Monte Carlo methods in finance | Computational economics
Agent-based computational economics (ACE) is the area of computational economics that studies economic processes, including whole economies, as dynamic systems of interacting agents. As such, it falls in the paradigm of complex adaptive systems. In corresponding agent-based models, the "agents" are "computational objects modeled as interacting according to rules" over space and time, not real people. The rules are formulated to model behavior and social interactions based on incentives and information. Such rules could also be the result of optimization, realized through use of AI methods (such as Q-learning and other reinforcement learning techniques). The theoretical assumption of mathematical optimization by agents in equilibrium is replaced by the less restrictive postulate of agents with bounded rationality adapting to market forces. ACE models apply numerical methods of analysis to computer-based simulations of complex dynamic problems for which more conventional methods, such as theorem formulation, may not find ready use. Starting from initial conditions specified by the modeler, the computational economy evolves over time as its constituent agents repeatedly interact with each other, including learning from interactions. In these respects, ACE has been characterized as a bottom-up culture-dish approach to the study of economic systems. ACE has a similarity to, and overlap with, game theory as an agent-based method for modeling social interactions. But practitioners have also noted differences from standard methods, for example in ACE events modeled being driven solely by initial conditions, whether or not equilibria exist or are computationally tractable, and in the modeling facilitation of agent autonomy and learning. The method has benefited from continuing improvements in modeling techniques of computer science and increased computer capabilities. The ultimate scientific objective of the method is to "test theoretical findings against real-world data in ways that permit empirically supported theories to cumulate over time, with each researcher’s work building appropriately on the work that has gone before." The subject has been applied to research areas like asset pricing, competition and collaboration, transaction costs, market structure and industrial organization and dynamics, welfare economics, and mechanism design, information and uncertainty, macroeconomics, and Marxist economics. (Wikipedia).
Lecture 9. Agent based modeling.
Data Science for Business. Lecture 9 slides: https://drive.google.com/file/d/1sw7OjZlAw61SC_cL7Tx9O2ct4kXlQcYn/view?usp=sharing
From playlist Data Science for Business, 2022
Learning model-based planning from scratch
https://arxiv.org/abs/1707.06170 Abstract: Conventional wisdom holds that model-based planning is a powerful approach to sequential decision-making. It is often very challenging in practice, however, because while a model can be used to evaluate a plan, it does not prescribe how to constr
From playlist Reinforcement Learning
Valeria Simoncini: Computational methods for large-scale matrix equations and application to PDEs
Linear matrix equations such as the Lyapunov and Sylvester equations and their generalizations have classically played an important role in the analysis of dynamical systems, in control theory and in eigenvalue computation. More recently, matrix equations have emerged as a natural linear a
From playlist Numerical Analysis and Scientific Computing
What is the Monte Carlo method? | Monte Carlo Simulation in Finance | Pricing Options
In today's video we learn all about the Monte Carlo Method in Finance. These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter h
From playlist Exotic Options & Structured Products
AI for Engineers: Building an AI System
Artificial intelligence (AI) is a simulation of intelligent human behavior. It is designed to perceive its environment, make decisions, and take action. Get an overview of AI for engineers, and discover the ways in which artificial intelligence fits into an engineering workflow. You’ll lea
From playlist 深度学习(Deep Learning)
Causal Behavioral Modeling Framework - Discrete Choice Modeling of Consumer Demand
There are increasing demands for "causal ML models" of the agent behaviors, which enable us to unbox the complex black-box models and make inferences or do proper counterfactual simulations. Many applications (especially in Marketing) intrinsically call for measurement of the causal impact
From playlist Fundamentals of Machine Learning
Nikos Paragios - Data Mining Though Higher Order Probabilistic Graphical Models
In this talk we present a generic higher order graph-based computational model for automatically inferring and learning data interpretations in divers settings. In particular we discuss the interest and theoretical strengths of such representations, propose efficient i
From playlist 3rd Huawei-IHES Workshop on Mathematical Theories for Information and Communication Technologies
Session 6, Public Policy Stage - The role of computational social science in policymaking
In this session the Public Policy programme at the Alan Turing Institute is launching the Modelling for Policy Theme followed by a panel on the role of computational social science (CSS) for policy-making. The expert panelists are world-leading academics who have made seminal contributions
From playlist AI UK 2022 - PUBLIC POLICY STAGE
Simulation: The Challenge for Data Science
While machine learning has recently had dramatic successes, there is a large class of problems that it will never be able to address on its own. To test a policy proposal, for example, often requires understanding a counterfactual scenario that has never existed in the past, and that may
From playlist Turing Seminars
Advanced Agent Based Model by Bill Rand
Program Summer Research Program on Dynamics of Complex Systems ORGANIZERS: Amit Apte, Soumitro Banerjee, Pranay Goel, Partha Guha, Neelima Gupte, Govindan Rangarajan and Somdatta Sinha DATE : 15 May 2019 to 12 July 2019 VENUE : Madhava hall for Summer School & Ramanujan hall f
From playlist Summer Research Program On Dynamics Of Complex Systems 2019
Fifteenth SIAM Activity Group on FME Virtual Talk
Date: Thursday, December 10, 1PM-2PM Early Career Talks Speaker 1: Dena Firoozi, HEC Montréal - University of Montreal Title: Belief Estimation by Agents in Major-Minor LQG Mean Field Games Speaker 2: Sveinn Olafsson, Columbia University Title: Personalized Robo-Advising: Enhancing Inves
From playlist SIAM Activity Group on FME Virtual Talk Series
History of MAS research in UK - Michael Wooldridge, University of Oxford
The AI Programme at the Turing will host an interactive UK Symposium on Multi-Agent Systems (UK-MAS). The goal of the symposium is to bring together UK-based research labs at universities and industry who have a significant focus on MAS research, to explore the MAS research landscape in th
From playlist UK multi-agent systems symposium
Session 2, Public Policy Stage - AI for economic policymaking experiences, challenges, opportunities
Explore AI for economic policy-making: looking at the experiences, challenges and opportunities in the UK. Listen to a short presentation on the labour-flow-networks project with BEIS, followed by a panel discussion on broader applications of AI for economic policy-making in the UK governm
From playlist AI UK 2022 - PUBLIC POLICY STAGE
A conversation between Fred Meinberg and Stephen Wolfram at the Wolfram Summer School 2021
Stephen Wolfram plays the role of Salonnière in this new, on-going series of intellectual explorations with special guests. Watch all of the conversations here: https://wolfr.am/youtube-sw-conversations Follow us on our official social media channels. Twitter: https://twitter.com/Wolfram
From playlist Conversations with Special Guests
Pierre Degond: On the interplay between kinetic theory and game theory
Abstract: We propose a mean field kinetic model for systems of rational agents interacting in a game theoretical framework. This model is inspired from non-cooperative anonymous games with a continuum of players and Mean-Field Games. The large time behavior of the system is given by a macr
From playlist Mathematics in Science & Technology
Policy Priority Inference: Simulations for Government Strategy | AISC
For slides and more information on the paper, visit https://ai.science/e/synthetic-data-policy-priority-inference-simulations-for-government-strategy--9wTcGo34oeeckPY6ncLz Speaker: Omar Guerrero, PhD ; Host: Chenda Bunkasem Motivation: This research shows how synthetic data can be used
From playlist Synthetic Data
Reactive Systems use a high-performance software architecture. They are resilient under stress, and their reactive design allows them to scale elastically to meet demand. The reactive design approach allows the creation of more complex, more flexible systems and forms the basis for some of
From playlist Software Engineering
Program Summer Research Program on Dynamics of Complex Systems ORGANIZERS: Amit Apte, Soumitro Banerjee, Pranay Goel, Partha Guha, Neelima Gupte, Govindan Rangarajan and Somdatta Sinha DATE : 15 May 2019 to 12 July 2019 VENUE : Madhava hall for Summer School & Ramanujan hall f
From playlist Summer Research Program On Dynamics Of Complex Systems 2019