 |
|
|
Junior Prof. Simone Alfarano
Institute of Economics
Interdisciplinary Center for Numerical Simulation
Postanschrift
Universitat Jaume I
Departament d'Economia
Castelló de la Plana
E-12071
Spain
Mail:  |
 |
| Actual Position |
| Junior Professor |
Department of Economics
Christian-Albrechts University of Kiel, Germany |
| Previous Position |
Research Assistant |
Department of Economics
Christian-Albrechts University of Kiel, Germany
[European Project STREP Contract N° 516446]
|
| Teaching |
- Seminar: Distributional regularities in financial and economic systems [SS 08]
- Lecture:Pricing in Derivative Markets [SS 08]
- Lecture in Mathematics for Economics [WS 07/08]
- Seminar: Analysis of financial markets: between laboratory experiments and computer simulations [WS 07/08]
- Lecture: Optimization Problems and Stochastic Methods [SS 07]; Handouts
- Lecture: Extreme Value Theory and Financial Risk [WS 06/07]
- Lecture: Advanced Methods in Economic Dynamics: Dynamic Optimization and Numerical Simulations [SS 06]
- Seminar: Agent-Based Models in Economics and Finance [SS 06]
- Lecture: Agent-Based Models in Economics and Finance [SS 06]
- Lecture: Mathematical Methods: Dynamical Systems and Dynamical Optimization [WS 05/06]
- Ph. D. in Quantitative Economics at the Christian-Albrechts University of Kiel, Germany (Feb. 2006 )´
- M. Sc. In Physics at University of Cagliari, Italy (Dec. 1999 )
- TITLE: An agent-based stochastic volatility model
- ABSTRACT: The behavioral origins of the stylized facts of financial returns have been addressed in a growing body of agent-based models of financial markets. While the traditional efficient market viewpoint explains all statistical properties of returns by similar features of the news arrival process, the more recent behavioral finance models explain them as imprints of universal patterns of interaction among investors. In this thesis, we contribute to this literature by introducing a very simple agent-based model in which the ubiquitous stylized facts (fat tails, volatility clustering) are emergent properties of the interaction among traders. The simplicity of the model allows us to estimate the underlying parameters, since it is possible to derive a closed form solution for the distribution of returns. The big advantage of our model with respect to the models proposed in the financial econometrics is the ability to explain the origin of the randomness present in the market. It is in fact, very clear how the interactions based on herding among agents play the crucial rule in the emergence of the market fluctuations. We can precisely identify the source of the aggregate regularities of the returns in terms of the agents behavioral assumptions.
- METHODS: Stochastic Volatility , Herd Behavior, Speculative Markets, Behavioral Finance, Stylized Facts.
- Access to the full text of my dissertation at the MACAU
- Post-Lauream Scholarship for Young Researchers
[Regione Autonoma della Sardegna, Italy 2000-2003]
- European Union Fellowship for Young Researchers
New Conferencey
[University of Salerno, Italy, 13 - 15 September 2001]
- SNDE Fellowship
(Society of Nonlinear Dynamics and Econometrics)
[Federal Reserve Bank of Atlanta, USA, 14 - 15 March 2002]
- DAAD Scholarship for Research Exchange Program
(Deutscher Akademischer Austausch Dienst)
[Ph.D. Program in Quantitative Economics, University of Kiel,
Germany, February – March 2003]
- Prize for the best Ph.D. thesis in Economics
(University of Kiel, 2006)
- Prize for the best Ph.D. thesis in the Faculty of Social Sciences
(University of Kiel, 2006)
Articles in refereed Journals
- “Estimation of Agent-based Models: The case of Asymmetric Herding Model”, with T. Lux and F. Wagner, in Computational Economics, 26 pp. 19-49 (2005);
- “Estimation of a Simple Agent-Based Model of Financial Markets: An Application to Australian Stock and Foreign Exchange Data”, with T. Lux and F. Wagner, in Physica A, 370 pp. 38-42 (2006);
- “On the Role of Heterogeneous and Imperfect Information in a Laboratory Financial Market”, with I. Barreda-Tarrazona and E. Camacho-Cuena, in Central European Journal of Operation Research,
Vol.14, pp. 417-433 (2006);
- “Empirical Validation of Stochastic Models of Interacting Agents: A `Maximally’ Skewed Noise Trader Model” with T. Lux and F. Wagner, in European Physics Journal B,
Vol.55, pp. 183-187 (2007);
- “A Noise Traders Model as a Generator of Apparent Financial Power Laws and Long Memory” with T. Lux,
in Macroeconomics Dynamics,
Vol.11, pp. 80-101 (2007)
- “Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach” with T. Lux
and F. Wagner, Journal of Economic Dynamics and Control, Volume 32, Issue 1, January 2008, Pages 101-136
- “Mercados Financieros en el Laboratorio en presencia de información Heterogénea e Imperfecta”, with I. Barreda-Tarrazona and E. Camacho-Cuena, in Cuadernos Aragoneses de Economía.,
Vol. 17, pp. 275-298, (2007)
- “A Non-Parametric Approach to Noise in Stochastic Volatility Models” with M. Milakovic and F. Wagner; Forthcoming in Applied Financial Economics Letters.
- “Network Structure and N-Dependence in Agent-Based Herding Models” with M. Milaković; forthcoming in Journal of Economic Dynamics and Control.
- “Does Classical Competition Explain the Statistical Features of Firm Growth?” with M. Milaković, forthcoming in Economics Letters.
Articles in Books
- “Excess Volatility and Herding in an Artificial Financial Market:
Analytical Approach and Estimation”, with T. Lux, in Funkionsfähigkeit
und Stabilität von Finanzmärkten , edited by W. Franz, H. J. Ramser and M.
Stadler, Mohr Siebeck, Tübigen, pp. 241-254 (2005);
- “A Minimal Noise Traders Model with Realistic Time Series Properties”
with T. Lux, in Long Memory in Economics, edited by G. Teyssière and A.
P. Kirman, Springer, pp. 345-361 (2007);
Working Papers
- “A statistic equilibrium model of competitive firms” with M. Milakovic , A. Irle, and J. Kauschke [PDF]
- “Should Network Structure Matter in Agent-Based Finance?” with M. Milaković; [PDF].
- “A Simple Asymmetric Herding Model to Distinguish Between Stock and Foregin Exchange Markets” with R. Franke; [ PDF]
- “Extreme Values Theory as a Theoretical Background for Power Law Behavior” in Power Laws in the Social Sciences: Discovering Complexity and Non-equilibrium Dynamics in the Social Universe, edited by C. Cioffi-Revilla, book manuscript under review.
- “On the Trading Strategies of Heterogeneous Investors in a Laboratory
Financial Market” with I. Barreda-Tarrazona and E. Camacho-Cuena.
-
“The empirical distribution of firms’ profit rates“
with M. Milakovic
-
“Time-aggregation behavior of a simple herding model”
with R. Franke
-
“Non-parametric analysis of financial volatility” wit
M. Milakovic and F. Wagner
- Advances in Complex Systems
- Applied Mathematical Finance
- Computational Economics
- European Physical Journal B
- Journal of Economic Behavior and Organization
- Journal of Economic Dynamics and Control
- Journal of Economic Interaction and Coordination
- Physic A
- Studies in Nonlinear Dynamics and Econometrics
- Mathematics for Economics
- Macroeconomic Dynamics
- Agent-Based models
- International Investment
- Optimization in Stochastic Environment
Maintaining this site:
|
