Stochastic Agent-Based Models in Economics and Finance

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This set of talks was given on 8 January 2009 as part of the PhD seminar series organised by the School of Economics & Finance of the University of St Andrews. Prof. Thomas Lux speaks on how economic systems can be seen as evolutionary models, where agents interact with each other and a selection process favours the most successful. He introduces underlying dynamical systems as well as the necessary game theoretic concepts.

Video can be downloaded here in WMV format: Part 1 (53 minutes, 100 MB), Part 2 (50 minutes, 92 MB), Part 3 (63 minutes, 114 MB), Afternoon part 2 (26 minutes, 50 MB).

Presentation slides and handouts in PDF format.

About the Speaker

Professor Thomas Lux is Professor of Monetary Economics and International Finance at the University of Kiel (Germany) and Research Associate at the Kiel Institute for the World Economy. He is the Member of Editorial Board of several journals including "Quantitative Finance", "Journal of Economic Behavior and Organization" and the "Journal of Economic Interaction and Cooperation". His research concentrates on theoretical and empirical aspect of financial markets and monetary economics. The major focus of this research has been on behavioural, agent-based models of financial markets.

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