INTERNATIONAL WORKSHOP ON NONLINEAR ECONOMIC DYNAMICS AND FINANCIAL MARKET MODEL
2008-10-11 21:06
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PEKING UNIVERSITY, OCTOBER 9-10, 2008, PROGRAM
THURSDAY 9, OCTOBER 2008
08:30-09:00 Registration.
09:00-09:15 Opening Speech.
09:15-10:45 Session 1: Chair: Shu-Heng Chen.
² 09:15-09:45 Cees Diks,
Some recent results on continuous beliefs dynamics
² 09:45-10:15 Frank Westerhoff,
The use of agent-based financial market models to test the effectiveness of
regulatory policies
² 10:15-10:45 Shu-Heng Chen,
Agent-based economic models and econometrics
10:45-11:00 Coffee-Break.
11:00-12:30 Session 2: Chair: Thomas Lux.
² 11:00-11:30 Wei Zhang,
The studies on behavioral finance with agent-based appraoches
² 11:30-12:00 Tony He,
Calibrating a market fraction model to the power-law behaviour in the DAX
30
² 12:00-12:30 Thomas Lux,
Parameter estimation for stochastic models of interacting agents: an approximate
ML approach via numerical solutions of transitional Densities
12:30-14:00 Lunch.
14:00-16:00 Session 3: Chair: Carl Chiarella.
² 14:00-14:30 Volker Bohm,
The dynamics of asset prices in the CAPM under autoregressive forecasting
and noise
² 14:30-15:00 Gan Jin, A Valuation model of financial derivatives under the in-
fluence of multiple correlated factors with sudden and rare uncertainty
1
2 PROGRAM
² 15:00-15:30 Min Zheng,
Consensus Investor and Intertemporal Asset Pricing with Heterogeneous Beliefs
² 15:30-16:00 Carl Chiarella,
Heterogeneous expectations and exchange rate dynamics
16:00-16:15 Coffee-Break.
16:15-17:45 Session 4: Chair: Cars Hommes.
² 16:15-16:45 Lei Shi,
Zero-beta CAPM under heterogeneous beliefs
² 16:45-17:15 Fahuai Yi,
Free Boundary Problem Concerning Pricing Convertible Bond
² 17:15-17:45 Cars Hommes,
Evolutionary selection of individual expectations and aggregate outcomes
18:00 Dinner.
FRIDAY 10, OCTOBER 2008
09:15-11:15 Session 5: Chair: Michael Kopel.
² 09:15-09:45 Benteng Zou,
Optimal foreign investment dynamics in the presence of technological spillovers
² 09:45-10:15 Baojun Bian,
² 10:15-10:45 Michael Kopel,
Oligopoly models with quantity constraints
10:45-11:00 Coffee-Break.
11:00-12:00 Session 6: Chair Duo Wang.
² 11:00-11:30 Mei Zhu,
Stock price and market maker inventory dynamics with heterogeneous beliefs
² 11:30-12:00 Duo Wang,
Heterogeneous agent asset pricing model with random dividends
THURSDAY 9, OCTOBER 2008
08:30-09:00 Registration.
09:00-09:15 Opening Speech.
09:15-10:45 Session 1: Chair: Shu-Heng Chen.
² 09:15-09:45 Cees Diks,
Some recent results on continuous beliefs dynamics
² 09:45-10:15 Frank Westerhoff,
The use of agent-based financial market models to test the effectiveness of
regulatory policies
² 10:15-10:45 Shu-Heng Chen,
Agent-based economic models and econometrics
10:45-11:00 Coffee-Break.
11:00-12:30 Session 2: Chair: Thomas Lux.
² 11:00-11:30 Wei Zhang,
The studies on behavioral finance with agent-based appraoches
² 11:30-12:00 Tony He,
Calibrating a market fraction model to the power-law behaviour in the DAX
30
² 12:00-12:30 Thomas Lux,
Parameter estimation for stochastic models of interacting agents: an approximate
ML approach via numerical solutions of transitional Densities
12:30-14:00 Lunch.
14:00-16:00 Session 3: Chair: Carl Chiarella.
² 14:00-14:30 Volker Bohm,
The dynamics of asset prices in the CAPM under autoregressive forecasting
and noise
² 14:30-15:00 Gan Jin, A Valuation model of financial derivatives under the in-
fluence of multiple correlated factors with sudden and rare uncertainty
1
2 PROGRAM
² 15:00-15:30 Min Zheng,
Consensus Investor and Intertemporal Asset Pricing with Heterogeneous Beliefs
² 15:30-16:00 Carl Chiarella,
Heterogeneous expectations and exchange rate dynamics
16:00-16:15 Coffee-Break.
16:15-17:45 Session 4: Chair: Cars Hommes.
² 16:15-16:45 Lei Shi,
Zero-beta CAPM under heterogeneous beliefs
² 16:45-17:15 Fahuai Yi,
Free Boundary Problem Concerning Pricing Convertible Bond
² 17:15-17:45 Cars Hommes,
Evolutionary selection of individual expectations and aggregate outcomes
18:00 Dinner.
FRIDAY 10, OCTOBER 2008
09:15-11:15 Session 5: Chair: Michael Kopel.
² 09:15-09:45 Benteng Zou,
Optimal foreign investment dynamics in the presence of technological spillovers
² 09:45-10:15 Baojun Bian,
² 10:15-10:45 Michael Kopel,
Oligopoly models with quantity constraints
10:45-11:00 Coffee-Break.
11:00-12:00 Session 6: Chair Duo Wang.
² 11:00-11:30 Mei Zhu,
Stock price and market maker inventory dynamics with heterogeneous beliefs
² 11:30-12:00 Duo Wang,
Heterogeneous agent asset pricing model with random dividends
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