Research Seminars

Challenges for the Analysis of Macroeconomic Panel Data

Speaker(s): 
Jörg Breitung (U Bonn)
Date: 
Wednesday, June 5, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Do Dark Pools Harm Price Discovery?

Speaker(s): 
Haoxiang Zhu (MIT)
Date: 
Monday, June 3, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Change point detection: models and approaches

Speaker(s): 
Lajos Horvath
Date: 
Wednesday, May 29, 2013 - 2:00pm
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Random Matrix Theory with Applications in High Dimensional Statistics and Finance

Speaker(s): 
Nestor Parolya (EUV Frankfurt Oder)
Date: 
Monday, May 27, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Probabilistic models for interacting agents facing binary decisions

Speaker(s): 
Marco Tolotti (Università Ca' Foscari Venezia)
Date: 
Thursday, May 23, 2013 - 5:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041 im Erdgeschoß

In this talk I present a class of stochastic models useful to represent the dynamics of a system of many interacting agents facing binary decisions. At each time, agents update their choice in order to maximize their payoff, depending on their action, on the state of the system and on a random noise. In particular, I put attention on two different mechanisms for the updating: a “sequential updating” scheme and a “parallel updating” one. The former is more similar in spirit to classical statistical-mechanics, whereas the latter mimics a non-cooperative game played by the agents.

The Joint Dynamics of Labor Income, Stock Prices, and House Prices and the Implications for Household Decisions

Speaker(s): 
Holger Kraft (Goethe Universität Frankfurt am Main)
Date: 
Thursday, May 23, 2013 - 4:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041 im Erdgeschoß

We show that in the 1953-2010 U.S. data stock prices, house prices, and labor income have time-varying expected growth rates. These drift rates are correlated with shocks to stock prices, house prices, and income so that these quantities tend to move together in the longer run in spite of low contemporaneous correlations. Incorporating these long-run relations into a life-cycle household optimization problem affects the optimal consumption, housing, and investment decisions.

Some results on frequentist analysis of Bayesian posterior distributions

Speaker(s): 
Ismael Castillo (U Pierre et Marie Curie, Paris)
Date: 
Wednesday, May 22, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

On the construction and use of factor copula models

Speaker(s): 
Matthias Scherer (TU München)
Date: 
Wednesday, May 15, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Limit theorems and statistical inference in Markov models

Speaker(s): 
Alexey Kulik (Institute of Mathematics, Ukrainian Academy of Sciences, Kiev)
Date: 
Wednesday, May 8, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

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