Pre-Conference Workshops

For the 2009 Annual Meeting the SCE has decided to run two pre-conference workshops.  These will be open to PhD students and younger researchers.  The workshops are free of charge to those selected, and  lunch and refreshments will be provided.  Register for the workshops on the same form as conference registration.

Monday, 13 July, 2009

Computational Macroeconomics

presented by

Michel Juillard, Banque de France and CEPREMAP

This workshop will show how to investigate computational macroeconomic issues using the Dynare package. Dynare is a public domain toolbox for the simulation and estimation of Dynamic Stochastic General Equilibrium (DSGE) models. Dynare is also able to compute optimal policy in this class of models. It works on top of Matlab or on top of Octave (a public domain matrix computation platform similar to Matlab).

The first part of the workshop (morning) will deal with the basics of Dynare: syntax of the modelling language, approximation algorithms, introduction to Bayesian estimation of DSGE models. In the second part of the workshop (afternoon), we will deal with more advanced techniques: optimal policy, dealing with trends, and using Dynare new macro--language.

Participants are strongly encouraged to come to the workshop with their own laptop and to download the latest version of Dynare, shortly before the workshop.

Dr. Michel Juillard obtained his PhD in 1988 from the University of Geneva, Switzerland. He taught for several years at the University of Paris 8 and currently works as an advisor to the Bank of France. He is also a researcher at CEPREMAP where Dynare was built and is currently maintained. He has been an active member of the Society for Computational Economics for many years and is also co--editor of the Journal Economic Dynamics and Control.

Tuesday, 14 July, 2009

Heterogeneous and Multi-Agent Modelling

presented by

Shu-Heng Chen, National Chengchi University, Taiwan

The workshop will give a general review of the development of models of heterogeneous interacting agents (or agent-based economic models). First, we shall start with the motivation of modeling with heterogeneous agents.  In particular, we give a review of the literature in behavioral economics, experimental economics and neuroeconomics which inspires the modeling of heterogeneous agents in economics.  In this regard, economic models with heterogeneous agents can be considered as a theoretical or computational counterpart of behavioral or experimental studies.  Second, we then proceed to the building and the use of agent-based economic models. With regard to the building part, we differentiate two classes of agent-based models based on the complexity of agents, from simple agents to autonomous agents.  Applications of both classes will be illustrated in both macroeconomics and financial markets. The econometrics of agent-based models has just recently been developed; we shall highlight some promises and challenges on this front.  We then conclude the workshop with some policy applications.

Prof. Dr. Shu-Heng Chen is a Distinguished Professor in the Department of Economics, Dean of the Office of International Cooperation, Director of the AI-ECON Research Center, and the organizer of the Experimental Economics Laboratory at National Chengchi University. He also serves as Vice Chair of the IEEE Computational Finance & Economics Technical Committee, the editor- in-chief of the Journal of New Mathematics and Natural Computation (World Scientific), and the associate editor of the Journal of Economic Behavior and Organization and Journal of Economic Interaction and Coordination. Prof. Chen holds an M.A. Degree in Mathematics and a Ph. D. in Economics from University of California at Los Angeles. He has more than 150 publications in international journals, edited volumes and conference proceedings. He has been invited to give keynote speeches and plenary talks at many international conferences.  The recent ones include AESCS (Tokyo, Japan, 2007), IES (Yokosuka, Japan, 2007), EEA (Boston, USA, 2008), ACE (Trento, Italy, 2008), and Econophysics Colloquium (Kiel, Germany, 2008).  He is also the editor of the volume "Evolutionary Computation in Economics and Finance" (Physica-Verlag, 2002), "Genetic Algorithms and Genetic Programming in Computational Finance" (Kluwer, 2002), and the co-editor of the volume "Computational Intelligence in Economics and Finance”, Vols. 1 and 2 (Springer-Verlag, 2003 & 2007), "Multi-Agent for Mass User Support" (Springer-Verlag, 2004), “Applications of Artificial Intelligence in Finance and Economics” (Elsevier, 2004),  “Computational Economics: A Perspective from Computational Intelligence” (IGI publisher, 2005), “Simulated Evolution and Learning”, Lecture Notes in Computer Science, (LNCS 4247)” (Springer. 2006), and “Computational Intelligence in Economics and Finance”, (Springer, 2007). His research interests extend from the agent-based computational economics and finance to experimental economics and computational social sciences.  Details of Shu-Heng Chen can be found at http://www.aiecon.org/staff/shc/E_Vita.htm.

Dr. Michel Juillard

Prof. Dr. Shu-Heng Chen