-tägigen Rhythmus statt.
The excercise takes place in a two-week interval.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 80
- Zugeordnet zu: International Financial Markets (VWLfeIFM-02a) (030024)
Kurse
| | 030136 | | jede 2. Woche Mo | 14:15 - 15:45 | WSP1 - R.506 | | Kurs vom 29.4.2024 bis zum 19.7.2024, Die Veranstaltung findet alle zwei Wochen statt.
, erwartete Teilnehmer: 20
|
| | Lutz Honvehlmann |
| | 030265 | | jede 2. Woche Mo | 16:15 - 17:45 | WSP1 - R.401 | | Kurs vom 29.4.2024 bis zum 19.7.2024, Die Veranstaltung findet alle zwei Wochen statt.
, erwartete Teilnehmer: 20
|
| | Lutz Honvehlmann |
Übung zu Monetary Economics- Verantwortliche/Verantwortlicher
- Prof. Dr. Thomas Lux
- Angaben
- Übung, 1 SWS
für ERASMUS-/Austauschstudierende geeignet
- Voraussetzungen / Organisatorisches
- Please visit the homepage of our chair and OLAT for further information and news.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
- Zugeordnet zu: Monetary Economics (VWL-MaAm-MoEc) (030106)
Kurse
| | 030113 | | jede 2. Woche Fr | 10:15 - 11:45 | WSP1 - R.401 | | Einzeltermin am 14.6.2024 | 10:00 - 12:00 | WSP1 - R.401 | | Kurs Die Veranstaltung findet alle zwei Wochen statt.
, erwartete Teilnehmer: 20
|
| | Clemens Knoppe |
|
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