Interdisciplinary Research in Economics RTNs: Delegate Forum

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• Interdisciplinary Research in Economics RTNs
  Delegate Forum
• Professor Sheri Markose
• Economics Dept. and Centre for Computational
  Finance and Economic Agents (CCFEA)
• University of Essex

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Growing Interdisciplinarity

• 5 RTNs out of the total of 9 represent explicit
  interdisciplinarity
• I will give brief outline of some of these
• Focus briefly on how interdisciplinarity features
  in the COMISEF project on which I am involved
• Call on participants to elaborate more on
• the growing significance of interdisciplinarity

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ENABLE

• Network for Advancement of Behavioural Economics
  An empirical/experimentally and psychologically
  based understanding of economic behaviour is
  upheld over an axiomatic framework of rationality
  
• Developments here include laboratory based
  experiments neuro-MRI scanning to understand
  decision making recently I heard about trader
  psychometrics on how traders are trained to lock
  in closed skill performance
• (example given is how Jonny Wilkinson succeeds in
  having a very high success rate at drop goals)

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ECGTN INTACCT

• Problems surrounding corporate governance,
  regulatory capture and arbitrage, and policy
  ineffectiveness require what both these RTNs
  claim is needed
• Combining researchers in accounting, finance,
  economics and law with regulators and accounting
  practitioners

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TIES(Integration of Second Generation)

• This RTN on migration and ethnic studies uses an
  interdisciplinary team to map out the process
  of integration in 15 cities in 8 countries.

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COMISEF Computational Optimization Methods in
Statistics Econometrics and Finance

• Real world problems do not yield to standard
  optimization methods
• Analytic solutions are not available
• NP-hard Rugged domains Defy Linear or Quadratic
  programming etc
• Computational methods of optimization many a
  traditional economist may consider as being low
  level rational

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Computational Methods

• Heuristic, adaptive, evolutionary, trial and
  error Genetic Algorithms, Neural Networks,
  Simulated Annealing etc
• Reinforcement learning Erev-Roth made famous in
  how to learn to play complex games using low
  rationality method
• Multi-agent modelling Agent Based Computational
  Economics (ACE)

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Non-Standard Problems

• Multiple Optima Rugged Domain

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AGENT BASED COMPUTATIONAL ECONOMICS (ACE) A
NEW,EXCITING SUB-FIELD OF ECONOMICS

• THIS IS BASED ON THE NEW AGE WORLD OF ARTIFICIAL
  ENVIRONMENTS WITHIN COMPUTERS
• ENTIRE SYSTEMS CAN BE RECREATED AND CAN THEN
  DYNAMICALLY EVOLVE AND GROW SOMETIMES CALLED
  ARTIFICIAL LIFE
• THESE ENVIRONMENTS MAY HAVE PURELY ARITIFICIAL
  AGENTS AND/OR CAN HAVE INTERFACES WITH HUMANS
• EXAMPLES OF THIS AT A HIGH LEVEL OF
  SOPHISTICATION ARE COMPUTER GAMES
• E-bay and use of BOTs in Search Engines for
  lowest price
• THIS NEW TECHNOLOGY IS INCREASINGLY BEING ADOPTED
  FOR ECONOMIC MODELLING, MARKET AND POLICY DESIGN

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Application of ACE
I.Markets As Complex Adaptive Systems
(CAS) Absence of Command and Control vs. Self
Organization ?Dynamics from large Numbers of
interacting agents ?ExamplesInnovationCities
and transport Social and Economic Networks,Stock
market phenomena
IIMarket Design Examples Trading Platform, Cap
and Trade Systems Pollution Markets Congestion
Markets Computational Testbedding and wind tunnel
tests Combine with human experiments Experiments
in real time
III.Policy Design Avoids Lucas Critique of
Econometric models Check out unintended
consequences of bad policy design Experiments In
real time
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Financial agents and ContagionAgent Based Model
for COMISEF
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Multi- Agent Model of UK CHAPS Interbank
structure

• Heterogeneous banks in terms of their size of
  payments and market share
• -impact of participation structure on
  risks.

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Demonstration of UK Interbank Payments System
Simulator Liquidity CrunchThe latest
version of IPSS with endogenous liquidity
determination in the case of Opening Liquidity
can be downloaded from the following
link http//privatewww.essex.ac.uk/aalent/IPSS
/IPSS_2_11.exe