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  • 10th Tinbergen Institute Conference, 2015
    Abstracts Conference Program Conference Poster Contact General Information History Photo impression conference Presentations Speakers Venue Article MAY 18 20 2015 Annual TI conference 2015 Complexity in Economics and Finance Tinbergen Institute Gustav Mahlerplein 117 Amsterdam Netherlands Organizers Cees Diks CeNDEF University of Amsterdam Cars Hommes CeNDEF University of Amsterdam Marco van der Leij CeNDEF University of Amsterdam Introduction The last couple of decades economic teaching and research has moved the field of economics into a single standardized paradigm of rational self interested mostly identical agents whose behavior is analyzed in equilibrium While this has fostered communication between economists and led to a surge in our understanding of economic and financial markets the financial crisis of 2007 and 2008 showed that this analytical approach does not form a panacea to all our economic problems As Trichet put it during the financial crisis central bankers and policy makers felt abandoned by conventional tools as the standard approach was neither unable to foresee nor prepared to handle a crisis of this magnitude It seems that the standard economic approach is ill suited to handle situations characterized by sudden transitions crises or cascading effects But what is the alternative Luckily while economists moved into a paradigm of static equilibrium behavior of homogeneous agents other fields such as physics biology ecology and mathematics have moved into the opposite direction A new encompassing approach has developed in order to analyze dynamic systems with heterogeneous interacting components which are characterized by chaotic behavior networks sudden regime shifts cascades and extreme events This is the complex systems approach In this approach agents are heterogeneous and boundedly rational The complex systems view fits very well with behavioral models of macroeconomics and finance Can this complex systems approach be applied to economics and finance as well and lead to new

    Original URL path: http://www.tinbergen.nl/conference/10th-tinbergen-institute-conference-2015/ (2016-02-06)
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  • 10th International Workshop on Rare Event Simulation - Tinbergen
    the abstract here 4 When normality is a problem The cross entropy method for evaluating the cumulative distribution function of the multivariate normal distribution Zravko Botev University of New South Wales Australia Please find the abstract here 5 Rare Events Analysis for High Frequency Equity Data Dragos Bozdog Stevens Institute of Technology United States Please find the abstract here 6 Central Limit Theorem for adaptive splitting Frederic Cerou Inria Rennes Bretagne Atlantique France Please find the abstract here 7 Rare event simulation for stochastic fixed point equations related to the smoothing transform Jeffrey Collamore University of Copenhagen Denmark Please find abstract here 8 Looking back on 10 RESIM workshops Pieter Tjerk de Boer University of Twente Please find abstract here 9 Rényi relative entropy and robustness in rare event estimation IPaul Dupuis Brown University United States Please find abstract here 10 Rare event simulation in immune biology Models of negative selection in T cell maturation Corinna Ernst University of Duisburg Essen Germany Please find abstract here 11 Markov chain Monte Carlo for rare event simulation for stochastic recurrence equations with heavy tailed innovations Thorbjörn Gudmundsson KTH Royal Institute of Technology Sweden Please find abstract here 12 Min max representations of viscosity solutions of Hamilton Jacobi equations and applications in rare event simulation Henrik Hult KTH Royal Institute of Technology Sweden Please find abstract here 13 Importance Sampling Based on Moderate Deviations Dane Johnson Brown University United States Please find abstract here 14 RESTART Simulation of Repairable Consecutive k Within m Out of n F systems José Villén Altamirano Technical University of Madrid Spain Please find abstract here 15 The Flexible Rare Event Sampling Harness System FRESHS Kai Kratzer Institute for Computational Physics University of Stuttgart Germany Please find abstract here 16 Convergence of a Two Step Adaptive Multilevel Splitting Algorithm Francois Le Gland INRIA Rennes France Please find abstract here 17 A shaking transformation and two related methods for rare event probability estimation Gang Liu Ecole Pytechnique France Please find abstract here 18 Robust Extreme Quantile Estimation Karthyek Murthy Tata Institute of Fundamental Resarch India Please find abstract here 19 New concept of importance in RESTART simulations Manuel Villen Altaminaro University of Malaga Spain Please find abstract here 20 On line Estimation by Importance Sampling for the Tail Probability of FIFO Queue Length Kenji Nakagawa Nagaoka University of Technology Japan Please find abstract here 21 Constructing Confidence Intervals For a Quantile When Applying Latin Hypercube Sampling Marvin K Nakayama New Jersey Institute of Technology United States Please find abstract here 22 Efficient importance sampling to assess the risk of voltage collapse in power systems Johan Nykvist KTH Royal Institute of Technology Sweden Please find abstract here 23 Efficient importance sampling for a credit risk model Pierre Nyquist KTH Royal Institute of Technology Sweden Please find abstract here 24 Automated Rare Event Simulation for Stochastic Petri Nets Daniël Reijsbergen University of Twente Please find abstract here 25 A rare event simulation approach for the approximation of the Laplace transforms of the

    Original URL path: http://www.tinbergen.nl/conference/10th-international-workshop-rare-event-simulation/ (2016-02-06)
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  • 9th Tinbergen Institute Conference, 2014
    industrial organization political economy evolutionary growth and public and welfare economics Background John von Neumann and Oskar Morgenstern published in 1944 their book Theory of games and economic behavior In 2014 we celebrate the 70th anniversary of this seminal work which has changed forever the way in which economics is analysed and understood During these 70 years the relevance of Game Theory for the development of Economic Theory has been clearly shown As recognition of the achievements that Game Theory has brought to Economics eight game theorists have received the Nobel Prize in Economics In 1994 John F Nash Reinhard Selten and John C Harsanyi became Economics Nobel for their pioneering analysisof equilibria in the theory of non cooperative games In 2005 Robert J Aumann and Thomas C Schelling achieved the Nobel Prize in Economics for having enhanced our understanding of conflict and cooperation through game theory analysis In 2007 Leonid Hurwicz Eric S Maskin and Roger B Myerson received the Nobel Prize in Economics for having laid the foundations of mechanism design theory Many other Nobel prize winners in Economics such as George Akerlof Finn Kydland James Mirrlees Edward Prescott Michael Spence Joseph Stiglitz and William Vickrey made contributions that fit the Game Theoretic paradigm Dorothy Morgenstern Thomas photographer From the Shelby White and Leon Levy Archives Center Institute for Advanced Study Princeton NJ USA Programme We have a promising programme with twenty prominent speakers focusing on a wide variety of topics Jörgen Weibull Peyton Young Karl Schlag Mamuro Kaneko and Arno Riedl will all address the longstanding issue of coordination on equilibrium beliefs from interesting perspectives and attempt to reconcile empirics and theory Roberto Serrano will quantify the divergence from rational behaviour George Mailath will review the key lessons of repeated games and its unresolved issues while Geir

    Original URL path: http://www.tinbergen.nl/conference/9th-tinbergen-institute-conference-2014/ (2016-02-06)
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  • 8th Tinbergen Institute Conference, 2013
    Professor at the Sauder School of Business University of British Columbia For more information visit his personal website William Kerr is an Associate Professor at Harvard Business School Professor Kerr s research focuses on entrepreneurship and innovation One research strand examines the role of immigrant scientists and entrepreneurs in US technology development and commercialization as well as the subsequent diffusion of new innovations to the immigrants home countries A second research strand considers agglomeration and entrepreneurship with special interest in how government policies aid or hinder the entry of new firms cluster formation and growth A final interest area is entrepreneurial finance and angel investments He is a Research Fellow of the NBER and Bank of Finland has received several awards for his research papers and serves on the editorial boards of multiple academic journals Kerr received his PhD in Economics from MIT and his B S in Systems Engineering from the University of Virginia For more information visit his personal website Committee members Morten Bennedsen INSEAD Luigi Guiso Einadi Institute for Economics and Finance and CEPR Hans Hvide University of Bergen and IZA Mirjam van Praag TI University of Amsterdam and Amsterdam Center for Entrepreneurship Peter Thompson Goizueta Business School Emory University Roy Thurik TI Erasmus University Rotterdam and Erasmus Centre for Entrepreneurship Venue The conference will take place in the Poesjkin Zaal on the second floor at the Hermitage Museum Please notice early in the morning the conference entrance is located around the corner on the Nieuwe Keizersgracht 1 search for the street Schaduwkade on Googlemaps The room will be equipped with a projector and laptop for presentation slides Participants will also have access to Wi Fi in the conference room Details will be provided on the day Hermitage Amstel 51 1018 DR Amsterdam Registration CLOSED If you have any inquires about the registration for this meeting please email Nadine Clarke CEPR s Events Manager Accommodation Funded Participants Unfunded see below For those participants with funded accommodation reservations and payment have been made with the following hotels NH Hotel Schiller Rembrandtplein 26 1017 CV Amsterdam and NH Caransa Rembrandtplein 19 1017 CT Amsterdam We will send a confirmation to whose accommodations cost are funded by the organizers no later than Monday November 7 For participants whose accommodation costs are covered by the organisers please be reminded that incidental expenses such as the mini bar laundry telephone Internet or any other service offered by the hotel are not covered and should be settled with the hotel directly Accommodation Unfunded Participants For unfunded participants we recommend the hotels below or to check Booking com for appropriate accommodation We don t have any special agreement with these hotels Le Coin Nieuwe Doelenstraat 5 1012 CP Amsterdam NH Doelen Nieuwe Doelenstraat 24 1012 CP Amsterdam Eden Hotel Amsterdam Hamphshire Eden 3 star Hampshire Amstel 144 1017 AE Amsterdam Hampshire Hotel Rembrandt Square 4 star Hampshire Amstelstraat 17 1017 DA Amsterdam The Bridge Hotel Amstel 107 111 1018 EM Amsterdam Budget hotels Hotel

    Original URL path: http://www.tinbergen.nl/conference/8th-tinbergen-institute-conference/ (2016-02-06)
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  • 7th Tinbergen Institute Conference, 2012
    The financial crisis and more recently the sovereign debt market have brought the issue of price dislocations to the center of the debate on modern markets But what can scholarly work on price variability tell us Can all be explained by existing economic models Or are new models based on search frictions better able to explain anomalies And do existing econometric models suffice or are new techniques needed to parse ever expanding data sets both in terms of the frequency of observation and the ability to disaggregate according to who is trading retail investors institutional investors or hedge funds e g high frequency traders In academic work on the issue increasingly theory papers calibrate to data in order to speak to real world events And empirical work is focused on letting the data pick among falsifiable models The conference specifically wanted to provide a platform for the sharing of insights from these two emerging strands in the literature Presentations Ricardo Lagos NYU Trade Dynamics in the Market for Federal Funds co author Gara M Afonso NY Fed Thierry Foucault HEC Paris Illiquidity Contagion and Liquidity Crashes co author Giovanni Cespa CSEF U Naples Federico II Albert Pete Kyle U Maryland Market Microstructure Invariants co author Anna A Obizhaeva U Maryland Norman Schürhoff U of Lausanne Dealer Networks co author Dan Li FED Vincent van Kervel Tilburg The Impact of Dark and Visible Fragmentation on Market Quality Adam V Reed UNC Revealing shorts An Examination of Large Short Position Disclosures co authors Charles M Jones Columbia William Waller UNC Patrick Tuijp Tilburg U Pricing Liquidity Risk with Heterogeneous Investment Horizons co authors Alessandro Beber Cass Joost Driessen Tilburg U Nikolaus Hautsch Humboldt On the Dark Side of the Market Identifying and Analyzing Hidden Order Placement co author Ruihong Huang Humboldt Arseniy

    Original URL path: http://www.tinbergen.nl/conference/7th-tinbergen-institute-conference/ (2016-02-06)
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  • 6th Tinbergen Institute Conference, 2011
    Magazine Contact Professor Jan Tinbergen Alumni Top Placements A Selection of Recent Alumni Key Stars Top Alumni of TI Intranet Login Login to Intranet Home Conferences Friction and Policy Local navigation Article DEC 16 2011 Annual TI conference 2011 Friction and Policy Amsterdam Netherlands 6th Tinbergen Institute Conference 2011 Organizers Bas Jacobs EUR and Pieter Gautier VU University This conference was held December 16 17 2011 at the Amsterdam Museum Under what conditions do markets function efficiently In the presence of frictions markets often but not always do not generate the socially efficient outcome However asymmetric information between the private and public sector prevents the government from designing efficient policies In both labor and public economics advances have been made to understand and quantify the welfare losses due to search and information frictions Public policies e g taxes subsidies generally cause inefficiencies and can both exacerbate or reduce existing market frictions In this conference we brought together a broad set of high quality papers crossing the borders between the fields of labor economics and public finance The topics of the Conference included sorting allocation of workers measurement of frictions and distortions human capital formation optimal design of policies including minimum wages employment protection UI benefits and income redistribution The following papers were presented Robin Boadway Queens Optimal Income Taxation and the Labour Market An Overview Nicola Pavoni EUI Optimal Income Taxation with Asset Accumulation Pieter Gautier VU Simultaneous Search and Network Efficiency Etienne Lehmann CREST Labor Earnings Respond Differently to Income Tax and to Payroll Tax Reforms Jan Eeckhout UCL Assortative Matching in Large Firms Coen Teulings CPB Sorting and the output loss due to search frictions Guido Menzio UPenn Optimal Insurance of Search Risk Arnaud Chéron Lemans Life Cycle Equilibrium Unemployment Laurence Jacquet NHH Bergen Optimal Redistributive Taxation with

    Original URL path: http://www.tinbergen.nl/conference/6th-tinbergen-institute-conference/ (2016-02-06)
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  • 5th Tinbergen Institute Conference, 2010
    of Preferences and Decision Making Local navigation Article SEP 24 2010 Annual TI conference 2010 The Nature of Preferences and Decision Making Doelenzaal Amsterdam Netherlands 5th Tinbergen Institute Conference 2010 The conference was held in the Doelenzaal Amsterdam on September 24 25 Local organizers Arthur Schram Aljaz Ule Matthijs van Veelen University of Amsterdam This conference brought together the world s best researchers from a variety of fields where the nature of preferences and decision making is a main area of research These include economists with an interest in evolution and experiments as well as evolutionary biologists and psychologists Although the Tinbergen Institute is named after Jan Tinbergen the conference is meant to be equally inspired by his brother Niko Conference Theme Individual preferences are at the foundation of the economic theory of behavior They are the corner stones determining individual decision making For decades economists showed only sporadic interest in the origin of preferences their development and their dynamics Mainstream economics assumed that preferences are exogenously given More recently however the study of preferences themselves has gained momentum In addition the relationship between preferences and the decisions agents make has come under much closer scrutiny than before Two strands of the literature where these developments are visible are evolutionary game theory and experimental economics Evolutionary game theory focuses on theories about the origin of preferences and behavior and how they develop under selective pressures A better understanding of these processes can increase our insights into how economic decisions are made The standard example is that if selection favors altruistic preferences then this raises doubts about the realism of an assumed selfish homo economicus Spite reciprocity and punishment are also deviations from indifference that some economists are interested in Finally understanding why non standard preferences for taking risks survive evolutionary

    Original URL path: http://www.tinbergen.nl/conference/the-nature-of-preferences-and-decision-making/ (2016-02-06)
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  • 4th Tinbergen Institute Conference, 2009
    Banks Investors and Macroeconomic Policy makers Rotterdam Netherlands 4th Tinbergen Institute Conference 2009 The fourth annual Tinbergen Institute Conference was held in Rotterdam The Netherlands on March 13 14 2009 Financial markets occasionally experience sudden and large declines in asset prices A crucial feature of such sudden crash events is that they are contagious in nature and spread rapidly to other markets potentially leading to global financial instability Moreover the impact of financial crashes may not be restricted to the financial sector only Systemic crises in the banking sector or in the institutional investment sector may have substantial and unexpected spill overs to the real economy The recent sub prime crisis originating from the US mortgage market is a typical example in this respect threatening economic growth worldwide through the instability in the banking system The conference brought together leading researchers on crashes and systemic crises in financial markets to discuss recent developments in this area Venue Beurs World Trade Center Rotterdam Beursplein 37 Rotterdam The Netherlands Local organizers Casper G de Vries Erasmus University Rotterdam Erik Kole Econometric Institute Erasmus University Rotterdam André Lucas VU University Amsterdam Tinbergen Institute Dick van Dijk Econometric Institute Erasmus University Rotterdam Discussed and presented papers Assessing the Emerging Global Financial Architecture Measuring the Trilemma s Configurations over Time Hiro Ito Portland State University More Hedging Instruments May Destabilize Markets Cars Hommes University of Amsterdam Financial Market Turmoil and Policy Responses Philipp Hartmann European Central Bank Bank Liquidity Interbank Markets and Monetary Policy Antoine Martin Federal Reserve Bank of New York The Dark Side of Bank Wholesale Funding Lev Ratnovski International Monetary Fund The Future of Banking Regulation Basel II Quantitative Models and Risk Management in the Aftermath of the Current Financial Crisis Robin Lumsdaine American University Defending Against Speculative Attacks Tijmen Daniëls Technische

    Original URL path: http://www.tinbergen.nl/conference/crashes-and-systemic-crises-in-financial-markets-implications-for-banks-investors-and-macroeconomic-policy-makers/ (2016-02-06)
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