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BEGIN:VEVENT
DTSTAMP:20260624T115923Z
DTSTART;VALUE=DATE-TIME:20140116T143000
DTEND;VALUE=DATE-TIME:20140116T154500
SUMMARY:DR@W Forum: Harbir Lamba (Mathematics Department\, George Mason U
 niversity)
TZID:Europe/London
UID:20140116-8a1785d77b065d9b017b5dc5cb4d1f51@warwick.ac.uk
CREATED:20131112T112000Z
DESCRIPTION:Harbir Lamba (Mathematics Department\, George Mason Universit
 y) Behavioural economics\, bounded rationality and disequilibrium in eco
 nomic and financial systems Models that admit only equilibrium solutions
  are prevalent in economics and finance. Such solutions evolve only in r
 esponse to exogenous changes but\, worryingly\, their robustness to chan
 ges in the modeling assumptions and the possibility of non-equilibrium a
 lternatives is rarely considered. A simple agent-based model will be pre
 sented that can be used to introduce various forms of bounded rationalit
 y and the findings of behavioral economics into such equilibrium models.
  The model will be used to demonstrate that the equilibrium solutions of
  asset pricing in financial markets (variants of Brownian motion) break 
 down completely in the presence of even very low levels of herding (eith
 er rational or irrational). The resulting far-from-equilibrium solutions
  are much closer to the observed statistics of financial markets with bu
 bbles and crashes of all sizes arising quite naturally as an emergent ph
 enomenon. At a more abstract level\, the averaging assumptions that are 
 required for equilibrium solutions are being `stress-tested' by embeddin
 g those models within more general agent-based frameworks that are capab
 le of endogenous\, far-from-equilibrium\, dynamics. If time permits I sh
 all discuss how such stability testing can be applied to other equilibri
 um models such as the supply/demand curves of micro-economics and the DS
 GE models of macro-economics. Download Paper
LOCATION:
CATEGORIES:Draw Forum
LAST-MODIFIED:20210819T093725Z
ORGANIZER;CN="":
END:VEVENT
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